利率市场化背景下中小商业银行利率风险研究

发布时间：2018-04-28 04:46

本文选题：中小商业银行 + 利率风险　；参考：《郑州大学》2014年硕士论文

【摘要】：2012年中国人民银行扩大人民币存贷款利率浮动范围,2013年再次出手取消贷款利率下限,标志着我国利率市场化又迈出了关键而又扎实的一步。同时以余额宝为代表的互联网金融产品直接同商业银行展开竞争,自下而上倒逼利率市场化改革。新时期、新形势、新需求都在促使利率市场化改革进程不断加速。利率市场化改革在改善社会主义市场经济、促进资金优化配置等方面有着深远的影响,但同时我们也应当看到,利率市场化给商业银行尤其是中小商业银行也带来的新的挑战,而其中最为严峻的就是利率风险的凸显。中小商业银行能否有效地管理本行的利率风险,直接关系到自身的生死存亡、金融业的稳定以及我国经济的健康发展。因此,有必要对我国中小商业银行面临的利率风险极其管理进行系统的研究和探索。相对于大型商业银行来讲,中小商业银行在利率市场化中面临着更大的利率风险,美国以及其他地区中小商业银行在利率市场化完成后大量破产就是我国银行的前车之鉴。通过利用回归分析、利率敏感性缺口模型以及期权定价模型的分析也验证了这一看法。其具体原因主要包括以下几点：首先我国缺乏一套为中小商业银行量身打造的利率风险管理方法,导致中小商业银行普遍难以从容面对复杂的利率风险；其次,中小商业银行自身由于核心资本充足率以及中间业务收入占比都较小,导致应对利率风险的能力较弱。再次,中小商业银行经营同质化严重以及在利率定价中处于不利地位。最后,中小商业银行主要客户是违约风险较大的中小企业。为了从根本上解决我国中小商业银行存在利率风险管理中存在的种种缺陷,增强中小商业银行应对利率市场化挑战、管理利率风险的能力,当务之急是建立起来一套符合中小商业银行特点、在中小商业银行能力范围之内的利率管理体系。该管理体系主要包括建立起来利率风险管理的组织架构、存贷款利率定价模型等内容,同时应当从短期和长期双管齐下,通过采用金融衍生产品、与其他商业银行就利率风险管理展开合作、发挥比较优势实行差异化经营等策略,努力提高自身的利率风险管理能力。相信随着我国金融体制的不断完善,中小商业银行的自身的不断发展、对于利率风险重视程度不断提升、风险管理能力不断的加强,定能够有效地应对利率市场化带来的挑战,更好地发挥其支持实体经济发展的作用。
[Abstract]:The people's Bank of China expanded the floating range of RMB deposit and loan rates in 2012 and again removed the lower limit of lending rates in 2013, marking another key and solid step in China's interest rate liberalization. At the same time, the Internet financial products represented by Yu'e Bao directly compete with commercial banks and push the reform of interest rate marketization from bottom to top. In the new period, new situation and new demand are accelerating the reform process of interest rate marketization. The reform of interest rate marketization has a profound influence on improving the socialist market economy and promoting the optimal allocation of funds, but at the same time, we should also see that the marketization of interest rate also brings new challenges to commercial banks, especially small and medium-sized commercial banks. One of the most severe is the highlight of interest rate risk. Whether small and medium-sized commercial banks can effectively manage their interest rate risk is directly related to their own survival and death, the stability of the financial industry and the healthy development of our economy. Therefore, it is necessary to systematically study and explore the interest rate risk and its management of small and medium-sized commercial banks in China. Compared with large commercial banks, small and medium-sized commercial banks are facing a greater interest rate risk in the interest rate marketization. A large number of bankruptcy of small and medium-sized commercial banks in the United States and other regions after the completion of interest rate marketization is a lesson for Chinese banks. This view is verified by regression analysis, interest rate sensitivity gap model and option pricing model. The specific reasons include the following: first, the lack of a set of interest rate risk management method for small and medium-sized commercial banks, which makes it difficult for small and medium-sized commercial banks to face the complex interest rate risk; secondly, Because of the small proportion of core capital adequacy and intermediate business income, the ability of small commercial banks to deal with interest rate risk is weak. Thirdly, the medium and small commercial banks are in a bad position in the interest rate pricing. Finally, the main customers of small and medium-sized commercial banks are small and medium-sized enterprises with higher default risk. In order to fundamentally solve the defects of interest rate risk management in small and medium-sized commercial banks of our country, strengthen the ability of small and medium-sized commercial banks to deal with the challenge of interest rate marketization and manage interest rate risk. The urgent task is to set up a set of interest rate management system in accordance with the characteristics of small and medium commercial banks and within the scope of their ability. The management system mainly includes the establishment of an organizational structure for interest rate risk management, the pricing model of deposit and loan interest rates, and so on. At the same time, it should be done in both short and long terms, through the adoption of financial derivatives. Cooperation with other commercial banks on interest rate risk management, exerting comparative advantage and implementing differentiated management strategy, and striving to improve their own interest rate risk management ability. It is believed that with the continuous improvement of China's financial system and the continuous development of small and medium-sized commercial banks, the interest rate risk has been continuously promoted, and the risk management ability has been continuously strengthened, which will be able to effectively meet the challenges brought by the marketization of interest rates. Better play its role in supporting the development of the real economy.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F224

【参考文献】