我国商业银行利率风险计量与控制研究

发布时间：2018-11-10 17:30

【摘要】：利率市场化是发展市场经济的必要条件，我国“十二五”规划中明确提出继续推进利率市场化改革。随着我国利率市场化进程的加快，尤其是存贷款基准利率市场化程度的提高，我国商业银行将面临日益严重的利率风险。在银行业日益开放的市场环境下，利率风险管理水平的高低对提高银行核心竞争力起到关键性作用。利率风险管理涵盖利率风险监测、计量和控制等诸多方面，，本文详细介绍了西方商业银行使用的利率风险计量方法，并通过这些方法的比较，结合我国现状，认为利率敏感性缺口和持续期法是目前最适合我国商业银行的计量方法。利率风险控制是商业银行实现有效利率风险管理的关键，利率风险控制主要分为表内控制和表外控制两类。结合我国实际，由于国内金融市场不发达，避险工具较少，因此，目前利率风险控制应主要集中在资产负债管理，着重在主动性较强的资产管理。本文采用利率敏感性缺口法对我国上市商业银行利率风险进行了实证分析，表明国有银行的“短存长贷”倾向更明显，利率风险暴露比股份制银行大，国有银行在利率风险管理的灵活性上不如股份制银行，并用实例验证了持续期在我国的可行性。基于以上分析，本文建议应从外部环境和银行自身建设两方面入手来提高商业银行的利率风险管理水平。一方面，稳步推进利率市场化的同时加强金融市场建设；另一方面，商业银行完善利率风险管理体制，从而科学高效地计量和控制利率风险。
[Abstract]:Interest rate marketization is a necessary condition for the development of market economy. With the acceleration of the process of interest rate marketization in China, especially the improvement of the marketization of the benchmark deposit and loan interest rate, the commercial banks of our country will be faced with increasingly serious interest rate risks. In the increasingly open market environment, the level of interest rate risk management plays a key role in improving the core competitiveness of banks. Interest rate risk management covers many aspects, such as interest rate risk monitoring, measurement and control. This paper introduces the interest rate risk measurement methods used by western commercial banks in detail, and through the comparison of these methods, combined with the current situation in China, It is considered that interest rate sensitivity gap and duration are the most suitable metrological methods for Chinese commercial banks at present. Interest rate risk control is the key to realize effective interest rate risk management in commercial banks. Interest rate risk control is divided into two types: in-form control and off-balance sheet control. In combination with the reality of our country, because the domestic financial market is not developed and there are few hedge tools, at present, interest rate risk control should mainly focus on asset liability management, especially on active asset management. This paper makes an empirical analysis of the interest rate risk of listed commercial banks in our country by using the gap method of interest rate sensitivity. It shows that the tendency of "short deposit and long loan" in state-owned banks is more obvious, and the exposure of interest rate risk is greater than that of joint-stock banks. The flexibility of interest rate risk management of state-owned banks is not as good as that of joint-stock banks. Based on the above analysis, this paper suggests that the interest rate risk management level of commercial banks should be improved from two aspects: external environment and banks' own construction. On the one hand, we should promote the marketization of interest rate and strengthen the construction of financial market, on the other hand, the commercial banks should perfect the interest rate risk management system, so as to measure and control the interest rate risk scientifically and efficiently.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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