利率市场化背景下我国商业银行的利率风险研究

发布时间：2018-05-14 09:06

本文选题：利率市场化 + 商业银行　；参考：《上海外国语大学》2017年硕士论文

【摘要】：2013年7月经国务院批准,中国人民银行宣布自24日起放开商业银行和农村合作社等金融机构的贷款利率管制。两年后,央行宣布2015年10月24日起正式放开对存款利率的管制,标志着我国真正实现了存贷款利率的利率市场化改革,完成了我国利率改革重要的一步。随着利率市场化的逐步推进,商业银行面对利率市场化带来的机遇的同时,其面临的风险尤其是利率风险也在逐渐凸显,随着市场利率的波动加剧,利率风险渐渐成为商业银行面临的主要风险之一,因此如何识别利率风险、合理的使用风险测度模型来度量风险、有效的管理风险从而使得商业银行在市场化改革过程中维持稳定的发展成为目前我国商业银行需要重视和解决的问题。本文将从利率风险的成因、度量和管理三个角度出发对我国商业银行的利率风险进行研究。首先在对现有文献进行梳理的基础上对商业银行利率风险的类别和成因进行介绍。根据利率风险的特征将利率风险分为短期风险和长期风险,其中长期风险包括巴塞尔委员会确定重新定价风险、期权风险、基准风险和收益率曲线风险。接着分析利率风险的产生原因包括利率波动的加剧、利差的逐渐收窄、银行经营结构的单一等。在利率风险的度量方面先介绍目前常用的利率风险度量模型,在综合比较的基础上,考虑我国目前利率风险管理现状,首先选取VaR模型来度量利率变动产生的利率风险。本文选取利率市场化水平最高的SHIBOR和同业拆借市场作为研究对象,以模拟市场化后利率变动产生的利率风险情况。在对数据进行检验分析的基础上,选取GARCH模型并基于不同的残差分布假设对利率风险进行度量,通过Kupiec回测检验发现GED分布假设下的GARCH模型可以较好的描述利率波动带来的利率风险。在对商业银行交易账户利率风险进行描述的基础上,使用了利率敏感性缺口模型进行商业银行总体利率风险的实证分析,对我国商业银行面临的总体利率风险进行补充。最后,从国家层面和银行自身层面两部分出发,对我国商业银行利率风险的管理提出相关政策建议包括完善金融市场发展、促进存款保险制度的推进、银行优化营业结构、升级利率风险度量工具、增加人才培养等。
[Abstract]:With the approval of the State Council in July 2013, the people's Bank of China announced that it will liberalize the interest rate on loans from commercial banks and rural cooperatives and other financial institutions from the 24th. Two years later, the central bank announced the formal deregulation of deposit interest rate from October 24, 2015, which indicates that our country has really realized the interest rate marketization reform of deposit and loan interest rate, and has completed an important step of interest rate reform in our country. With the gradual promotion of interest rate marketization, commercial banks are facing the opportunity of interest rate marketization, and at the same time, the risks they face, especially the interest rate risk, are also gradually highlighted. Interest rate risk has gradually become one of the main risks faced by commercial banks. The effective management of risks makes it necessary for commercial banks to maintain a stable development in the process of market-oriented reform. At present, commercial banks in China need to pay attention to and solve the problems. This paper studies the interest rate risk of commercial banks in China from three angles: the cause of interest rate risk, the measurement and the management of interest rate risk. Firstly, this paper introduces the types and causes of interest rate risk of commercial banks on the basis of combing the existing literature. According to the characteristics of interest rate risk, the interest rate risk is divided into short-term risk and long-term risk. The medium- and long-term risk includes the risk of repricing determined by Basel Committee, option risk, benchmark risk and yield curve risk. Then it analyzes the causes of interest rate risk, including the aggravation of interest rate fluctuation, the narrowing of interest rate difference, the singleness of bank management structure and so on. In the aspect of the measurement of interest rate risk, this paper first introduces the commonly used interest rate risk measurement model. On the basis of comprehensive comparison, considering the present situation of interest rate risk management in China, the VaR model is selected to measure the interest rate risk caused by the change of interest rate. In order to simulate the interest rate risk caused by the change of interest rate after marketization, this paper selects SHIBOR and the interbank borrowing market as the research object, which has the highest level of interest rate marketization. Based on the test and analysis of the data, the GARCH model is selected and the interest rate risk is measured based on different residual distribution assumptions. It is found that the GARCH model under the GED distribution hypothesis can better describe the interest rate risk caused by the interest rate fluctuation through the Kupiec test. On the basis of describing the interest rate risk of the commercial bank transaction account, the paper uses the interest rate sensitivity gap model to analyze the overall interest rate risk of the commercial bank, and complements the overall interest rate risk faced by the commercial banks in our country. Finally, from the national level and the bank's own level two parts, put forward the relevant policy recommendations to our country commercial bank interest rate risk management, including perfecting the financial market development, promoting the promotion of deposit insurance system, optimizing the business structure of the bank. Upgrade interest rate risk measurement tools, increase talent training and so on.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.5;F832.33

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