【摘要】：利率市場(chǎng)化是發(fā)展市場(chǎng)經(jīng)濟(jì)的必要條件，我國(guó)“十二五”規(guī)劃中明確提出繼續(xù)推進(jìn)利率市場(chǎng)化改革。隨著我國(guó)利率市場(chǎng)化進(jìn)程的加快，尤其是存貸款基準(zhǔn)利率市場(chǎng)化程度的提高，我國(guó)商業(yè)銀行將面臨日益嚴(yán)重的利率風(fēng)險(xiǎn)。在銀行業(yè)日益開(kāi)放的市場(chǎng)環(huán)境下，利率風(fēng)險(xiǎn)管理水平的高低對(duì)提高銀行核心競(jìng)爭(zhēng)力起到關(guān)鍵性作用。利率風(fēng)險(xiǎn)管理涵蓋利率風(fēng)險(xiǎn)監(jiān)測(cè)、計(jì)量和控制等諸多方面，，本文詳細(xì)介紹了西方商業(yè)銀行使用的利率風(fēng)險(xiǎn)計(jì)量方法，并通過(guò)這些方法的比較，結(jié)合我國(guó)現(xiàn)狀，認(rèn)為利率敏感性缺口和持續(xù)期法是目前最適合我國(guó)商業(yè)銀行的計(jì)量方法。利率風(fēng)險(xiǎn)控制是商業(yè)銀行實(shí)現(xiàn)有效利率風(fēng)險(xiǎn)管理的關(guān)鍵，利率風(fēng)險(xiǎn)控制主要分為表內(nèi)控制和表外控制兩類。結(jié)合我國(guó)實(shí)際，由于國(guó)內(nèi)金融市場(chǎng)不發(fā)達(dá)，避險(xiǎn)工具較少，因此，目前利率風(fēng)險(xiǎn)控制應(yīng)主要集中在資產(chǎn)負(fù)債管理，著重在主動(dòng)性較強(qiáng)的資產(chǎn)管理。 本文采用利率敏感性缺口法對(duì)我國(guó)上市商業(yè)銀行利率風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析，表明國(guó)有銀行的“短存長(zhǎng)貸”傾向更明顯，利率風(fēng)險(xiǎn)暴露比股份制銀行大，國(guó)有銀行在利率風(fēng)險(xiǎn)管理的靈活性上不如股份制銀行，并用實(shí)例驗(yàn)證了持續(xù)期在我國(guó)的可行性�；谝陨戏治觯疚慕ㄗh應(yīng)從外部環(huán)境和銀行自身建設(shè)兩方面入手來(lái)提高商業(yè)銀行的利率風(fēng)險(xiǎn)管理水平。一方面，穩(wěn)步推進(jìn)利率市場(chǎng)化的同時(shí)加強(qiáng)金融市場(chǎng)建設(shè)；另一方面，商業(yè)銀行完善利率風(fēng)險(xiǎn)管理體制，從而科學(xué)高效地計(jì)量和控制利率風(fēng)險(xiǎn)。
[Abstract]:Interest rate marketization is a necessary condition for the development of market economy. With the acceleration of the process of interest rate marketization in China, especially the improvement of the marketization of the benchmark deposit and loan interest rate, the commercial banks of our country will be faced with increasingly serious interest rate risks. In the increasingly open market environment, the level of interest rate risk management plays a key role in improving the core competitiveness of banks. Interest rate risk management covers many aspects, such as interest rate risk monitoring, measurement and control. This paper introduces the interest rate risk measurement methods used by western commercial banks in detail, and through the comparison of these methods, combined with the current situation in China, It is considered that interest rate sensitivity gap and duration are the most suitable metrological methods for Chinese commercial banks at present. Interest rate risk control is the key to realize effective interest rate risk management in commercial banks. Interest rate risk control is divided into two types: in-form control and off-balance sheet control. In combination with the reality of our country, because the domestic financial market is not developed and there are few hedge tools, at present, interest rate risk control should mainly focus on asset liability management, especially on active asset management. This paper makes an empirical analysis of the interest rate risk of listed commercial banks in our country by using the gap method of interest rate sensitivity. It shows that the tendency of "short deposit and long loan" in state-owned banks is more obvious, and the exposure of interest rate risk is greater than that of joint-stock banks. The flexibility of interest rate risk management of state-owned banks is not as good as that of joint-stock banks. Based on the above analysis, this paper suggests that the interest rate risk management level of commercial banks should be improved from two aspects: external environment and banks' own construction. On the one hand, we should promote the marketization of interest rate and strengthen the construction of financial market, on the other hand, the commercial banks should perfect the interest rate risk management system, so as to measure and control the interest rate risk scientifically and efficiently.
【學(xué)位授予單位】：蘇州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.2

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 張德銀;;商業(yè)銀行分支機(jī)構(gòu)利率風(fēng)險(xiǎn)控制研究[J];金融論壇;2007年04期

2 劉湘云;唐娜;;商業(yè)銀行利率風(fēng)險(xiǎn):基于久期缺口的免疫策略及實(shí)證分析[J];南京航空航天大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2006年03期

3 黃金老;利率市場(chǎng)化與商業(yè)銀行風(fēng)險(xiǎn)控制[J];經(jīng)濟(jì)研究;2001年01期

4 杜金岷;劉湘云;;基于凸度缺口模型的商業(yè)銀行利率風(fēng)險(xiǎn)最優(yōu)控制及其應(yīng)用[J];暨南學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2007年02期

5 陳英順;試論利率連續(xù)下調(diào)后我國(guó)商業(yè)銀行的利率風(fēng)險(xiǎn)及其防范[J];南開(kāi)經(jīng)濟(jì)研究;1999年06期

6 申曉峰;;升息周期內(nèi)商業(yè)銀行利率風(fēng)險(xiǎn)探析[J];上海金融;2006年03期

7 張益萍,袁衛(wèi)秋;利率市場(chǎng)化進(jìn)程中的銀行利率風(fēng)險(xiǎn)管理研究[J];現(xiàn)代財(cái)經(jīng)-天津財(cái)經(jīng)學(xué)院學(xué)報(bào);2003年10期

8 郭奔宇;;商業(yè)銀行利率風(fēng)險(xiǎn)識(shí)別實(shí)證研究[J];金融研究;2005年11期

9 王向紅;論重新定價(jià)期限缺口在利率風(fēng)險(xiǎn)管理中的運(yùn)用[J];福建金融;2005年10期

10 徐鎮(zhèn)南,崔華;我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)的理論與實(shí)證分析[J];中央財(cái)經(jīng)大學(xué)學(xué)報(bào);2002年11期

相關(guān)博士學(xué)位論文 前1條

1 賀國(guó)生;商業(yè)銀行利率風(fēng)險(xiǎn)度量模型與管理模式研究[D];西南財(cái)經(jīng)大學(xué);2005年

相關(guān)碩士學(xué)位論文 前1條

1 竇洪濤;利率市場(chǎng)化進(jìn)程中商業(yè)銀行利率風(fēng)險(xiǎn)的識(shí)別與測(cè)量[D];吉林大學(xué);2007年

本文編號(hào)：2323105