【摘要】：利率風(fēng)險(xiǎn)的評(píng)估、計(jì)量與監(jiān)控是商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)管理的重要內(nèi)容�？茖W(xué)探討我國(guó)商業(yè)銀行資產(chǎn)與負(fù)債平均持有期間、調(diào)整速度及可能造成的利率風(fēng)險(xiǎn)的程度，并進(jìn)一步觀察分析市場(chǎng)利率波動(dòng)對(duì)不同性質(zhì)商業(yè)銀行收益的影響，對(duì)提升我國(guó)商業(yè)銀行資產(chǎn)負(fù)債管理水平，實(shí)現(xiàn)利率風(fēng)險(xiǎn)管理科學(xué)決策有重要意義。 本文選取A股11家上市商業(yè)銀行作為樣本，將其分為大型商業(yè)銀行和股份制商業(yè)銀行兩類。研究期間從2007年3季度至2011年3季度，選取CCER經(jīng)濟(jì)經(jīng)濟(jì)金融數(shù)據(jù)庫(kù)中商業(yè)銀行損益表和資產(chǎn)負(fù)債表的數(shù)據(jù)，采用Flannery的部分調(diào)整模型對(duì)我國(guó)商業(yè)銀行的利率風(fēng)險(xiǎn)管理進(jìn)行了長(zhǎng)時(shí)間窗口實(shí)證分析。通過(guò)研究，得出如下結(jié)論： 大型商業(yè)銀行和股份制商業(yè)銀行的資產(chǎn)復(fù)制啊的平均到期日和調(diào)整速度都有缺口，，利率波動(dòng)時(shí)將面臨風(fēng)險(xiǎn)。兩類銀行的資產(chǎn)負(fù)債平均到期日都為“借短貸長(zhǎng)”，利率上升時(shí)，兩類銀行的長(zhǎng)短期凈收益都將會(huì)上升，反之都會(huì)下降。利率波動(dòng)對(duì)大型商業(yè)銀行的凈收益影響較大而對(duì)股份制商業(yè)銀行的凈收益影響較小。 文章在最后分別從改善商業(yè)銀行資產(chǎn)負(fù)債管理，加快金融創(chuàng)新步伐，防范流動(dòng)性風(fēng)險(xiǎn)等方面提出了一些建議。
[Abstract]:The evaluation, measurement and monitoring of interest rate risk is an important part of market risk management of commercial banks. This paper probes into the adjustment speed and the possible degree of interest rate risk during the average holding period of assets and liabilities of commercial banks in China, and further observes and analyzes the influence of market interest rate fluctuations on the returns of commercial banks of different nature. It is of great significance to improve the management level of assets and liabilities of commercial banks and to realize the scientific decision of interest rate risk management. This paper selects 11 A-share listed commercial banks as samples and divides them into two categories: large commercial banks and joint-stock commercial banks. From the third quarter of 2007 to the third quarter of 2011, the data of the profit and loss account and balance sheet of commercial banks in the CCER economic and financial database were selected. This paper analyzes the interest rate risk management of commercial banks in China in a long time window by using the partial adjustment model of Flannery. Through research, we draw the following conclusions: the average maturity date and adjustment speed of asset replication of large commercial banks and joint-stock commercial banks are both short, and interest rate fluctuations will face risks. The average maturity date for both types of banks is "short loan maturity." when interest rates rise, both banks' net returns in the long and short term will rise and vice versa. The fluctuation of interest rate has great influence on the net income of large commercial banks and less on the net income of joint-stock commercial banks. At last, the paper puts forward some suggestions on improving the management of assets and liabilities of commercial banks, quickening the pace of financial innovation and preventing liquidity risk.
【學(xué)位授予單位】：河北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F224

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