我国商业银行利率风险的度量与控制研究

发布时间：2018-07-09 23:42

本文选题：商业银行 + 利率风险　；参考：《安徽财经大学》2014年硕士论文

【摘要】：我国正处在利率市场化的大背景下,目前贷款利率市场化已经完成,存款利率市场化也在逐渐进行,利率市场化后我国商业银行必然面临日益严重的利率风险；并且国外经济体的经济金融政策变动也会对我国产生影响,比如说,美国的量化宽松政策,牵动各大经济体的神经,影响到利率波动,利率波动会导致利率风险的产生；利率风险是属于系统性风险,系统性风险不可分散,造成的后果具有普遍性,危害大。金融是经济的核心,我国金融机构中主体是商业银行,商业银行一旦发生风险,对金融、经济的负面影响很大,因此利率风险管理的重要性不言而喻。它包括对利率风险的识别、度量和控制等几个方面,本文首先对西方国家商业银行主要使用的利率风险度量方法给予介绍并比较分析,然后联系我国实际,得出最适用于我国商业银行的是利率敏感性缺口度量方法。商业银行实现有效地利率风险管理的关键环节之一是利率风险的控制,它可以分为两大类：表内控制(资产负债管理)和表外控制(金融衍生工具控制)。与中国现状结合,金融市场发展程度不高,避险工具品种有限,所以,当前国内商业银行利率风险的控制应主要集中在表内,而且应该把重点放在有更强主动性资产项目上。本文实证分析中是选择利率敏感性缺口模型来度量我国商业银行的利率风险,把研究的银行样本划为三类,选取缺口分析法中的三个指标对三类银行分别进行分析,实证分析表明：国有商业银行利率风险相对最大,城市商业银行利率风险也不容小觑,这两类商业银行“短存长贷”更为明显,股份制商业银行利率风险相对较小。根据实证分析,结合我国商业银行资产负债项目特点,并且根据各类银行自身的特点,商业银行应有区别的采取适合本银行的利率风险控制策略。最后,从银行自身和外部环境两个角度对提高我国商业银行的利率风险管理水平给予政策建议。
[Abstract]:Under the background of the marketization of interest rate , the marketization of the loan interest rate has been completed , and the marketization of deposit interest rate is gradually taking place . After the interest rate liberalization , our commercial banks will inevitably face the increasingly serious risk of interest rate ;
And the changes in the economic and financial policies of the foreign economies will also have an impact on our country , for example , the quantitative easing policy of the United States , involving the nerves of the major economies , affects interest rate fluctuations , and interest rate fluctuations can lead to the risk of interest rates ;
Interest rate risk is a kind of systematic risk , the systematic risk is not dispersed , the result has universality and harm , finance is the core of economy , the main body of the financial institution of our country is commercial bank , the negative impact on finance and economy is big , so the interest rate risk management is very important .

In the empirical analysis , the interest rate risk of commercial banks in China is measured by choosing the rate - sensitive gap model , and the bank samples are classified into three types , and the risk of interest rate of the commercial banks is relatively small . According to the empirical analysis , the interest rate risk of the stock - stock commercial banks is relatively small . According to the empirical analysis , the bank ' s interest rate risk control strategy should be adopted in combination with the characteristics of the banks themselves . Finally , the policy suggestions are given to the improvement of the interest rate risk management level of commercial banks in China from two angles of the bank ' s own and the external environment .
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

【参考文献】