我国城市商业银行利率风险管理问题研究

发布时间：2018-12-06 08:58

【摘要】：巴塞尔银行监管委员会颁布的《利率风险管理原则》中，利率风险的定义是利率的不利变动给银行财务状况带来的风险。近年来，激烈的同业竞争和利率市场化进程的加快要求商业银行的经营重点从传统的贷款业务逐步转向更为多元的业务组合，使商业银行的风险状况控制在可接受的水平。我国长期以来实行利率管制，商业银行的利率风险管理无论是在理论知识还是在经验积累上，都处于较低的水平。与大中型银行相比，城市商业银行在规模、资金和人才储备上处于弱势，绝大多数城商行都没有建立起有效的利率风险防范与管理机制。因此，我国银行理论界与实务界所面临的最大课题是如何将国际银行业先进的风险管理技术运用于我国商业银行的利率风险管理实践，强化和提高商业银行的利率风险管理水平。各国商业银行纷纷设立了利率风险管理机构，研发先进的管理技术和方法。许多卓有成效的模型不断涌现并被广泛应用，如缺口管理模型、久期模型，现在仍是利率风险管理的主流技术。本文在介绍三种商业银行防范利率风险的度量模型的基础上，以五家城商行：北京银行、南京银行、宁波银行、重庆银行和汉口银行2006年至2010年的年报数据为样本，运用利率敏感性缺口模型和久期凸度模型进行了实证分析，包括相关的利率风险指标和利率变动对银行净资产影响。实证结果表明：我国城商行的利率敏感性较强，资金缺口、利率变动、资产负债结构的变动、不同资产负债项目利率变动幅度均对城商行经营效益影响明显。城商行在防范利率风险时存在风险管理观念滞后、内控机制不健全、资金技术和人力资源处于弱势和严重依赖当地政府等问题。最后本文针对我国城商行如何有效的防范利率风险，分别从利率风险管理内部体系的建立和外部环境的完善两方面提出了相关的对策与建议，包括提高缺口管理水平、改善资产负债失衡状况、大力发展中间业务、建立专门的利率风险管理机构和完善金融监管。
[Abstract]:In the principles of interest rate risk Management issued by the Basel Committee on Banking Supervision, interest rate risk is defined as the risk brought by the adverse change of interest rate to the bank's financial situation. In recent years, the fierce interbank competition and the acceleration of the interest rate marketization process require commercial banks to gradually change their business emphasis from traditional loan business to more diversified business combinations, so that the risk situation of commercial banks is controlled at an acceptable level. Interest rate control has been implemented for a long time in our country, and the interest rate risk management of commercial banks is at a low level both in theoretical knowledge and in the accumulation of experience. Compared with large and medium-sized banks, urban commercial banks are in a weak position in terms of scale, capital and talent reserve, and most city commercial banks have not established an effective interest rate risk prevention and management mechanism. Therefore, the biggest problem facing the banking theorists and practitioners in our country is how to apply the advanced risk management technology of international banking to the interest rate risk management practice of our commercial banks. Strengthen and improve the level of interest rate risk management of commercial banks. Commercial banks of various countries have set up interest rate risk management institutions one after another to develop advanced management techniques and methods. Many effective models are emerging and widely used, such as gap management model and duration model, which are still the mainstream technology of interest rate risk management. On the basis of introducing three kinds of commercial banks' measurement models of preventing interest rate risk, this paper takes the annual report data of Beijing Bank, Nanjing Bank, Ningbo Bank, Chongqing Bank and Hankou Bank from 2006 to 2010 as samples. The empirical analysis is carried out by using interest rate sensitivity gap model and duration convexity model, including the influence of interest rate risk indicators and interest rate changes on the net assets of banks. The empirical results show that the city commercial banks in China have a strong sensitivity to interest rates, capital gap, interest rate changes, changes in the structure of assets and liabilities, and interest rate changes of different assets and liabilities items have a significant impact on the operating efficiency of city commercial banks. There are some problems such as lagging risk management concept, imperfect internal control mechanism, weak capital technology and human resources, and heavy dependence on local government when city commercial banks guard against interest rate risk. Finally, aiming at how to effectively guard against interest rate risk, this paper puts forward some relevant countermeasures and suggestions from the aspects of the establishment of the internal system of interest rate risk management and the improvement of the external environment, including improving the level of gap management. We will improve the balance between assets and liabilities, vigorously develop intermediary business, establish special interest rate risk management institutions and improve financial supervision.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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