基于分形市场理论的利率风险研究

发布时间：2018-07-12 14:28

本文选题：利率市场化 + 利率风险　；参考：《兰州财经大学》2017年硕士论文

【摘要】：从我国开始执行市场经济制度开始,我国在利率的管制上一直比较严格。但是自从上海同业拆借市场在2007年1月4日开始正式运行;以及2013年7月19日央行宣布自2013年7月20日起全面放开金融机构贷款利率管制,取消金融机构贷款利率0.7倍的下限;以及之后2015年10月23日央行宣布,对商业银行和农村合作金融机构等不再设置存款利率浮动上限。这些都表明中国已经基本取消利率管制、实现利率市场化了。因此,对于完全利率市场化之下和利率风险的识别及其防范的相关研究又重新出现在了人们的视线当中。目前在我国,金融行业蓬勃发展,各类资本不断介入,金融机构的类型不断丰富,数量不断增加,各个金融机构间资金链的关联越来越复杂。在金融越发工程化的现在,利率风险的识别和控制越来越系统和复杂,过去简单的头寸匹配和利用会计方法控制利率缺口的方式越来越捉襟见肘。同时现在金融市场参与主体也不单纯是商业银行,更多的民营金融机构和投行的加入也使得利率风险的类型也不再是过去简单的几类。因此在面对利率风险的识别和防范问题时,就需要其他的理论和方法来进一步拓宽视野。本文研究的主要内容是通过引入了分形市场理论,分析两个不同层次的金融主体利率,同业拆借市场和P2P网贷市场。我国商业银行和网贷平台分别代表大型金融机构以及中小型金融机构面临的利率风险,以上海同业拆借利率来分析商业银行利率风险的影响,以网贷实时利率来分析中小型金融机构面临的金融风险。从非线性的观点出发,提出了更符合实际的利率市场基本假设——分形市场假说,来解决这种多层次非线性的利率市场问题。运用改良过的分形分布计算同业拆借头寸和网贷机构头寸的风险价值(Value-at-Risk,简称VaR),并通过此方法对其头寸的利率风险进行了理论总结和实证分析,表明采用分形分布来拟合利率风险是合理的,然后在此基础上提出复杂利率环境下利率风险的防范的量化评级和风险的规避方式的转变。最后对我国商业银行如何加强利率风险化管理提出建议。本文将分形市场和利率风险结合到一起,研究利率市场化后对以大型商业银和中小型互联网金融企业带来的利率风险。在利率风险测量方法上,本文采用分形分布计算风险值(VaR),通过这种方法来测量我国金融企业所面临的利率风险。在风险管理建议方面,提出复杂利率环境下利率风险的防范的量化评级和风险的规避方式的转变。
[Abstract]:Since China began to implement the market economy system, our interest rate control has been relatively strict. However, since the Shanghai interbank lending market began to operate on January 4, 2007, and on July 19, 2013, the central bank announced that it has fully liberalized the interest rate of financial institutions loans since July 20, 2013, and removed the lower limit of 0.7 times the lending rate of financial institutions. And then, on October 23, 2015, the central bank announced that it would no longer impose a ceiling on the floating rates of deposits, such as commercial banks and rural cooperative financial institutions. All these indicate that China has basically abolished interest rate control and realized interest rate marketization. Therefore, the related research on the identification and prevention of interest rate risk under the marketization of complete interest rate has reappeared in the sight of people. At present, with the booming development of financial industry, various kinds of capital intervene, the types of financial institutions are increasing, the number of financial institutions is increasing, and the relationship between financial institutions is becoming more and more complex. With the development of financial engineering, the identification and control of interest rate risk is becoming more and more systematic and complex, and the simple position matching and accounting methods are more and more difficult to control the interest rate gap in the past. At the same time, the financial market participants are not only commercial banks, more private financial institutions and investment banks also make the type of interest rate risk is no longer the simple types of the past. Therefore, in the face of interest rate risk identification and prevention, we need other theories and methods to further broaden the field of vision. The main content of this paper is the introduction of fractal market theory to analyze two different levels of financial interest rates interbank lending market and P2P network lending market. China's commercial banks and Internet lending platforms represent the interest rate risks faced by large financial institutions and small and medium-sized financial institutions, respectively, and analyze the impact of interest rate risks on commercial banks by using the Shanghai Interbank offered rate. The real-time interest rate of net loan is used to analyze the financial risk faced by medium and small financial institutions. From the point of view of nonlinearity, a more realistic basic hypothesis of interest rate market, fractal market hypothesis, is proposed to solve this kind of multi-level nonlinear interest rate market problem. Using the improved fractal distribution to calculate the Value-at-Risk (Value-at-Risk) of the interbank lending position and the position of the network lending institution, and through this method to carry on the theoretical summary and the empirical analysis to the interest rate risk of its position. It shows that it is reasonable to use fractal distribution to fit interest rate risk, and then puts forward the quantification rating of interest rate risk prevention and the change of risk evading mode in complex interest rate environment. Finally, some suggestions on how to strengthen the risk management of interest rate in Chinese commercial banks are put forward. In this paper, the fractal market and interest rate risk are combined to study the interest rate risk to large commercial silver and small and medium-sized Internet financial enterprises after the interest rate marketization. In the interest rate risk measurement method, this paper uses fractal distribution to calculate the risk value (VaR), through this method to measure the interest rate risk that our country financial enterprise faces. In the aspect of risk management suggestions, the paper puts forward the quantification rating of interest rate risk prevention and the change of risk evading mode under complex interest rate environment.
【学位授予单位】：兰州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832

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