本文選題：商業(yè)銀行 + 利率風險��； 參考：《鄭州大學》2013年碩士論文

【摘要】：利率變動不僅影響到銀行貸款和證券的收益,還會影響到存款和向其他金融機構(gòu)借款的成本。不僅如此,利率的變動還會改變銀行資產(chǎn)和負債的市值,進而改變銀行的凈資產(chǎn),影響到股東的收益。 1997年以來我國利率波動更為頻繁,商業(yè)銀行面臨的利率風險也越來越大,這給專門從事資金業(yè)務(wù)的銀行帶來了巨大的沖擊和挑戰(zhàn)。商業(yè)銀行要在競爭中取勝,很重要的方面取決于利率背后的資金成本和收益以及資產(chǎn)運營效益。我國在利率管理的課題上,無論是理論研究還是實踐操作都還不完善。 本文首先介紹了一般的利率風險管理理論,并在商業(yè)銀行利率風險管理模型的基礎(chǔ)上,研究我國商業(yè)銀行利率風險管理現(xiàn)狀,指出其不足和改進的方法。本文首先研究了利率波動對商業(yè)銀行經(jīng)營的風險；其次,介紹了目前國際商業(yè)銀行成熟的利率風險度量模型；再次,以2009-2012年我國八家上市商業(yè)銀行的財務(wù)數(shù)據(jù)為數(shù)據(jù)來源,運用利率敏感性缺口模型和VAR模型對相關(guān)的利率風險狀況進行實證研究,并由此發(fā)現(xiàn)商業(yè)銀行利率風險管理中存在的問題；最后,得出本文結(jié)論,并針對商業(yè)銀行利率風險度量和防范提出對策建議。 通過本文的分析可知,我國商業(yè)銀行利率風險度量方法有限,要必要結(jié)合多種方式度量利率風險水平和研究商業(yè)銀行利率風險管理狀況。商業(yè)銀行普遍存在資產(chǎn)和負債結(jié)構(gòu)不匹配的問題,面臨較大的利率風險。商業(yè)銀行利率風險防范不夠靈活,存在較大的短借長貸現(xiàn)象。面對這些問題,我們從商業(yè)銀行內(nèi)部和利率市場環(huán)境兩個方面提出度量和防范利率風險的對策建議。一方面,商業(yè)銀行需要提高利率風險防范能力,另一方面,政府要塑造良好的利率市場環(huán)境。
[Abstract]:Interest rate movements affect not only the return on bank loans and securities, but also the cost of deposits and borrowing from other financial institutions. Not only that, the change in interest rates will also change the bank's assets and liabilities of market value, thereby changing the bank's net assets, affecting shareholders' income. Since 1997, the interest rate fluctuates more frequently in our country, and the interest rate risk faced by commercial banks is more and more great, which brings great impact and challenge to the banks specializing in capital business. In order to win the competition, commercial banks depend on the capital cost and income behind the interest rate and the benefit of assets operation. Both theoretical research and practical operation are not perfect in the subject of interest rate management in China. This paper first introduces the general theory of interest rate risk management, and on the basis of the interest rate risk management model of commercial banks, studies the present situation of interest rate risk management of commercial banks in China, and points out its shortcomings and improved methods. This paper first studies the risk of interest rate fluctuation to commercial banks; secondly, introduces the current mature international commercial banks' interest rate risk measurement model; thirdly, takes the financial data of eight listed commercial banks in China from 2009-2012 as the data source. Using the interest rate sensitivity gap model and VAR model to carry on the empirical research to the related interest rate risk condition, and from this discovered the commercial bank interest rate risk management existence question; finally, draws the conclusion of this article, And puts forward the countermeasure suggestion to the commercial bank interest rate risk measurement and the guard. Through the analysis of this paper, we can know that the interest rate risk measurement method of our commercial banks is limited, it is necessary to combine various ways to measure the interest rate risk level and to study the situation of the commercial bank interest rate risk management. Commercial banks generally have mismatch between assets and liabilities and face higher interest rate risk. Commercial bank interest rate risk prevention is not flexible, there is a large short loan long-term phenomenon. In the face of these problems, we put forward countermeasures and suggestions to measure and prevent interest rate risk from two aspects of commercial banks' internal and interest rate market environment. On the one hand, commercial banks need to improve the ability of interest rate risk prevention, on the other hand, the government should create a good interest rate market environment.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33

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本文編號：1832017