【摘要】：隨著利率市場化以及金融創(chuàng)新的發(fā)展，我國商業(yè)銀行面臨的利率環(huán)境正在發(fā)生深刻的變化，利率風(fēng)險評估系統(tǒng)越來越受到監(jiān)管部門和商業(yè)銀行的關(guān)注。一方面利率變動更加頻繁，商業(yè)銀行資產(chǎn)負(fù)債表內(nèi)面臨利率風(fēng)險的業(yè)務(wù)范圍越來越廣泛；另一方面利率衍生工具正在加速發(fā)展，帶來新的利率風(fēng)險。 利率風(fēng)險是利率變動對商業(yè)銀行凈利息收入和經(jīng)濟(jì)價值造成的不利影響。本文采用缺口分析法、久期分析法對利率風(fēng)險進(jìn)行衡量，所揭示的主要是利率的重新定價風(fēng)險。利率風(fēng)險評估系統(tǒng)通過對銀行業(yè)金融機(jī)構(gòu)的利率風(fēng)險資產(chǎn)與負(fù)債的重定價期限的統(tǒng)計，分短期利率與長期利率測算利率變化對商業(yè)銀行凈利息收入的影響，分資產(chǎn)平均收益率與負(fù)債平均收益率測算利率變化對商業(yè)銀行經(jīng)濟(jì)價值的影響，凈利息收入與經(jīng)濟(jì)價值兩個角度衡量商業(yè)銀行潛在的利率風(fēng)險水平。 商業(yè)銀行利率風(fēng)險評估系統(tǒng)實(shí)現(xiàn)用到了銀監(jiān)會非現(xiàn)場監(jiān)管信息系統(tǒng)、銀行核心系統(tǒng)、Oracle數(shù)據(jù)庫，Unix操作系統(tǒng)和Java語言、TUXEDO/MQ/SOCKET等數(shù)據(jù)通信技術(shù)。通過情景模擬、缺口收益分析和久期價值分析對商業(yè)銀行利率風(fēng)險度量進(jìn)行實(shí)證研究發(fā)現(xiàn)。部分商業(yè)銀行尤其是農(nóng)村商業(yè)銀行利率風(fēng)險已達(dá)到和超過利率風(fēng)險“關(guān)注”水平。一方面，，五家商業(yè)銀行總體利率風(fēng)險程度呈上升趨勢；另一方面，城市商業(yè)銀行利率風(fēng)險高于農(nóng)村商業(yè)銀行，區(qū)域性商業(yè)銀行與城市商業(yè)銀行利率風(fēng)險相當(dāng)。 本文的研究構(gòu)建的利率風(fēng)險評估系統(tǒng)以及提出的相應(yīng)的管理策略，可以豐富此領(lǐng)域的研究成果，為我國商業(yè)銀行進(jìn)行利率風(fēng)險度量和管理，以及監(jiān)管當(dāng)局對商業(yè)銀行利率風(fēng)險的預(yù)警與監(jiān)控提供理論與實(shí)務(wù)上的指導(dǎo)。
[Abstract]:With the development of interest rate marketization and financial innovation, the interest rate environment faced by commercial banks in China is undergoing profound changes. The interest rate risk assessment system has been paid more and more attention by regulators and commercial banks. On the one hand, the interest rate changes more frequently, and the scope of business facing interest rate risk in the balance sheet of commercial banks is more and more extensive; on the other hand, interest rate derivatives are accelerating development, bringing new interest rate risk. Interest rate risk is the adverse effect of the change of interest rate on the net interest income and economic value of commercial banks. In this paper, gap analysis and duration analysis are used to measure the risk of interest rate, which reveals the risk of repricing interest rate. The interest rate risk assessment system measures the influence of the change of interest rate on the net interest income of commercial banks through the statistics of the repricing period of interest rate risk assets and liabilities of banking financial institutions, divided into short-term interest rates and long-term interest rates. The influence of the change of interest rate on the economic value of commercial banks is measured according to the average rate of return on assets and the average rate of return on liabilities. The level of potential interest rate risk of commercial banks is measured from two angles of net interest income and economic value. The commercial bank interest rate risk assessment system is implemented using the CBRC off-site supervision information system, bank core system, Oracle database, Unix operating system, Java language, TUXEDO/MQ/SOCKET and other data communication technologies. Through scenario simulation, gap return analysis and duration value analysis, the paper makes empirical research on the measurement of interest rate risk of commercial banks. Interest rate risk of some commercial banks, especially rural commercial banks, has reached and exceeded the level of interest rate risk. On the one hand, the overall interest rate risk of five commercial banks is on the rise; on the other hand, the interest rate risk of urban commercial banks is higher than that of rural commercial banks, and the interest rate risk of regional commercial banks is equal to that of urban commercial banks. The interest rate risk assessment system and the corresponding management strategies proposed in this paper can enrich the research results in this field and carry out interest rate risk measurement and management for Chinese commercial banks. And the supervision authorities provide theoretical and practical guidance for the early warning and monitoring of interest rate risk of commercial banks.
【學(xué)位授予單位】：湖南大學(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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