农村商业银行银行账户利率风险研究

发布时间：2018-05-10 23:03

本文选题：利率市场化 + 农商银行　；参考：《南京大学》2014年硕士论文

【摘要】：随着我国利率市场化改革的不断推进、金融市场的日益成熟和银行产品的不断丰富,未来利率波动性将会不断加大,利率风险逐渐成为影响我国商业银行稳健经营的实质性风险,管理和防范利率风险已成为银行风险管理的重要内容。当前我国农村商业银行大部分业务属于银行账户,利率市场化的推进必使农村商业银行面临的利率风险对银行的影响更加严峻。巴塞尔委员会发布的Basel Ⅱ将利率风险归入“第二支柱”,我国银监会2009年发布的《商业银行银行账户利率风险管理指引》提出了商业银行银行账户利率风险管理体系建设指导意见,同时也提供了技术标杆。本文首先介绍了银行账户利率风险的概念,国内外研究现状,介绍了计量经济模型；其次,根据研究对象的特点,选择合适的利率风险度量模型从银行账户利率风险对银行的短期影响和长期影响两个角度对ZJC农商银行和GC农商银行进行分析：短期影响使用巴塞尔推荐的模拟利率上升200基点冲击法,计量对银行净利息收入的影响,因利率变动单一,本文考虑不同利率变动情况；长期影响主要使用巴塞尔200基点标准久期对银行经济价值的影响,由于此方法未考虑凸度,本文在分析的基础上,又使用凸度修正的标准久期分析方法对银行经济价值影响进行分析。最后,基于研究的结论对农商银行提高银行账户利率风险管理水平和监管要求提出相应的政策建议。本文研究的意义在于,分析和计量ZJG农商银行和GC农商银行的银行账户利率风险,结合农商银行业务特点和利率风险管理现状,从满足监管要求和提高银行竞争力及适应利率市场化的角度出发,给出农商银行提高银行账户利率风险管理水平的建设性意见。
[Abstract]:With the development of interest rate marketization in China, the maturity of financial market and the enrichment of bank products, the volatility of interest rate will continue to increase in the future. Interest rate risk has gradually become a substantial risk that affects the steady operation of commercial banks in China, and the management and prevention of interest rate risk has become an important part of bank risk management. At present, most of the business of rural commercial banks in our country belongs to bank accounts, and the promotion of interest rate marketization will make the impact of interest rate risk on banks more severe. Basel II, released by the Basel Committee, classified interest rate risk as "pillar two". China Banking Regulatory Commission issued in 2009 "Commercial Bank account interest rate risk Management guidelines" put forward the commercial bank account interest rate risk management system construction guidance, but also provides a technical benchmark. This paper first introduces the concept of interest rate risk of bank account, the current research situation at home and abroad, introduces the econometric model, secondly, according to the characteristics of the research object, Choosing the appropriate interest rate risk Measurement Model to analyze ZJC and GC Agro-Commercial Bank from the Perspective of Short-term and Long-Term effects of interest rate risk on Bank account: Short-term impact Simulation using Basel recommendation Interest rate increases by 200 basis points The effect of measurement on the net interest income of banks is considered in this paper because of the single change of interest rate, and in the long run the effect of Basel 200 basis point standard duration on the economic value of banks is mainly used, because the convexity is not taken into account in this method. On the basis of the analysis, this paper analyzes the influence of bank economic value by using the standard duration analysis method of convexity correction. Finally, based on the conclusion of the study, the paper puts forward corresponding policy recommendations to improve the bank account interest rate risk management level and regulatory requirements. The significance of this study is to analyze and measure the interest rate risk of bank account of ZJG and GC Agricultural and Commercial Bank, combined with the characteristics of agricultural and commercial bank business and the current situation of interest rate risk management. From the point of view of meeting the requirements of supervision, improving the competitiveness of banks and adapting to the marketization of interest rates, this paper gives some constructive suggestions on how to improve the level of interest rate risk management of bank accounts by agricultural and commercial banks.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.35

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