本文關(guān)鍵詞： 利率風(fēng)險(xiǎn) RAROC模型 久期缺口 利率敏感性缺口 衍生工具　出處：《鄭州大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：利率作為貨幣的價(jià)格,在調(diào)節(jié)金融資源配置方面具有重要的作用,但利率的這種功能的有效發(fā)揮需較發(fā)達(dá)的金融市場(chǎng)作為支撐。我國(guó)的金融市場(chǎng)基礎(chǔ)薄弱、發(fā)展滯后,這在一定程度上抑制了利率調(diào)節(jié)金融資源的有效性。作為金融市場(chǎng)中最重要的參與主體商業(yè)銀行,在發(fā)展的初期其商業(yè)職能服從于行政命令導(dǎo)致商業(yè)功能不明顯,利率風(fēng)險(xiǎn)不突出,隨著金融市場(chǎng)的不斷改革,其商業(yè)化功能不斷完善,體系不斷健全,面對(duì)較多的利率風(fēng)險(xiǎn)因素和較復(fù)雜的利率風(fēng)險(xiǎn),這些風(fēng)險(xiǎn)主要形成于商業(yè)銀行定價(jià)能力的弱化、商業(yè)銀行資本的弱化和相關(guān)主體的行為的變化�？梢�,現(xiàn)階段我國(guó)的商業(yè)銀行與利率風(fēng)險(xiǎn)處于比較復(fù)雜的環(huán)境中,我國(guó)的商業(yè)銀行如何采取適合自身發(fā)展程度的利率風(fēng)險(xiǎn)管理策略至關(guān)重要。 在充分的認(rèn)識(shí)我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)的基礎(chǔ)上,分析了我國(guó)商業(yè)現(xiàn)階段采取的利率風(fēng)險(xiǎn)管理方法的主要缺陷。鑒于現(xiàn)階段我國(guó)商業(yè)銀行整體抗利率風(fēng)險(xiǎn)能力較弱的情況,我國(guó)商業(yè)銀行主要采取缺口管理的利率風(fēng)險(xiǎn)管理方法,西方那種發(fā)達(dá)的衍生工具管理方法只是起著輔助的作用。這主要是由于：第一,我國(guó)的金融市場(chǎng)的基礎(chǔ)比較薄弱,衍生工具的高杠桿性極易產(chǎn)生損失。第二,投資者的逐利意識(shí)較強(qiáng)、風(fēng)險(xiǎn)意識(shí)薄弱、自律能力不足和違規(guī)操作頻發(fā)。第三,在缺口管理方面。缺口管理目前是我國(guó)商業(yè)銀行普遍采取的一種利率風(fēng)險(xiǎn)管理方法,但是這種方法需要精確的數(shù)據(jù)分類、對(duì)利率較為準(zhǔn)確的預(yù)測(cè)和收益率曲線的穩(wěn)定變化。這些條件在現(xiàn)實(shí)中都很難實(shí)現(xiàn),從而限制了這種方法的有效應(yīng)用。 針對(duì)我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)管理過(guò)程中出現(xiàn)的問(wèn)題,提出通過(guò)借鑒國(guó)外商業(yè)銀行利率風(fēng)險(xiǎn)管理的經(jīng)驗(yàn)、加強(qiáng)資本管理和完善內(nèi)部控制進(jìn)行完善的思路。國(guó)外商業(yè)銀行行利率風(fēng)險(xiǎn)管理的經(jīng)驗(yàn)告訴我們要完善金融市場(chǎng)的建設(shè)、開發(fā)新的利率風(fēng)險(xiǎn)管理產(chǎn)品和培養(yǎng)高水平的利率技術(shù)使用人員。資本管理是要改變過(guò)去那種只進(jìn)行數(shù)量上的融資的策略,要進(jìn)行適度的資本頭寸控制,以此增強(qiáng)商業(yè)銀行的抗風(fēng)險(xiǎn)能力。完善內(nèi)部控制方面,要重點(diǎn)理順國(guó)有商業(yè)銀行與政府之間的關(guān)系,繼續(xù)完善內(nèi)部治理結(jié)構(gòu)。這些措施的實(shí)施在于加強(qiáng)商業(yè)銀行自身管理利率風(fēng)險(xiǎn)的內(nèi)在力量,這樣才能使商業(yè)銀行在面對(duì)利率劇烈波動(dòng)時(shí)不至于產(chǎn)生系統(tǒng)性的沖擊。 最后,中國(guó)的利率市場(chǎng)化必然會(huì)不斷推進(jìn),十二五時(shí)期已經(jīng)明確指出要建立起基本的利率體系。鑒于利率市場(chǎng)化不斷推進(jìn)對(duì)商業(yè)銀行的利率風(fēng)險(xiǎn)的影響,要在宏觀上做好頂層設(shè)計(jì)和微觀上技術(shù)突破。
[Abstract]:As the price of money, interest rate plays an important role in regulating the allocation of financial resources, but the effective use of this function of interest rate needs more developed financial market as the support. The financial market foundation of our country is weak. Development lags behind, which to some extent inhibits the effectiveness of interest rate regulation of financial resources. As the most important participant in the financial market commercial banks. In the early stage of development, its commercial function is not obvious from the executive order, interest rate risk is not prominent, with the continuous reform of the financial market, its commercial function is constantly improved, the system is constantly perfect. In the face of more interest rate risk factors and more complex interest rate risk, these risks are mainly formed in the weakening of the pricing power of commercial banks, the weakening of commercial banks' capital and the changes in the behavior of relevant subjects. At present, the commercial banks and interest rate risk in our country are in a more complex environment. It is very important for the commercial banks in our country to adopt the interest rate risk management strategy suitable for their own development. On the basis of fully understanding the interest rate risk of commercial banks in China. This paper analyzes the main defects of the interest rate risk management methods adopted by Chinese commercial banks at the present stage, in view of the weak ability of the Chinese commercial banks to resist interest rate risk as a whole. China's commercial banks mainly adopt the gap management of interest rate risk management method, the western developed derivative management method only plays an auxiliary role. This is mainly due to: first. The foundation of our financial market is relatively weak, and the high leverage of derivatives is easy to produce losses. Second, investors have a strong sense of profit driven, weak awareness of risk, lack of self-discipline and frequent illegal operations. In the aspect of gap management, gap management is a common interest rate risk management method adopted by commercial banks in China, but this method needs accurate data classification. The more accurate prediction of interest rate and the stable change of yield curve are very difficult to realize in reality, which limits the effective application of this method. Aiming at the problems in the process of interest rate risk management of commercial banks in China, this paper puts forward the experience of interest rate risk management of foreign commercial banks. The experience of foreign commercial banks' interest rate risk management tells us to perfect the construction of financial market. Develop new interest rate risk management products and train high level of interest rate technical personnel. Capital management is to change the past strategy of quantitative financing and to carry out moderate capital position control. In order to enhance the ability of commercial banks to resist risks and improve the internal control, we should focus on the relationship between state-owned commercial banks and the government. Continue to improve the internal governance structure. The implementation of these measures lies in strengthening the internal strength of commercial banks to manage interest rate risk. Only in this way, commercial banks will not have a systematic impact in the face of sharp fluctuations in interest rates. Finally, China's interest rate marketization will inevitably continue to advance, the 12th Five-Year Plan period has clearly pointed out that the establishment of a basic interest rate system, in view of the interest rate marketization of the impact on the interest rate risk of commercial banks. We should do a good job in macro-level design and micro-technical breakthroughs.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.2

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