利率市场化下的商业银行利率风险研究

发布时间：2018-01-02 01:06

本文关键词：利率市场化下的商业银行利率风险研究　出处：《山东大学》2014年硕士论文　论文类型：学位论文

【摘要】：20世纪60年代,世界各国纷纷意识到利率管制对本国金融市场带来的负面影响,于是逐渐放开了对利率的管制,走上了利率市场化之路。这些国家在改革利率市场化时,有采取的是渐进式改革,也有采取的是激进式改革,有的取得了成功,也有的以失败而告终,这也说明利率市场化是一件非常复杂的工程。我国是自1995年提出的利率市场化的思路,至今为止这项改革在我国也经历了一个非常漫长的过程,到目前我国利率市场化已取得了很大的成效。对于商业银行,一方面利率市场化可以为其带来一定的发展机遇,比如有利于商业银行资源的优化配置,提高了商业银行经营的自主性,但另一方面也为其带来了很多的风险,尤其是利率风险。利率风险属于银行的恒久性风险,会长期伴随着利率的变动而存在。如何帮助商业银行应对利率风险成为金融界和金融学术界广泛关注的问题,很多学者也展开了对利率市场化下的利率风险研究,并取得了丰硕的研究成果。本文选择利率市场化下的利率风险为研究内容,以中国农业银行为研究对象,通过农业银行的个例分析得出我国商业银行在利率风险的现状。结果表明我国商业银行对利率风险的度量还不是特别准确,而利率风险防范工具还不完善,应对利率风险的能力还有待提高。基于利率市场化下我国商业银行的利率风险及应对现状,本文的目的主要是为商业银行提供一些应对利率风险管理的措施,为在利率市场化进程中对我国商业银行利率风险管理作出重要的贡献。由此可见,本文的研究内容对利率风险的管理具有一定的理论意义及实际意义。本文主要采用文献研究法、数理统计法、案例分析法等方法,将文章分为六个部分展开研究。第一部分是文章的导论,主要介绍了研究背景及意义、研究方法、基本思路、可能的创新与不足,并梳理了国内外研究现状；第二部分主要介绍各国利率市场化的进程,从发达国家、发展中国家两个方面考虑,并总结了这些国家利率市场化进程中的经验；第三部分是对利率风险的研究,包括商业银行利率风险的分类、利率风险的度量方法、利率风险防范的工具等内容；第四部分是分析利率市场化下我国商业银行利率风险及风险管理,以农业银行为例,分析了利率风险及应对利率风险的能力；第五部分主要从微观及宏观的角度,提出了若干应对利率风险的对策；第六部分是对本文的总结。
[Abstract]:In 1960s, many countries around the world realized the negative impact of interest rate control on their financial markets, and gradually liberalized the control of interest rates. These countries have adopted gradual reform and radical reform in the reform of interest rate marketization, some of which have been successful and some have ended in failure. This also shows that interest rate marketization is a very complex project. Since 1995, our country put forward the idea of interest rate marketization, so far this reform has also experienced a very long process in our country. For commercial banks, on the one hand, marketization of interest rates can bring certain opportunities for its development, such as conducive to the optimal allocation of resources of commercial banks. On the other hand, it also brings a lot of risks, especially the interest rate risk, which belongs to the permanent risk of the bank. With the change of interest rate for a long time, how to help commercial banks to deal with interest rate risk has become a widespread concern in financial circles and financial academia. Many scholars have also carried out the interest rate risk research under the interest rate marketization, and obtained abundant research results. This paper chooses the interest rate risk under the interest rate marketization as the research content, taking the Agricultural Bank of China as the research object. The results show that the measurement of interest rate risk is not particularly accurate, and the interest rate risk prevention tools are not perfect. The ability to deal with interest rate risk needs to be improved. Based on the interest rate risk and the current situation of Chinese commercial banks under the interest rate marketization, the purpose of this paper is to provide some measures to deal with interest rate risk management for commercial banks. In order to make an important contribution to the interest rate risk management of Chinese commercial banks in the process of interest rate marketization, it can be seen that the research content of this paper has certain theoretical and practical significance to the management of interest rate risk. This article mainly uses the literature research method, the mathematical statistics method, the case analysis method and so on, divides the article into six parts to carry out the research. The first part is the introduction of the article, mainly introduces the research background and the significance. Research methods, basic ideas, possible innovations and deficiencies, and combing the domestic and foreign research status; The second part mainly introduces the process of interest rate marketization in various countries, considering from two aspects of developed and developing countries, and summarizes the experience of these countries in the process of interest rate marketization. The third part is the research of interest rate risk, including the classification of interest rate risk of commercial banks, the measurement method of interest rate risk, the tool of interest rate risk prevention and so on. Part 4th analyzes the interest rate risk and risk management of Chinese commercial banks under the interest rate marketization, taking the Agricultural Bank as an example, analyzes the interest rate risk and the ability to deal with the interest rate risk; Part 5th mainly from the micro and macro point of view, put forward a number of measures to deal with interest rate risk; Part 6th is a summary of this paper.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;F832.33

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