本文關(guān)鍵詞： 利率市場化 資產(chǎn)負債管理 利率風(fēng)險　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：央行重啟利率市場化改革，對商業(yè)銀行資產(chǎn)負債管理提出了嚴峻考驗。在利率市場化進程中，一方面，商業(yè)銀行利率風(fēng)險急劇加大；另一方面，商業(yè)銀行利率風(fēng)險管理能力和資產(chǎn)負債管理經(jīng)驗不足，以利差為主的盈利模式面臨考驗。因此，為了提升我國商業(yè)銀行利率風(fēng)險管理能力和資產(chǎn)負債管理能力，本文通過研究國內(nèi)外商業(yè)銀行利率市場化改革和資產(chǎn)負債管理等相關(guān)理論和實踐，綜合運用案例分析、歷史分析、對比分析、利率敏感性缺口分析等分析方法，分析論證了我國商業(yè)銀行資產(chǎn)負債管理的現(xiàn)狀以及存在的主要問題，提出了我國商業(yè)銀行應(yīng)對利率市場化改革的有效策略。 本文在利率市場化和資產(chǎn)負債管理理論研究的基礎(chǔ)上，通過分析M銀行利率市場化背景下資產(chǎn)負債管理的現(xiàn)狀，提出了改進和完善我國商業(yè)銀行資產(chǎn)負債管理的主要策略。第一章是緒論，從論題的選取和論題的意義兩個方面，對國內(nèi)外資產(chǎn)負債方面文獻進行了回顧總結(jié)，并闡述文章的研究方法與框架；第二章為利率市場化改革和資產(chǎn)負債管理進程，，闡述了利率市場化和資產(chǎn)負債管理的相關(guān)理論和主要方法。引出了利率市場化和資產(chǎn)負債管理的定義及一般原理，以及與利率風(fēng)險管理相關(guān)的資產(chǎn)負債管理方法，并在此基礎(chǔ)上分析了利率市場化對商業(yè)銀行資產(chǎn)負債管理的影響。第三章為M銀行資產(chǎn)負債管理現(xiàn)狀以及存在的主要問題，以案例分析的方式，介紹了M銀行的基本情況和經(jīng)營現(xiàn)狀，在對M銀行資產(chǎn)負債總量和結(jié)構(gòu)進行分析的基礎(chǔ)上，提出了M銀行在資產(chǎn)負債管理中存在的主要問題。同時對國外商業(yè)銀行利率市場化進程中如何加強資產(chǎn)負債管理進行了具體闡述。第四章為利率市場化下我國商業(yè)銀行資產(chǎn)負債管理應(yīng)對策略，提出了我國商業(yè)銀行資產(chǎn)負債管理應(yīng)對利率市場化改革的主要策略。主要包括四方面內(nèi)容:一是明確和強化資產(chǎn)負債管理的目標和基本理念；二是加強資產(chǎn)負債產(chǎn)品組合管理；三是加強資產(chǎn)負債產(chǎn)品定價管理；四是加快推進金融創(chuàng)新。 最后為本文的結(jié)論部分，通過系統(tǒng)的研究和分析，本文得出如下結(jié)論：一是M銀行經(jīng)營業(yè)績和管理水平相對較高，但與區(qū)域內(nèi)大型上市銀行、西方主流商業(yè)銀行和監(jiān)管要求相比仍存較大差距；二是利率市場化改革使國內(nèi)商業(yè)銀行機遇與挑戰(zhàn)并存；三是商業(yè)銀行要通過合理設(shè)置利率風(fēng)險敞口來有效規(guī)避利率風(fēng)險；四是加強資產(chǎn)負債管理對于提升商業(yè)銀行整體經(jīng)營管理水平具有重大意義。
[Abstract]:When the central bank restarts the reform of interest rate marketization, it puts forward a severe test to the management of assets and liabilities of commercial banks. In the process of interest rate marketization, on the one hand, the interest rate risk of commercial banks increases sharply; On the other hand, the interest rate risk management ability of commercial banks and asset liability management experience is not enough, the profit model based on interest rate difference is facing the test. In order to improve the ability of interest rate risk management and asset liability management of Chinese commercial banks, this paper studies the domestic and foreign commercial banks interest rate marketization reform and asset liability management and other related theories and practices. Comprehensive use of case analysis, historical analysis, comparative analysis, interest rate sensitivity gap analysis and other analytical methods, analysis and demonstration of the current situation of China's commercial banks asset liability management and the main problems. This paper puts forward some effective strategies for Chinese commercial banks to deal with the reform of interest rate marketization. Based on the research of interest rate marketization and asset-liability management theory, this paper analyzes the current situation of asset liability management under the background of M bank interest rate marketization. This paper puts forward the main strategies to improve and perfect the asset liability management of commercial banks in China. The first chapter is the introduction, from the selection of topics and the significance of the topic, the domestic and foreign asset liability literature is reviewed and summarized. And expatiate the research method and frame of the article; The second chapter is interest rate marketization reform and asset-liability management process. This paper expounds the relevant theories and main methods of interest rate marketization and asset-liability management, and introduces the definition and general principle of interest rate marketization and asset-liability management. And the asset liability management method related to interest rate risk management. On this basis, this paper analyzes the impact of interest rate marketization on asset liability management of commercial banks. Chapter three is the current situation and main problems of asset liability management in M bank, with the method of case study. This paper introduces the basic situation and management status of M Bank, and analyzes the total amount and structure of assets and liabilities of M Bank. This paper puts forward the main problems of M Bank in the management of assets and liabilities. At the same time, it expounds in detail how to strengthen the management of assets and liabilities in the process of interest rate marketization of foreign commercial banks. Chapter 4th is the business of our country under the interest rate marketization. The coping strategy of assets and liabilities management of industrial banks. This paper puts forward the main strategies for the management of assets and liabilities in China's commercial banks to reform the marketization of interest rates. It mainly includes four aspects: first, to clarify and strengthen the objectives and basic concepts of asset liability management; Second, strengthen the asset liability product portfolio management; Third, strengthen asset liability product pricing management; Fourth, speed up the promotion of financial innovation. The last part is the conclusion of this paper, through systematic research and analysis, this paper draws the following conclusions: first, M bank operating performance and management level is relatively high, but with large listed banks in the region. There is still a big gap between western commercial banks and regulatory requirements; Second, the reform of interest rate marketization makes domestic commercial banks have both opportunities and challenges; Thirdly, commercial banks should avoid interest rate risk effectively by setting up interest rate risk exposure reasonably; Fourth, strengthening the management of assets and liabilities is of great significance to enhance the overall management level of commercial banks.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.2

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