本文選題：利率市場(chǎng)化 + 利率風(fēng)險(xiǎn)管理　； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：隨著我國(guó)利率市場(chǎng)化的程度越來(lái)越深,利率風(fēng)險(xiǎn)在商業(yè)銀行的風(fēng)險(xiǎn)管理的地位越來(lái)越突出。利率敏感性缺口分析由于其簡(jiǎn)單易行的特點(diǎn),在銀行間廣為使用。巴塞爾銀行監(jiān)管委員會(huì)于1997年9月發(fā)布了《利率風(fēng)險(xiǎn)管理與監(jiān)管原則》,其中對(duì)利率敏感性缺口分析法做了詳細(xì)的闡述。我國(guó)銀行監(jiān)管委員會(huì)也制定了《利率重新定價(jià)風(fēng)險(xiǎn)情況表》對(duì)商業(yè)銀行利率風(fēng)險(xiǎn)進(jìn)行監(jiān)管控制。正因?yàn)槔拭舾行匀笨诘膹V泛應(yīng)用,本文對(duì)該方法進(jìn)行了一定研究和改進(jìn)。 本文首先對(duì)利率水平?jīng)Q定理論,影響利率變動(dòng)因素,利率風(fēng)險(xiǎn)形成的原因和影響以及初步的利率風(fēng)險(xiǎn)管理方法等進(jìn)行了簡(jiǎn)單介紹,總結(jié)了前人的理論基礎(chǔ)。其次介紹了我國(guó)逐步放寬利率管制的過(guò)程。在此基礎(chǔ)上,通過(guò)我國(guó)五大商業(yè)銀行的年報(bào)數(shù)據(jù)對(duì)利率敏感性缺口方法進(jìn)行了實(shí)證分析。重點(diǎn)針對(duì)利率敏感性缺口分析法的假設(shè)進(jìn)行了實(shí)證和理論分析。第一,利用我國(guó)2008-2012年央行存貸款基準(zhǔn)利率的數(shù)據(jù)計(jì)算歷次不同期限的存貸款利率變化幅度,從實(shí)證分析的角度證明了我國(guó)利率水平變化并不符合利率平行變化的假設(shè)。第二,通過(guò)理論分析對(duì)另外兩個(gè)假設(shè)的成立條件進(jìn)行了分析。針對(duì)以上分析出的問題,一方面對(duì)利率敏感性缺口分析法進(jìn)行了改進(jìn),另一方面對(duì)上市商業(yè)銀行的年報(bào)披露內(nèi)容進(jìn)行了一定的補(bǔ)充規(guī)范。
[Abstract]:With the deepening of interest rate marketization in China, interest rate risk is playing an increasingly important role in the risk management of commercial banks. Interest rate sensitivity gap analysis is widely used among banks because of its simple and convenient characteristics. The Basel Committee on Banking Supervision issued the principles of interest rate risk Management and Supervision in September 1997, in which the gap analysis of interest rate sensitivity was elaborated in detail. The bank supervision committee of our country has also made the "interest rate repricing risk statement" to supervise and control the interest rate risk of commercial banks. Because of the wide application of interest rate sensitivity gap, the method is studied and improved in this paper. This paper firstly introduces the theory of determining the level of interest rate, the factors influencing the change of interest rate, the cause and influence of interest rate risk, and the preliminary method of interest rate risk management, and summarizes the theoretical basis of predecessors. Secondly, it introduces the process of relaxation of interest rate regulation in China. On this basis, the empirical analysis of interest rate sensitivity gap method is carried out through the annual report data of five major commercial banks in China. Focus on the interest rate sensitivity gap analysis of the assumptions of empirical and theoretical analysis. First, using the data of the central bank's benchmark deposit and loan interest rate from 2008 to 2012, we calculate the range of deposit and loan interest rates of different maturities, and prove from the perspective of empirical analysis that the change of interest rate level does not accord with the hypothesis of parallel change of interest rate. Second, through theoretical analysis, the other two hypotheses are analyzed. In view of the above problems, on the one hand, the interest rate sensitivity gap analysis method is improved; on the other hand, the disclosure content of listed commercial banks' annual report is supplemented with certain standards.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

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相關(guān)期刊論文 前2條

1 盧慶杰,唐國(guó)興;利率市場(chǎng)化與商業(yè)銀行利率風(fēng)險(xiǎn)管理[J];上海經(jīng)濟(jì)研究;2003年04期

2 楊錦;;近期我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)的現(xiàn)狀分析[J];商場(chǎng)現(xiàn)代化;2007年02期

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本文編號(hào)：1906574