上市商业银行利率风险研究

发布时间：2018-04-16 04:14

本文选题：上市商业银行 + 利率风险　；参考：《南京农业大学》2014年硕士论文

【摘要】：利率市场化改革是我国金融改革的重要内容之一,它将促进社会资金的合理分配也促使经济继续稳定增长。但是,随着改革的不断深入,商业银行的存贷利率不再固定,市场的力量将决定存贷利率,金融机构存贷利率浮动区间和浮动频率也将不断扩大,这给商业银行的风险管理带来巨大挑战。自1986年开始我国开始利率市场化改革,在这近30年时间我国利率市场化进程已经取得了显著成绩。利率市场化改革所带来的利率风险也逐渐显露出来。本文以利率市场化为背景,从理论分析分析我国商业银行的利率风险,并以16家上市银行为样本选取2004-2011年度的相关数据,实证分析我国上市商业银行的利率风险及其影响因素。本文全文分为五个部分。第一部分主要介绍论文研究的背景意义和研究内容。第二部分理论分析与文献回顾。理论分析我国商业银行面临的利率风险、利率风险的原因和利率风险的识别与分析法。第三部分主要介绍我国商业银行最常使用的利率敏感性缺口的理论基础。根据理论基础对我国16上市银行进行利率风险压力测试,度量当前风险的大小,并对结果进行简单的分析。第四部在前文得出我国商业银行整体面临利率风险的基础上,理论我国商业银行所面临利率风险的影响因素。初步分析认为外部因素有市场化程度、国内的宏观环境(包括经济增上水平、国内价格水平和央行的货币供给量)。内部因素主要是中间业务占比、存贷结构、管理水平、储备机会成本。根据理论分析结果选取16家上市银行2004-2011年度的相关数据进行实证分析我国上市商业银行的利率风险的影响因素。第五部分结论与政策建议得出(1)我国上市商业银行整结构面临利率风险；(2)国有大银行、股份制商业银行和城市商业银行抵御利率风险的能力各不相同；(3)利率市场化程度、商业银行中间业务、存贷结构和商业银行的管理水平是上市银行利率风险的影响因素并且影响大小不同。在此基础又提出了相应建议：(1)提高商业银行风险管理能力；(2)加强资产负债管理；(3)银行业业务多元化发展。
[Abstract]:The reform of interest rate marketization is one of the important contents of financial reform in China. It will promote the rational distribution of social funds and promote the steady growth of economy.However, with the deepening of the reform, the deposit and loan interest rates of commercial banks are no longer fixed, the market forces will determine the deposit and loan interest rates, and the floating range and floating frequency of deposit and loan rates of financial institutions will continue to expand.This brings great challenges to the risk management of commercial banks.Since 1986, China began to reform the marketization of interest rate. In the past 30 years, the process of interest rate marketization in China has made remarkable achievements.The interest rate risk brought by the interest rate marketization reform is also gradually revealed.Based on the background of interest rate marketization, this paper analyzes the interest rate risk of Chinese commercial banks from the theoretical analysis, and takes 16 listed banks as a sample to select the relevant data from 2004 to 2011 to empirically analyze the interest rate risk and its influencing factors of China's listed commercial banks.This paper is divided into five parts.The first part mainly introduces the background significance and research content of the thesis.The second part is theoretical analysis and literature review.This paper theoretically analyzes the interest rate risk faced by Chinese commercial banks, the causes of interest rate risk and the identification and analysis of interest rate risk.The third part mainly introduces the theoretical basis of interest rate sensitivity gap most commonly used by Chinese commercial banks.According to the theoretical basis, the paper tests the interest rate risk pressure of 16 listed banks in China, measures the current risk, and makes a simple analysis of the results.The fourth part draws the conclusion that the commercial banks of our country face the interest rate risk on the basis of the above, and analyzes the influencing factors of the interest rate risk faced by the commercial banks in our country.Preliminary analysis shows that external factors have market-oriented degree, domestic macro environment (including economic growth level, domestic price level and central bank's money supply).Internal factors are the proportion of intermediate business, the structure of deposit and loan, the level of management and the opportunity cost of reserve.According to the results of theoretical analysis, 16 listed banks are selected to analyze the influencing factors of interest rate risk of listed commercial banks in China.The fifth part draws conclusions and policy suggestions: 1) the whole structure of listed commercial banks in China is facing interest rate risk. (2) large state-owned banks, joint-stock commercial banks and urban commercial banks have different ability to resist interest rate risk, respectively) the degree of interest rate marketization is different.The intermediate business of commercial banks, the structure of deposit and loan and the management level of commercial banks are the influential factors of the interest rate risk of listed banks and the influence is different.On this basis, the author puts forward the corresponding suggestions: 1) improving the risk management ability of commercial banks and 2) strengthening asset and liability management. 3) the diversified development of banking business.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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