【摘要】：利率市場(chǎng)化改革是中國(guó)金融市場(chǎng)的一場(chǎng)重大變革,它給商業(yè)銀行帶來(lái)機(jī)遇的同時(shí),也蘊(yùn)藏了風(fēng)險(xiǎn)。商業(yè)銀行由于具有各自的管理經(jīng)營(yíng)模式,受到的風(fēng)險(xiǎn)暴露程度也不同,有必要根據(jù)自身特點(diǎn)制定出有效的對(duì)策和措施,以便抓住利率市場(chǎng)化帶來(lái)的機(jī)遇,并將損失降到最低。 本文首先在緒論部分對(duì)金融自由化在西方發(fā)達(dá)國(guó)家的發(fā)展歷史作了闡述,并對(duì)相關(guān)理論成果進(jìn)行了梳理。論述的切入點(diǎn)是利率,它是重要的宏觀經(jīng)濟(jì)變量和貨幣政策的操作手段,是宏觀經(jīng)濟(jì)分析的核心。接著,闡述了自1973年麥金農(nóng)和肖提出金融自由化以來(lái)的國(guó)內(nèi)外理論發(fā)展軌跡及相關(guān)理論觀點(diǎn)。 第二部分進(jìn)入正文,主要探討了中國(guó)金融市場(chǎng)的利率市場(chǎng)化改革背景。 第三部分開(kāi)始了以廣發(fā)銀行作為案例的研究,對(duì)其受利率市場(chǎng)化的影響進(jìn)行探討并提出建議。 首先,對(duì)廣發(fā)銀行從兩方面進(jìn)行現(xiàn)狀分析：經(jīng)營(yíng)管理方面主要涉及資產(chǎn)負(fù)債規(guī)模、盈利能力、資產(chǎn)質(zhì)量、業(yè)務(wù)結(jié)構(gòu)。關(guān)于利率管理,廣發(fā)銀行開(kāi)始著手從監(jiān)管指標(biāo)、發(fā)展模式、風(fēng)險(xiǎn)管控等方面探索適應(yīng)利率市場(chǎng)化改革的道路。 其次,運(yùn)用相關(guān)理論,從利率風(fēng)險(xiǎn)、利潤(rùn)結(jié)構(gòu)、信用風(fēng)險(xiǎn)、經(jīng)營(yíng)管理四個(gè)方面分析了利率市場(chǎng)化對(duì)廣發(fā)銀行造成的影響,重點(diǎn)分析了利率市場(chǎng)化對(duì)其造成的利率風(fēng)險(xiǎn)。在分析利率風(fēng)險(xiǎn)時(shí),主要運(yùn)用了敏感性缺口分析和久期缺口分析法對(duì)廣發(fā)銀行的財(cái)務(wù)數(shù)據(jù)進(jìn)行估算；在利潤(rùn)結(jié)構(gòu)方面從構(gòu)成銀行主要利潤(rùn)的存貸差入手,對(duì)存貸利率的調(diào)整造成的影響進(jìn)行分析；信用風(fēng)險(xiǎn)方面主要指出利率市場(chǎng)化給銀行帶來(lái)的逆向選擇、道德風(fēng)險(xiǎn)；經(jīng)營(yíng)管理方面主要從管理理念、組織架構(gòu)及發(fā)展模式上進(jìn)行分析。 最后,參照西方商業(yè)銀行的先進(jìn)管理模式,探討了廣發(fā)銀行應(yīng)對(duì)利率市場(chǎng)化的基本思路。利率風(fēng)險(xiǎn)管理方面：設(shè)立以利率敏感性指標(biāo)為主體的利率風(fēng)險(xiǎn)限額體系,規(guī)劃建立市場(chǎng)風(fēng)險(xiǎn)管理的完整框架,增強(qiáng)風(fēng)險(xiǎn)識(shí)別、計(jì)量、監(jiān)測(cè)和管控能力等。并嘗試運(yùn)用衍生金融工具規(guī)避利率風(fēng)險(xiǎn)。利潤(rùn)結(jié)構(gòu)方面：把發(fā)展中間業(yè)務(wù)作為業(yè)務(wù)轉(zhuǎn)型的突破點(diǎn),做好特色金融產(chǎn)品,繼續(xù)研發(fā)新產(chǎn)品。應(yīng)對(duì)信用風(fēng)險(xiǎn)：進(jìn)一步完善風(fēng)險(xiǎn)管理體系和高效合理的風(fēng)險(xiǎn)管理架構(gòu),做好重點(diǎn)領(lǐng)域的風(fēng)險(xiǎn)管控等。經(jīng)營(yíng)管理方面：推動(dòng)戰(zhàn)略轉(zhuǎn)型,推進(jìn)精細(xì)化管理。 本文將利率市場(chǎng)化改革和廣發(fā)銀行利率管理實(shí)際結(jié)合起來(lái)進(jìn)行研究,既有理論依據(jù),又有實(shí)證內(nèi)容,具有較強(qiáng)的針對(duì)性和實(shí)踐意義。在應(yīng)對(duì)利率市場(chǎng)化方面,本文對(duì)廣發(fā)銀行具有建議作用,同時(shí)對(duì)國(guó)內(nèi)的商業(yè)銀行也有參考價(jià)值。
[Abstract]:The reform of interest rate marketization is an important reform in Chinese financial market, which brings opportunities to commercial banks and also contains risks. Because commercial banks have their own management modes and different exposure to risks, it is necessary to formulate effective countermeasures and measures according to their own characteristics in order to seize the opportunities brought by the marketization of interest rates and reduce the losses to the minimum. In the introduction part, this paper expounds the development history of financial liberalization in western developed countries, and combs the relevant theoretical achievements. The entry point is interest rate, which is an important macroeconomic variable and a means of operation of monetary policy, and the core of macroeconomic analysis. Then, it expounds the development track of domestic and foreign theories and related theoretical viewpoints since McKinnon and Shaw put forward financial liberalization in 1973. The second part enters the text, mainly discusses the Chinese financial market interest rate marketization reform background. The third part begins with the case study of Guangfa Bank, which is influenced by the marketization of interest rate and puts forward some suggestions. First of all, the paper analyzes the current situation of Guangfa Bank from two aspects: management mainly involves the scale of assets and liabilities, profitability, asset quality, business structure. On interest rate management, Guangfa Bank began to explore ways to adapt to the reform of interest rate marketization from the aspects of supervision index, development model, risk management and so on. Secondly, this paper analyzes the impact of interest rate marketization on Guangfa Bank from four aspects: interest rate risk, profit structure, credit risk and management, and focuses on the interest rate risk caused by interest rate marketization. In the analysis of interest rate risk, sensitivity gap analysis and duration gap analysis are mainly used to estimate the financial data of Guangfa Bank. In the aspect of profit structure, the author analyzes the influence caused by the adjustment of deposit and loan interest rate from the difference of deposit and loan that constitutes the main profit of bank, and points out the adverse selection and moral hazard brought by marketization of interest rate to the bank in the aspect of credit risk. Management mainly from the management concept, organizational structure and development model analysis. Finally, referring to the advanced management mode of western commercial banks, this paper discusses the basic ideas of Guangfa Bank to deal with the marketization of interest rate. Interest rate risk management: set up the interest rate risk quota system with interest rate sensitivity index as the main body, plan to establish the complete frame of market risk management, strengthen the ability of risk identification, measurement, monitoring and control, etc. And try to use derivative financial instruments to avoid interest rate risk. Profit structure: to develop intermediary business as the breakthrough point of business transformation, to do a good job of financial products, continue to develop new products. To deal with credit risk: further improve the risk management system and efficient and reasonable risk management framework, do a good job of risk control in key areas. Management: to promote strategic transformation, to promote fine management. This paper combines the reform of interest rate marketization with the interest rate management of Guangfa Bank, which has both theoretical basis and empirical content, and has strong pertinence and practical significance. In the aspect of interest rate marketization, this article has the suggestion function to the Guangfa Bank, at the same time also has the reference value to the domestic commercial bank.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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本文編號(hào)：2403681