本文選題：上市商業(yè)銀行 + 利率風(fēng)險(xiǎn)��； 參考：《南京農(nóng)業(yè)大學(xué)》2014年碩士論文

【摘要】：利率市場(chǎng)化改革是我國(guó)金融改革的重要內(nèi)容之一,它將促進(jìn)社會(huì)資金的合理分配也促使經(jīng)濟(jì)繼續(xù)穩(wěn)定增長(zhǎng)。但是,隨著改革的不斷深入,商業(yè)銀行的存貸利率不再固定,市場(chǎng)的力量將決定存貸利率,金融機(jī)構(gòu)存貸利率浮動(dòng)區(qū)間和浮動(dòng)頻率也將不斷擴(kuò)大,這給商業(yè)銀行的風(fēng)險(xiǎn)管理帶來(lái)巨大挑戰(zhàn)。自1986年開(kāi)始我國(guó)開(kāi)始利率市場(chǎng)化改革,在這近30年時(shí)間我國(guó)利率市場(chǎng)化進(jìn)程已經(jīng)取得了顯著成績(jī)。利率市場(chǎng)化改革所帶來(lái)的利率風(fēng)險(xiǎn)也逐漸顯露出來(lái)。本文以利率市場(chǎng)化為背景,從理論分析分析我國(guó)商業(yè)銀行的利率風(fēng)險(xiǎn),并以16家上市銀行為樣本選取2004-2011年度的相關(guān)數(shù)據(jù),實(shí)證分析我國(guó)上市商業(yè)銀行的利率風(fēng)險(xiǎn)及其影響因素。本文全文分為五個(gè)部分。第一部分主要介紹論文研究的背景意義和研究?jī)?nèi)容。第二部分理論分析與文獻(xiàn)回顧。理論分析我國(guó)商業(yè)銀行面臨的利率風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)的原因和利率風(fēng)險(xiǎn)的識(shí)別與分析法。第三部分主要介紹我國(guó)商業(yè)銀行最常使用的利率敏感性缺口的理論基礎(chǔ)。根據(jù)理論基礎(chǔ)對(duì)我國(guó)16上市銀行進(jìn)行利率風(fēng)險(xiǎn)壓力測(cè)試,度量當(dāng)前風(fēng)險(xiǎn)的大小,并對(duì)結(jié)果進(jìn)行簡(jiǎn)單的分析。第四部在前文得出我國(guó)商業(yè)銀行整體面臨利率風(fēng)險(xiǎn)的基礎(chǔ)上,理論我國(guó)商業(yè)銀行所面臨利率風(fēng)險(xiǎn)的影響因素。初步分析認(rèn)為外部因素有市場(chǎng)化程度、國(guó)內(nèi)的宏觀環(huán)境(包括經(jīng)濟(jì)增上水平、國(guó)內(nèi)價(jià)格水平和央行的貨幣供給量)。內(nèi)部因素主要是中間業(yè)務(wù)占比、存貸結(jié)構(gòu)、管理水平、儲(chǔ)備機(jī)會(huì)成本。根據(jù)理論分析結(jié)果選取16家上市銀行2004-2011年度的相關(guān)數(shù)據(jù)進(jìn)行實(shí)證分析我國(guó)上市商業(yè)銀行的利率風(fēng)險(xiǎn)的影響因素。第五部分結(jié)論與政策建議得出(1)我國(guó)上市商業(yè)銀行整結(jié)構(gòu)面臨利率風(fēng)險(xiǎn)；(2)國(guó)有大銀行、股份制商業(yè)銀行和城市商業(yè)銀行抵御利率風(fēng)險(xiǎn)的能力各不相同；(3)利率市場(chǎng)化程度、商業(yè)銀行中間業(yè)務(wù)、存貸結(jié)構(gòu)和商業(yè)銀行的管理水平是上市銀行利率風(fēng)險(xiǎn)的影響因素并且影響大小不同。在此基礎(chǔ)又提出了相應(yīng)建議：(1)提高商業(yè)銀行風(fēng)險(xiǎn)管理能力；(2)加強(qiáng)資產(chǎn)負(fù)債管理；(3)銀行業(yè)業(yè)務(wù)多元化發(fā)展。
[Abstract]:The reform of interest rate marketization is one of the important contents of financial reform in China. It will promote the rational distribution of social funds and promote the steady growth of economy.However, with the deepening of the reform, the deposit and loan interest rates of commercial banks are no longer fixed, the market forces will determine the deposit and loan interest rates, and the floating range and floating frequency of deposit and loan rates of financial institutions will continue to expand.This brings great challenges to the risk management of commercial banks.Since 1986, China began to reform the marketization of interest rate. In the past 30 years, the process of interest rate marketization in China has made remarkable achievements.The interest rate risk brought by the interest rate marketization reform is also gradually revealed.Based on the background of interest rate marketization, this paper analyzes the interest rate risk of Chinese commercial banks from the theoretical analysis, and takes 16 listed banks as a sample to select the relevant data from 2004 to 2011 to empirically analyze the interest rate risk and its influencing factors of China's listed commercial banks.This paper is divided into five parts.The first part mainly introduces the background significance and research content of the thesis.The second part is theoretical analysis and literature review.This paper theoretically analyzes the interest rate risk faced by Chinese commercial banks, the causes of interest rate risk and the identification and analysis of interest rate risk.The third part mainly introduces the theoretical basis of interest rate sensitivity gap most commonly used by Chinese commercial banks.According to the theoretical basis, the paper tests the interest rate risk pressure of 16 listed banks in China, measures the current risk, and makes a simple analysis of the results.The fourth part draws the conclusion that the commercial banks of our country face the interest rate risk on the basis of the above, and analyzes the influencing factors of the interest rate risk faced by the commercial banks in our country.Preliminary analysis shows that external factors have market-oriented degree, domestic macro environment (including economic growth level, domestic price level and central bank's money supply).Internal factors are the proportion of intermediate business, the structure of deposit and loan, the level of management and the opportunity cost of reserve.According to the results of theoretical analysis, 16 listed banks are selected to analyze the influencing factors of interest rate risk of listed commercial banks in China.The fifth part draws conclusions and policy suggestions: 1) the whole structure of listed commercial banks in China is facing interest rate risk. (2) large state-owned banks, joint-stock commercial banks and urban commercial banks have different ability to resist interest rate risk, respectively) the degree of interest rate marketization is different.The intermediate business of commercial banks, the structure of deposit and loan and the management level of commercial banks are the influential factors of the interest rate risk of listed banks and the influence is different.On this basis, the author puts forward the corresponding suggestions: 1) improving the risk management ability of commercial banks and 2) strengthening asset and liability management. 3) the diversified development of banking business.
【學(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33

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