利率市场化背景下中国农业银行利率风险管理研究
发布时间：2019-01-02 20:36
【摘要】：20世纪70年代以来,各国逐渐以金融深化来促进经济的发展,利率市场化作为金融深化的核心,也成为各国发展金融市场的主流趋势。随着中国利率市场化改革的不断深入,市场对利率的决定作用日渐表现出来,由此带来的不确定因素正在对自计划经济模式转型而来的中国农业银行产生巨大的影响,并深刻地改变着其生存环境和行为准则。作为金融市场的微观主体,中国农业银行不可避免地面临利率市场化的挑战,由于利率水平表现出的不确定性和多变性,利率风险将成为中国农业银行的主要风险。如何对利率风险进行系统管理,成为学术界和金融业界人士关注的问题。 本文以利率市场化改革为研究背景,首先对利率和利率市场化的基本理论、国内外利率市场化的历史进程和利率市场化对商业银行的影响进行了介绍,系统阐述了利率风险的定义、种类、成因及衡量和管理方法。随后,在比较借鉴国际商业银行成熟的利率风险度量模型的基础上,运用利率敏感性缺口模型,对利率市场化给中国农业银行带来的利率风险相关影响指标进行了实证分析。通过实证分析可知,中国农业银行一年期以上资产和负债的匹配不均衡,面临着较大的长期利率风险,在防范利率风险方面不够灵活,存在着“短借长贷”的现象。最后,通过分析中国农业银行风险管理现状和利率风险管理的不足,提出了相关建议。
[Abstract]:Since 1970s, various countries have gradually promoted the economic development with financial deepening. As the core of financial deepening, interest rate marketization has also become the mainstream trend of developing financial markets. With the deepening of China's interest rate marketization reform, the role of the market in determining interest rates is gradually manifested. The uncertainty brought about by this is having a huge impact on the Agricultural Bank of China, which has been transformed from the planned economy mode. And profoundly change its living environment and the code of conduct. As the micro subject of financial market, Agricultural Bank of China inevitably faces the challenge of interest rate marketization. Because of the uncertainty and variability of interest rate level, interest rate risk will become the main risk of Agricultural Bank of China. How to systematically manage the interest rate risk has become the concern of the academic and financial circles. This article takes the interest rate marketization reform as the research background, first of all has carried on the introduction to the interest rate and the interest rate marketization basic theory, the domestic and foreign interest rate marketization historical progress and the interest rate marketization influence to the commercial bank. The definition, types, causes, measurement and management methods of interest rate risk are systematically expounded. Then, on the basis of comparing the mature international commercial banks' interest rate risk measurement model, using the interest rate sensitivity gap model, the paper makes an empirical analysis of the interest rate risk related impact indicators brought by the interest rate marketization to the Agricultural Bank of China. Through empirical analysis, we can see that the matching of assets and liabilities of Agricultural Bank of China for one year or more is not balanced, and it is faced with larger long-term interest rate risk, so it is not flexible enough to guard against interest rate risk, and there exists the phenomenon of "short borrowing long loan". Finally, by analyzing the current situation of risk management of Agricultural Bank of China and the deficiency of interest rate risk management, the paper puts forward some relevant suggestions.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33
本文编号：2398959
[Abstract]:Since 1970s, various countries have gradually promoted the economic development with financial deepening. As the core of financial deepening, interest rate marketization has also become the mainstream trend of developing financial markets. With the deepening of China's interest rate marketization reform, the role of the market in determining interest rates is gradually manifested. The uncertainty brought about by this is having a huge impact on the Agricultural Bank of China, which has been transformed from the planned economy mode. And profoundly change its living environment and the code of conduct. As the micro subject of financial market, Agricultural Bank of China inevitably faces the challenge of interest rate marketization. Because of the uncertainty and variability of interest rate level, interest rate risk will become the main risk of Agricultural Bank of China. How to systematically manage the interest rate risk has become the concern of the academic and financial circles. This article takes the interest rate marketization reform as the research background, first of all has carried on the introduction to the interest rate and the interest rate marketization basic theory, the domestic and foreign interest rate marketization historical progress and the interest rate marketization influence to the commercial bank. The definition, types, causes, measurement and management methods of interest rate risk are systematically expounded. Then, on the basis of comparing the mature international commercial banks' interest rate risk measurement model, using the interest rate sensitivity gap model, the paper makes an empirical analysis of the interest rate risk related impact indicators brought by the interest rate marketization to the Agricultural Bank of China. Through empirical analysis, we can see that the matching of assets and liabilities of Agricultural Bank of China for one year or more is not balanced, and it is faced with larger long-term interest rate risk, so it is not flexible enough to guard against interest rate risk, and there exists the phenomenon of "short borrowing long loan". Finally, by analyzing the current situation of risk management of Agricultural Bank of China and the deficiency of interest rate risk management, the paper puts forward some relevant suggestions.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33
【参考文献】
相关期刊论文 前3条
1 张其林;;利率市场化的国际经验及对我国的启示[J];商场现代化;2007年06期
2 王红娜;乔冬灵;韩雅静;;利率市场化下各因素与利率关系分析[J];商场现代化;2010年16期
3 庞东;;中国利率市场化的发展及前景展望[J];西部金融;2012年08期
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