【摘要】：“公司的敗績都是由內(nèi)部控制失敗引起的”，內(nèi)部控制的權(quán)威人士——Adrian Cadbury爵士曾經(jīng)這樣講過，由此可見內(nèi)部控制在企業(yè)的重要性。首先，銀行業(yè)作為經(jīng)營風(fēng)險(xiǎn)的特殊行業(yè)，通過對不同類型的資金風(fēng)險(xiǎn)的識(shí)別和管理來賺取利潤，可以說銀行風(fēng)險(xiǎn)控制的水平直接關(guān)系著銀行的生死存亡。利率風(fēng)險(xiǎn)是銀行在吸收存款和發(fā)放貸款的過程中，由存、貸款產(chǎn)品定價(jià)所引發(fā)的風(fēng)險(xiǎn)，也是銀行所面臨的最基本的風(fēng)險(xiǎn)。利率風(fēng)險(xiǎn)內(nèi)部控制就是建立一套約束措施，從而有效規(guī)避銀行資產(chǎn)負(fù)債結(jié)構(gòu)分布不合理對銀行價(jià)值造成的不利影響。本文以國際、國內(nèi)金融業(yè)發(fā)展變化的新形勢和我國利率體制改革逐步深化為背景，全面回顧利率風(fēng)險(xiǎn)和內(nèi)部控制相關(guān)理論。在上述背景下，今后國際、國內(nèi)利率市場波動(dòng)的頻度和幅度加大將是必然的趨勢，因此商業(yè)銀行加強(qiáng)利率風(fēng)險(xiǎn)管理和內(nèi)部控制既是利率監(jiān)管的外部要求和也是商業(yè)銀行降低風(fēng)險(xiǎn)、提高收益的內(nèi)在動(dòng)力。 本文以上述利率風(fēng)險(xiǎn)管理理論和內(nèi)部控制理論為契機(jī)，采用規(guī)范研究與案例研究相結(jié)合的方法，對AB銀行的利率風(fēng)險(xiǎn)內(nèi)部控制問題進(jìn)行了系統(tǒng)研究。在規(guī)范研究層面，以內(nèi)部控制理論涉及的五個(gè)環(huán)節(jié)作為文章的主體框架，在每個(gè)控制環(huán)節(jié)中結(jié)合利率風(fēng)險(xiǎn)的特殊性和管理需求進(jìn)行分析。在案例研究層面，著重分析了AB銀行在利率風(fēng)險(xiǎn)內(nèi)部控制環(huán)節(jié)的現(xiàn)狀，，總結(jié)了AB銀行利率風(fēng)險(xiǎn)內(nèi)部控制方面存在的不足。這些不足主要體現(xiàn)在利率風(fēng)險(xiǎn)管理組織體系、利率風(fēng)險(xiǎn)的識(shí)別和度量、利率風(fēng)險(xiǎn)信息傳遞與溝通、利率風(fēng)險(xiǎn)控制方法與手段及利率管理的內(nèi)部監(jiān)督機(jī)制五個(gè)方面。本文的研究和分析的思路既保證了學(xué)術(shù)的嚴(yán)謹(jǐn)性也具備了現(xiàn)實(shí)針對性。 商業(yè)銀行內(nèi)部控制機(jī)制是一個(gè)不斷完善、修正的動(dòng)態(tài)過程。對于AB銀行在利率風(fēng)險(xiǎn)內(nèi)部控制實(shí)際工作中暴露的問題，本文深度挖掘了利率風(fēng)險(xiǎn)內(nèi)部控制問題的成因，分別從利率市場化影響、公司治理因素的影響和利率風(fēng)險(xiǎn)計(jì)量和管理技術(shù)方面的影響進(jìn)行剖析。通過剖析給出了一些主要因素與利率風(fēng)險(xiǎn)相互作用的機(jī)理。首先明確利率市場化導(dǎo)致利率風(fēng)險(xiǎn)的路徑，即利率市場化是如何通過利率的波動(dòng)影響重定價(jià)風(fēng)險(xiǎn)、基準(zhǔn)利率風(fēng)險(xiǎn)、收益曲線風(fēng)險(xiǎn)和期權(quán)風(fēng)險(xiǎn)并將這四類風(fēng)險(xiǎn)轉(zhuǎn)化為對凈利息收入和現(xiàn)金流量的不利影響，從而最終形成銀行利率風(fēng)險(xiǎn)的機(jī)理；其次，公司治理與內(nèi)部控制之間的關(guān)系也成為影響利率風(fēng)險(xiǎn)內(nèi)部控制的內(nèi)生因素；最后，風(fēng)險(xiǎn)的計(jì)量與管理技術(shù)的落后是造成利率風(fēng)險(xiǎn)內(nèi)部控制不到位的直接原因。 通過對問題的發(fā)現(xiàn)和對問題產(chǎn)生根源的深度挖掘，本文最終給出了完善AB銀行利率風(fēng)險(xiǎn)內(nèi)部控制的對策，為今后的利率風(fēng)險(xiǎn)管理提供了建設(shè)性的意見和建議。
[Abstract]:"the failure of a company is caused by the failure of internal control," Sir Adrian Cadbury, an authority on internal control, once said, showing the importance of internal control in an enterprise. First of all, as a special industry of operating risk, the banking industry makes profits through the identification and management of different types of capital risks. It can be said that the level of bank risk control is directly related to the survival or death of banks. Interest rate risk is the risk caused by the pricing of deposit and loan products in the process of taking deposits and issuing loans. It is also the most basic risk faced by banks. The internal control of interest rate risk is to establish a set of restraint measures, so as to effectively avoid the negative impact on the bank value caused by the unreasonable distribution of the structure of bank assets and liabilities. Based on the new situation of international and domestic financial development and the gradual deepening of interest rate system reform in China, this paper comprehensively reviews the relevant theories of interest rate risk and internal control. Under the above background, in the future, it will be an inevitable trend for the international community to increase the frequency and amplitude of fluctuations in the domestic interest rate market. Therefore, strengthening interest rate risk management and internal control in commercial banks is not only the external requirement of interest rate supervision, but also the internal motive force for commercial banks to reduce risk and improve returns. Based on the theory of interest rate risk management and the theory of internal control, this paper systematically studies the internal control of interest rate risk in AB bank by combining the normative study with the case study. At the level of normative research, this paper takes the five links involved in the theory of internal control as the main frame of the article, and analyzes the particularity of interest rate risk and the management demand in each control link. In the aspect of case study, this paper analyzes the present situation of AB bank's internal control of interest rate risk, and summarizes the deficiency of AB bank's internal control of interest rate risk. These deficiencies are mainly reflected in five aspects: the organizational system of interest rate risk management, the identification and measurement of interest rate risk, the transmission and communication of interest rate risk information, the methods and means of interest rate risk control and the internal supervision mechanism of interest rate management. The research and analysis of this paper not only ensures academic rigor but also has realistic pertinence. The internal control mechanism of commercial banks is a dynamic process of continuous improvement and revision. For the problems exposed by AB Bank in the actual work of internal control of interest rate risk, this paper deeply excavates the causes of the internal control problem of interest rate risk, respectively from the impact of interest rate marketization. The impact of corporate governance factors and interest rate risk measurement and management technology analysis. The mechanism of interaction between some main factors and interest rate risk is given. First of all, it is clear that interest rate marketization leads to interest rate risk, that is, how interest rate marketization affects repricing risk through interest rate fluctuation, benchmark interest rate risk, Income curve risk and option risk and transform these four kinds of risk into the negative influence on net interest income and cash flow, and finally form the mechanism of bank interest rate risk; Secondly, the relationship between corporate governance and internal control has become an endogenous factor affecting the internal control of interest rate risk. Finally, the backwardness of risk measurement and management technology is the direct cause of the lack of internal control of interest rate risk. Through the discovery of the problem and the deep excavation of the root cause of the problem, this paper finally gives the countermeasures to perfect the internal control of the interest rate risk of AB bank, and provides constructive opinions and suggestions for the future interest rate risk management.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.2

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