AB银行利率风险的内部控制研究

发布时间：2018-10-29 17:23

【摘要】：“公司的败绩都是由内部控制失败引起的”，内部控制的权威人士——Adrian Cadbury爵士曾经这样讲过，由此可见内部控制在企业的重要性。首先，银行业作为经营风险的特殊行业，通过对不同类型的资金风险的识别和管理来赚取利润，可以说银行风险控制的水平直接关系着银行的生死存亡。利率风险是银行在吸收存款和发放贷款的过程中，由存、贷款产品定价所引发的风险，也是银行所面临的最基本的风险。利率风险内部控制就是建立一套约束措施，从而有效规避银行资产负债结构分布不合理对银行价值造成的不利影响。本文以国际、国内金融业发展变化的新形势和我国利率体制改革逐步深化为背景，全面回顾利率风险和内部控制相关理论。在上述背景下，今后国际、国内利率市场波动的频度和幅度加大将是必然的趋势，因此商业银行加强利率风险管理和内部控制既是利率监管的外部要求和也是商业银行降低风险、提高收益的内在动力。本文以上述利率风险管理理论和内部控制理论为契机，采用规范研究与案例研究相结合的方法，对AB银行的利率风险内部控制问题进行了系统研究。在规范研究层面，以内部控制理论涉及的五个环节作为文章的主体框架，在每个控制环节中结合利率风险的特殊性和管理需求进行分析。在案例研究层面，着重分析了AB银行在利率风险内部控制环节的现状，，总结了AB银行利率风险内部控制方面存在的不足。这些不足主要体现在利率风险管理组织体系、利率风险的识别和度量、利率风险信息传递与沟通、利率风险控制方法与手段及利率管理的内部监督机制五个方面。本文的研究和分析的思路既保证了学术的严谨性也具备了现实针对性。商业银行内部控制机制是一个不断完善、修正的动态过程。对于AB银行在利率风险内部控制实际工作中暴露的问题，本文深度挖掘了利率风险内部控制问题的成因，分别从利率市场化影响、公司治理因素的影响和利率风险计量和管理技术方面的影响进行剖析。通过剖析给出了一些主要因素与利率风险相互作用的机理。首先明确利率市场化导致利率风险的路径，即利率市场化是如何通过利率的波动影响重定价风险、基准利率风险、收益曲线风险和期权风险并将这四类风险转化为对净利息收入和现金流量的不利影响，从而最终形成银行利率风险的机理；其次，公司治理与内部控制之间的关系也成为影响利率风险内部控制的内生因素；最后，风险的计量与管理技术的落后是造成利率风险内部控制不到位的直接原因。通过对问题的发现和对问题产生根源的深度挖掘，本文最终给出了完善AB银行利率风险内部控制的对策，为今后的利率风险管理提供了建设性的意见和建议。
[Abstract]:"the failure of a company is caused by the failure of internal control," Sir Adrian Cadbury, an authority on internal control, once said, showing the importance of internal control in an enterprise. First of all, as a special industry of operating risk, the banking industry makes profits through the identification and management of different types of capital risks. It can be said that the level of bank risk control is directly related to the survival or death of banks. Interest rate risk is the risk caused by the pricing of deposit and loan products in the process of taking deposits and issuing loans. It is also the most basic risk faced by banks. The internal control of interest rate risk is to establish a set of restraint measures, so as to effectively avoid the negative impact on the bank value caused by the unreasonable distribution of the structure of bank assets and liabilities. Based on the new situation of international and domestic financial development and the gradual deepening of interest rate system reform in China, this paper comprehensively reviews the relevant theories of interest rate risk and internal control. Under the above background, in the future, it will be an inevitable trend for the international community to increase the frequency and amplitude of fluctuations in the domestic interest rate market. Therefore, strengthening interest rate risk management and internal control in commercial banks is not only the external requirement of interest rate supervision, but also the internal motive force for commercial banks to reduce risk and improve returns. Based on the theory of interest rate risk management and the theory of internal control, this paper systematically studies the internal control of interest rate risk in AB bank by combining the normative study with the case study. At the level of normative research, this paper takes the five links involved in the theory of internal control as the main frame of the article, and analyzes the particularity of interest rate risk and the management demand in each control link. In the aspect of case study, this paper analyzes the present situation of AB bank's internal control of interest rate risk, and summarizes the deficiency of AB bank's internal control of interest rate risk. These deficiencies are mainly reflected in five aspects: the organizational system of interest rate risk management, the identification and measurement of interest rate risk, the transmission and communication of interest rate risk information, the methods and means of interest rate risk control and the internal supervision mechanism of interest rate management. The research and analysis of this paper not only ensures academic rigor but also has realistic pertinence. The internal control mechanism of commercial banks is a dynamic process of continuous improvement and revision. For the problems exposed by AB Bank in the actual work of internal control of interest rate risk, this paper deeply excavates the causes of the internal control problem of interest rate risk, respectively from the impact of interest rate marketization. The impact of corporate governance factors and interest rate risk measurement and management technology analysis. The mechanism of interaction between some main factors and interest rate risk is given. First of all, it is clear that interest rate marketization leads to interest rate risk, that is, how interest rate marketization affects repricing risk through interest rate fluctuation, benchmark interest rate risk, Income curve risk and option risk and transform these four kinds of risk into the negative influence on net interest income and cash flow, and finally form the mechanism of bank interest rate risk; Secondly, the relationship between corporate governance and internal control has become an endogenous factor affecting the internal control of interest rate risk. Finally, the backwardness of risk measurement and management technology is the direct cause of the lack of internal control of interest rate risk. Through the discovery of the problem and the deep excavation of the root cause of the problem, this paper finally gives the countermeasures to perfect the internal control of the interest rate risk of AB bank, and provides constructive opinions and suggestions for the future interest rate risk management.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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