本文關(guān)鍵詞：長沙銀行利率風(fēng)險(xiǎn)管理研究　出處：《中南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 長沙銀行 利率風(fēng)險(xiǎn) 敏感性缺口模型 持續(xù)期模型 壓力測試

【摘要】：由于我國長期來的利率管制,利率市場化使得利率波動更頻繁且難預(yù)測,由此商業(yè)銀行面臨著嚴(yán)峻的利率風(fēng)險(xiǎn),如果不加防范,商業(yè)銀行將可能遭遇損失�；诖�,本文以長沙銀行為研究對象,通過搜集其2009年至2011年年報(bào)數(shù)據(jù),對其近三年利率風(fēng)險(xiǎn)管理狀況進(jìn)行了實(shí)證研究。文章主要做了如下四方面的工作：第一,闡述了商業(yè)銀行利率風(fēng)險(xiǎn)以及利率風(fēng)險(xiǎn)管理的基本概念,為后續(xù)研究奠定理論基礎(chǔ)；第二,對國內(nèi)商業(yè)銀行利率風(fēng)險(xiǎn)概況進(jìn)行了闡述,總結(jié)了常用的利率風(fēng)險(xiǎn)管理模型：利率敏感性缺口模型、持續(xù)期缺口模型、VaR模型以及壓力測試；第三,采用利率敏感性缺口模型、持續(xù)期模型以及壓力測試模型,從縱向的角度對長沙銀行近三年的利率風(fēng)險(xiǎn)狀況進(jìn)行實(shí)證研究,且從橫向的角度與其他商業(yè)銀行進(jìn)行了對比,并根據(jù)實(shí)證結(jié)果分析了長沙銀行的當(dāng)前利率風(fēng)險(xiǎn)狀況、與其他商業(yè)銀行之間的差距以及利率風(fēng)險(xiǎn)管理模型在長沙銀行的適用性；第四,根據(jù)實(shí)證結(jié)果,針對長沙銀行利率風(fēng)險(xiǎn)管理現(xiàn)狀和存在的問題,對長沙銀行利率風(fēng)險(xiǎn)提出了相應(yīng)對策和建議。 通過以上研究內(nèi)容,文章得到了以下主要結(jié)論：首先,就長沙目前的利率風(fēng)險(xiǎn)管理狀況而言,通過縱向與長沙銀行往年的利率風(fēng)險(xiǎn)狀況進(jìn)行比較發(fā)現(xiàn),在利率上升的情況下,長沙銀行目前的利率風(fēng)險(xiǎn)管理策略可以得到正的風(fēng)險(xiǎn)收益,但2009年-2011年以來,長沙銀行沒有降低利率風(fēng)險(xiǎn)的趨勢,說明長沙銀行利率風(fēng)險(xiǎn)管理意識較為薄弱。通過橫向與同期其它銀行利率風(fēng)險(xiǎn)比較發(fā)現(xiàn),相較于其它銀行,長沙銀行面臨的利率風(fēng)險(xiǎn)較大,在利率波動的情況下會給銀行帶來較大的損失。然后,就長沙銀行利率風(fēng)險(xiǎn)管理模型方法而言,由于VaR模型對數(shù)據(jù)的嚴(yán)格要求以及長沙銀行目前自身?xiàng)l件的限制,在短時期內(nèi),利率敏感性缺口和持續(xù)期缺口應(yīng)成為長沙銀行利率風(fēng)險(xiǎn)管理的主要方法；最后,文章針對長沙銀行利率風(fēng)險(xiǎn)存在的問題提出可以從調(diào)整資產(chǎn)負(fù)債結(jié)構(gòu)、借鑒合適的利率風(fēng)險(xiǎn)管理方法、完善利率風(fēng)險(xiǎn)管理體系等方面加強(qiáng)對長沙銀行利率風(fēng)險(xiǎn)的管理。
[Abstract]:Because of the long-term interest rate control, interest rate marketization makes interest rate fluctuations more frequent and difficult to predict, so commercial banks are faced with severe interest rate risks, if not to prevent. Commercial banks may encounter losses. Based on this, this paper takes Changsha Bank as the research object, through collecting its annual report data from 2009 to 2011. This paper makes an empirical study on the interest rate risk management in the past three years. The main work of this paper is as follows: first, it expounds the basic concept of interest rate risk and interest rate risk management of commercial banks. Lay a theoretical foundation for the follow-up study; Secondly, the general situation of domestic commercial banks' interest rate risk is expounded, and the common interest rate risk management models are summarized: interest rate sensitivity gap model, duration gap model and VaR model, as well as stress testing; Thirdly, using interest rate sensitivity gap model, duration model and stress test model, the paper makes an empirical study on the interest rate risk of Changsha Bank in the past three years from a vertical point of view. And from the perspective of horizontal comparison with other commercial banks, and based on the empirical results of Changsha Bank's current interest rate risk situation. The gap with other commercial banks and the applicability of interest rate risk management model in Changsha Bank; In 4th, according to the empirical results, according to the current situation and existing problems of interest rate risk management in Changsha Bank, the author puts forward the corresponding countermeasures and suggestions to Changsha Bank interest rate risk. Through the above research, the paper gets the following main conclusions: first of all, on the current interest rate risk management in Changsha, through longitudinal and Changsha bank interest rate risk in previous years to find out. In the case of interest rate rise, Changsha Bank's current interest rate risk management strategy can get positive risk returns, but since 2009 to 2011, Changsha Bank has not reduced the trend of interest rate risk. Changsha Bank interest rate risk management awareness is relatively weak. Through horizontal and other bank interest rate risk comparison found that compared with other banks Changsha Bank is facing a larger interest rate risk. In the case of interest rate fluctuations will bring a large loss to the bank. Then, on the Changsha Bank interest rate risk management model approach. Because of the strict requirement of VaR model and the limitation of Changsha Bank's current condition, the interest rate sensitivity gap and duration gap should become the main method of interest rate risk management in a short period of time. Finally, according to the problems of interest rate risk in Changsha Bank, this paper puts forward that we can adjust the structure of assets and liabilities and learn from the appropriate method of interest rate risk management. Improve the interest rate risk management system and other aspects to strengthen the Changsha Bank interest rate risk management.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33

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