中国农业银行利率风险管理研究

发布时间：2018-10-21 16:46

【摘要】：1996年,我国放开了同业拆借市场利率,利率市场化改革正式开启,之后我国的利率市场化改革一直处在在稳步推进中,2013年对贷款的利率管制的全面放开预示着我国的利率改革已经迈出了关键性的一步,改革的最终目的是要发挥市场对于资源配置的作用,进而促进实体经济的发展与结构调整,有助于解决目前“三农”及小微企业信贷资金来源困难问题。利率市场化改革在推动商业银行积极提高自主经营的能力,银行经营模式创新的同时,也使得商业银行面临着传统收益下降,同业竞争加剧的风险,由此可见,利率变动对于整个金融市场甚至整个经济体系都有着重大的影响。随着国家对于利率管制的放开,利率的形成由市场价值规律决定,利率波动的不可预测性大幅度的提高,在很大程度上对银行利润造成了冲击,商业银行面临着利率风险逐渐增大的危机,这同时也促使了商业银行必须加大对于利率风险管理的重视,为此巴塞尔委员会也出台了相关的利率风险管理12条原则。然而长久以来,我国的利率一直处于管制中这也就使得利率风险管理方面无论是理论还是实践经验都较为薄弱,利率风险的逐步提高使得我国的金融机构面临着风险管理和经营管理的双重压力。因此探讨商业银行利率风险管理问题,不仅具有着理论意义,更关系着商业银行谋求生存与发展的现实意义。本文以利率改革步伐加快引起商业银行利率风险提高为背景,完善农业银行利率风险管理体系为研究目的,采用了规范分析法、定性与定量分析法、比较分析法。首先介绍了利率风险管理的相关理论,包括利率风险的内涵、分类、原则,利率风险的度量方法与管理方法。其次从外部与内部两个方面阐述了农业银行亟需进行利率风险管理的原因,其中宏观利率环境变化,行业竞争加剧与客户选择增多是外部风险的主要原因,内部利率风险主要是由于净利息收入占比过高,资产负债结构缺陷以及存在敏感性缺口原因。再次结合农业银行目前利率风险管理现状指出了风险管理体系、度量方法、风险管理人员等方面存在的问题。最后根据问题结合农业银行实际情况认为农业银行需要在业务创新、提高金融产品定价能力以及完善风险管理体系几方面进行改进。
[Abstract]:In 1996, China opened up the interbank lending market interest rate, and the market-oriented interest rate reform was officially launched. Since then, China's interest rate marketization reform has been steadily advancing. The overall liberalization of interest rate controls on loans in 2013 indicates that China's interest rate reform has taken a crucial step. The ultimate purpose of the reform is to give play to the role of the market in the allocation of resources, and then to promote the development of the real economy and the structural adjustment, which will help to solve the problem of the difficult sources of credit funds for the "agriculture, rural areas" and small and micro enterprises at present. The reform of interest rate marketization not only promotes commercial banks to improve their ability to operate independently, but also makes commercial banks face the risks of decreasing traditional income and intensifying interbank competition. Interest rate changes have a significant impact on the entire financial markets and even the entire economic system. With the liberalization of interest rate control, the formation of interest rate is determined by the law of market value, and the unpredictability of interest rate fluctuation greatly increases, which to a large extent has impacted the bank profits. Commercial banks are faced with the crisis of increasing interest rate risk, which also urges commercial banks to pay more attention to interest rate risk management. For this reason, the Basel Committee has also issued 12 principles of interest rate risk management. However, for a long time, the interest rate in our country has been under control, which makes the interest rate risk management both theoretical and practical experience is relatively weak. With the gradual improvement of interest rate risk, Chinese financial institutions are facing the double pressure of risk management and operation management. Therefore, it is not only of theoretical significance to discuss the issue of interest rate risk management of commercial banks, but also related to the practical significance of survival and development of commercial banks. Based on the background of interest rate reform and the improvement of agricultural bank's interest rate risk management system, this paper adopts normative analysis method, qualitative and quantitative analysis method and comparative analysis method. This paper first introduces the relevant theories of interest rate risk management, including the connotation, classification, principle, measurement and management of interest rate risk. Secondly, from the external and internal aspects, the paper expounds the reasons for the urgent need of interest rate risk management in Agricultural Bank. The main reasons for the external risk are the change of macro interest rate environment, the intensification of industry competition and the increase of customer choice. The internal interest rate risk is mainly due to the high proportion of net interest income, the structural defects of assets and liabilities and the sensitivity gap. Thirdly, combining with the current situation of interest rate risk management of Agricultural Bank of China, the paper points out the problems of risk management system, measurement method, risk managers and so on. Finally, according to the actual situation of Agricultural Bank of China, the author thinks that Agricultural Bank should improve its business innovation, improve the pricing ability of financial products and perfect the risk management system.
【学位授予单位】：安徽农业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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