【摘要】：經(jīng)濟(jì)全球化的迅速發(fā)展使得金融市場(chǎng)在最近幾十年間發(fā)生了非常巨大的變化，盡管我們可以用各種不同的方法來說明金融市場(chǎng)上發(fā)生的一切，但從一定意義上來說，，金融市場(chǎng)上所發(fā)生的這些改變都可以集中體現(xiàn)在利率上。利率風(fēng)險(xiǎn)已經(jīng)成為了商業(yè)銀行面臨的最重要的金融風(fēng)險(xiǎn)之一，廣泛引起了各國貨幣管理當(dāng)局和經(jīng)濟(jì)學(xué)家的高度重視。因此，在我國進(jìn)行利率市場(chǎng)化的過程中，探討利率變化對(duì)商業(yè)銀行影響的研究具有重要的理論價(jià)值和現(xiàn)實(shí)意義。 本文以我國商業(yè)銀行利率風(fēng)險(xiǎn)管理研究為主線，通過梳理利率的變化對(duì)經(jīng)濟(jì)活動(dòng)的影響和利率的傳導(dǎo)機(jī)制，發(fā)達(dá)國家對(duì)我國利率市場(chǎng)化進(jìn)程的借鑒意義以及中國目前的利率市場(chǎng)化進(jìn)程來分析我國商業(yè)銀行目前所面臨的主要利率風(fēng)險(xiǎn)和相應(yīng)的度量方法。通過采用理論和實(shí)證相結(jié)合的方式來研究我國商業(yè)銀行的利率風(fēng)險(xiǎn)管理狀況和利率波動(dòng)對(duì)商業(yè)銀行盈利能力的經(jīng)營績(jī)效研究。最后，通過介紹商業(yè)銀行利率風(fēng)險(xiǎn)管理的方法，基于金融工程的思想建立一個(gè)基于浮動(dòng)利率情況下的歐式看漲外匯期權(quán)模型，并提出適應(yīng)現(xiàn)階段我國商業(yè)銀行進(jìn)行利率風(fēng)險(xiǎn)管理的相關(guān)措施，從而提升利率市場(chǎng)化過程中我國商業(yè)銀行面臨的各種挑戰(zhàn)。
[Abstract]:With the rapid development of economic globalization, the financial market has undergone great changes in recent decades. Although we can use various methods to explain what is happening in the financial market, in a certain sense, These changes in financial markets can be concentrated on interest rates. Interest rate risk has become one of the most important financial risks faced by commercial banks. Therefore, in the process of interest rate marketization in China, it is of great theoretical value and practical significance to study the influence of interest rate change on commercial banks. Based on the study of interest rate risk management of commercial banks in China, this paper analyzes the influence of the change of interest rate on economic activity and the transmission mechanism of interest rate. The significance of the developed countries to the interest rate marketization process in China and the current interest rate marketization process in China are analyzed to analyze the main interest rate risks and the corresponding measurement methods faced by the commercial banks in China at present. This paper studies the management of interest rate risk and the performance of interest rate fluctuation on the profitability of commercial banks through the combination of theory and demonstration. Finally, by introducing the methods of interest rate risk management in commercial banks, a European call foreign exchange option model based on floating interest rate is established based on the idea of financial engineering. This paper also puts forward some relevant measures to adapt to the interest rate risk management of Chinese commercial banks at the present stage so as to enhance the challenges faced by Chinese commercial banks in the process of interest rate marketization.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F822.0

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