商业银行利率风险评估系统研究

发布时间：2018-12-26 12:33

【摘要】：随着利率市场化以及金融创新的发展，我国商业银行面临的利率环境正在发生深刻的变化，利率风险评估系统越来越受到监管部门和商业银行的关注。一方面利率变动更加频繁，商业银行资产负债表内面临利率风险的业务范围越来越广泛；另一方面利率衍生工具正在加速发展，带来新的利率风险。利率风险是利率变动对商业银行净利息收入和经济价值造成的不利影响。本文采用缺口分析法、久期分析法对利率风险进行衡量，所揭示的主要是利率的重新定价风险。利率风险评估系统通过对银行业金融机构的利率风险资产与负债的重定价期限的统计，分短期利率与长期利率测算利率变化对商业银行净利息收入的影响，分资产平均收益率与负债平均收益率测算利率变化对商业银行经济价值的影响，净利息收入与经济价值两个角度衡量商业银行潜在的利率风险水平。商业银行利率风险评估系统实现用到了银监会非现场监管信息系统、银行核心系统、Oracle数据库，Unix操作系统和Java语言、TUXEDO/MQ/SOCKET等数据通信技术。通过情景模拟、缺口收益分析和久期价值分析对商业银行利率风险度量进行实证研究发现。部分商业银行尤其是农村商业银行利率风险已达到和超过利率风险“关注”水平。一方面，，五家商业银行总体利率风险程度呈上升趋势；另一方面，城市商业银行利率风险高于农村商业银行，区域性商业银行与城市商业银行利率风险相当。本文的研究构建的利率风险评估系统以及提出的相应的管理策略，可以丰富此领域的研究成果，为我国商业银行进行利率风险度量和管理，以及监管当局对商业银行利率风险的预警与监控提供理论与实务上的指导。
[Abstract]:With the development of interest rate marketization and financial innovation, the interest rate environment faced by commercial banks in China is undergoing profound changes. The interest rate risk assessment system has been paid more and more attention by regulators and commercial banks. On the one hand, the interest rate changes more frequently, and the scope of business facing interest rate risk in the balance sheet of commercial banks is more and more extensive; on the other hand, interest rate derivatives are accelerating development, bringing new interest rate risk. Interest rate risk is the adverse effect of the change of interest rate on the net interest income and economic value of commercial banks. In this paper, gap analysis and duration analysis are used to measure the risk of interest rate, which reveals the risk of repricing interest rate. The interest rate risk assessment system measures the influence of the change of interest rate on the net interest income of commercial banks through the statistics of the repricing period of interest rate risk assets and liabilities of banking financial institutions, divided into short-term interest rates and long-term interest rates. The influence of the change of interest rate on the economic value of commercial banks is measured according to the average rate of return on assets and the average rate of return on liabilities. The level of potential interest rate risk of commercial banks is measured from two angles of net interest income and economic value. The commercial bank interest rate risk assessment system is implemented using the CBRC off-site supervision information system, bank core system, Oracle database, Unix operating system, Java language, TUXEDO/MQ/SOCKET and other data communication technologies. Through scenario simulation, gap return analysis and duration value analysis, the paper makes empirical research on the measurement of interest rate risk of commercial banks. Interest rate risk of some commercial banks, especially rural commercial banks, has reached and exceeded the level of interest rate risk. On the one hand, the overall interest rate risk of five commercial banks is on the rise; on the other hand, the interest rate risk of urban commercial banks is higher than that of rural commercial banks, and the interest rate risk of regional commercial banks is equal to that of urban commercial banks. The interest rate risk assessment system and the corresponding management strategies proposed in this paper can enrich the research results in this field and carry out interest rate risk measurement and management for Chinese commercial banks. And the supervision authorities provide theoretical and practical guidance for the early warning and monitoring of interest rate risk of commercial banks.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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