利率市场化进程下我国商业银行利率风险研究

发布时间：2018-08-09 12:11

【摘要】：金融深化改革于二十世纪七八十年代在世界各国陆续展开,基本以利率市场化为核心,结果表明,这一举措对优化资源配置、提高金融创新能力、提升银行业的综合竞争力等方面发挥了举足轻重的作用,对各国和地区的经济金融发展产生了重要意义。我国的利率市场化改革已稳步进行了20年,在改革的过程中,我国商业银行面临的利率风险也处于不断变化的状态。到现在为止,我国的利率市场化已经发展到比较高的程度,在这样的背景下对于利率风险的研究,有助于提高商业银行对利率风险的认识,改善其管理策略,提升自身的管理水平。本文在利率市场化进程下,研究和分析了我国商业银行的利率风险。通过对文献的整理和归纳,发现国内外对利率市场化和利率风险的研究很多且深入。但也发现重点还是在理论研究上,对不同类型的银行在利率风险管理上没有做细致的区分,对策建议偏理论,不够全面和系统。本文就试着解决这个问题,首先用常见的敏感性缺口模型,将商业银行分为三类,收集2006年到2014年的敏感性缺口值,分析和比较短期缺口值的特点和变化,发现大型国有商业银行的缺口值最大,且波动幅度和范围较大,说明这类银行的风险暴露程度大,灵敏度不强。在接下来的VaR模型中,用2007年到2014年同业拆借市场隔夜拆借利率做实证,分别用参数法和非参数法分析,将2015年的数据做回测检验,发现GED分布下的GARCH模型能很好地拟合和度量利率风险,基于这个模型,计算出不同类别银行的VaR值,通过对VaR值的观察和比较发现,此时股份制商业银行的风险头寸最大。出现这样的结果主要有几个原因:一是样本数据和年限不同,敏感性缺口模型的样本数据来源于各个商业银行年报,包含了同业拆借市场在内;二是不同的模型衡量不同的对象,这也会导致结果不同;三是各个模型的侧重点不同。总体上来讲,我国商业银行利率风险整体上偏高,风险头寸大,负缺口现象和期限错配问题严重。在宏观上,要加快完善对国内金融市场的建设,加强对利率的监管和调控,加强对相关信息的披露,调整和完善相关法律法规;微观上,商业银行应当加强自身的风险度量能力,快速健康发展中间业务,积极主动优化自身资产负债结构,改善期限错配问题,同时提高利率预测和风控管理能力。
[Abstract]:The deepening of financial reform began in the 1970s and 1980s in various countries around the world, with the interest rate marketization as the core. The results show that this measure will improve the allocation of resources and enhance the ability of financial innovation. It plays an important role in promoting the comprehensive competitiveness of the banking industry and plays an important role in the economic and financial development of various countries and regions. China's interest rate marketization reform has been carried out steadily for 20 years. In the process of reform, the interest rate risk faced by Chinese commercial banks is also in a state of constant change. Up to now, the interest rate marketization in our country has developed to a relatively high degree. Under this background, the research on interest rate risk will help commercial banks to understand interest rate risk and improve their management strategy. Improve your own management level. Under the process of interest rate marketization, this paper studies and analyzes the interest rate risk of Chinese commercial banks. Through the collation and induction of the literature, it is found that there are many and deep researches on interest rate marketization and interest rate risk at home and abroad. However, it is also found that the focus is on the theoretical research, the different types of banks in the interest rate risk management did not make a careful distinction, countermeasures and suggestions partial to the theory, not comprehensive and systematic. This paper tries to solve this problem. Firstly, the commercial banks are divided into three categories by using the common sensitivity gap model. The sensitivity gap values from 2006 to 2014 are collected, and the characteristics and changes of the short-term gap values are analyzed and compared. It is found that the gap value of large state-owned commercial banks is the largest, and the fluctuation range and range are large, which indicates that the risk exposure degree of these banks is large and the sensitivity is not strong. In the next VaR model, we use the overnight interest rate from 2007 to 2014 to analyze the 2015 data by using the parametric method and the non-parametric method, respectively. It is found that the GARCH model under the GED distribution can fit and measure the interest rate risk very well. Based on this model, the VaR value of different banks is calculated. Through the observation and comparison of the VaR value, it is found that the joint-stock commercial banks have the largest risk position at this time. There are several reasons for such a result: first, the sample data of the sensitivity gap model come from the annual report of each commercial bank, including the interbank lending market; Second, different models measure different objects, which will lead to different results; third, the emphasis of each model is different. Generally speaking, the interest rate risk of commercial banks in our country is on the high side, the risk position is large, the negative gap phenomenon and the term mismatch problem are serious. At the macro level, it is necessary to speed up the construction of the domestic financial market, strengthen the supervision and control of interest rates, strengthen the disclosure of relevant information, adjust and improve relevant laws and regulations. Commercial banks should strengthen their own risk measurement ability, develop their intermediary business quickly and healthily, actively optimize their asset-liability structure, improve the term mismatch problem, and improve their interest rate forecasting and wind control management ability at the same time.
【学位授予单位】：重庆工商大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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