利率市场化背景下农村信用社利率风险研究

发布时间：2018-05-03 16:11

本文选题：利率市场化 + 农村信用社　；参考：《长沙理工大学》2014年硕士论文

【摘要】：随着金融体制改革步伐不断加快,利率已经逐步从政府管制时代向市场化时代推进,利率风险已经成为银行业面临的主要风险之一。而长期处于利率管制下的农村信用社,其以往面临的利率风险相对较小,由于缺乏利率风险管理的需求和动力,造成其利率风险管理存在诸多问题。利率放开之后,面对利率的变动,农村信用社应该如何对利率风险进行管理,规避损失,是其将要面临的现实问题。本文基于利率市场化与利率风险相关理论,以研究利率市场化背景下农村信用社利率风险为主线,沿着利率风险识别、度量和管理的思路推进,以期为提升农村信用社的利率风险管理水平提供相应的对策建议,实现其对利率风险的有效防范。首先,对农村信用社利率风险现状进行分析。在介绍我国利率市场化进程的基础上,指出利率市场化会造成农村信用社存贷利差的减少和利率风险管理难度的增加；定性识别得出农村信用社存在重新定价风险、基准风险、选择权风险以及利率操作风险,并运用资本充足率和资产负债率两个指标分析,得出了农村信用社抵御风险能力较弱的基本结论；同时通过比较分析法描述了农村信用社利率风险管理存在管理意识淡薄、专业管理人才缺乏和管理方法缺失等问题。其次,是对农村信用社的利率风险进行度量。运用利率敏感性缺口模型和VaR模型量化了利率风险的大小,实证得出其长期存在负缺口,面临的利率风险较大,应该加强对利率风险的管理。最后基于实证结论分析,结合农村信用社利率风险管理存在的问题,提出了要从增强利率风险管理意识、建立完善的利率风险内部管理体系、明确其市场定位以及监管当局创造良好的利率风险管理运行环境四方面着手提升农村信用社利率风险管理水平,实现对利率风险的有效控制。
[Abstract]:With the speeding up of the reform of the financial system, interest rate has gradually advanced from the era of government control to the era of marketization, and interest rate risk has become one of the main risks facing the banking industry. However, the interest rate risk faced by the rural credit cooperatives under the interest rate control for a long time is relatively small. Because of the lack of demand and power of interest rate risk management, there are many problems in the interest rate risk management. After the liberalization of interest rate, facing the change of interest rate, how to manage the risk of interest rate and avoid the loss is the realistic problem that rural credit cooperatives will face. Based on the theory of interest rate marketization and interest rate risk, this paper studies the interest rate risk of rural credit cooperatives under the background of marketization of interest rate as the main line, and advances along the train of thought of interest rate risk identification, measurement and management. In order to improve the interest rate risk management level of rural credit cooperatives to provide corresponding countermeasures to achieve its effective prevention of interest rate risk. First of all, the current situation of interest rate risk of rural credit cooperatives is analyzed. On the basis of introducing the process of interest rate marketization in our country, it is pointed out that the marketization of interest rate will result in the reduction of deposit and loan spreads and the increase in the difficulty of interest rate risk management in rural credit cooperatives, and the qualitative identification of the existence of re-pricing risk and benchmark risk in rural credit cooperatives, Right of option risk and interest rate operating risk, and the use of capital adequacy ratio and asset-liability ratio two indicators analysis, the rural credit cooperatives to resist the risk of weak basic conclusion; At the same time, the paper describes the problems of interest rate risk management of rural credit cooperatives, such as weak management consciousness, lack of professional management personnel and lack of management methods. Secondly, it measures the interest rate risk of rural credit cooperatives. The interest rate risk is quantified by using the interest rate sensitivity gap model and VaR model. It is found that there is a negative gap in interest rate risk for a long time, and the interest rate risk is large. Therefore, the management of interest rate risk should be strengthened. Finally, based on the empirical analysis and the problems of interest rate risk management in rural credit cooperatives, this paper puts forward that we should strengthen the awareness of interest rate risk management and establish a perfect internal management system of interest rate risk. Clear its market position and regulatory authorities to create a good operating environment of interest rate risk management four aspects to improve the level of interest rate risk management of rural credit cooperatives to achieve effective control of interest rate risk.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;F832.35

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