【摘要】：20世紀70年代以來,各國逐漸以金融深化來促進經(jīng)濟的發(fā)展,利率市場化作為金融深化的核心,也成為各國發(fā)展金融市場的主流趨勢。隨著中國利率市場化改革的不斷深入,市場對利率的決定作用日漸表現(xiàn)出來,由此帶來的不確定因素正在對自計劃經(jīng)濟模式轉(zhuǎn)型而來的中國農(nóng)業(yè)銀行產(chǎn)生巨大的影響,并深刻地改變著其生存環(huán)境和行為準則。作為金融市場的微觀主體,中國農(nóng)業(yè)銀行不可避免地面臨利率市場化的挑戰(zhàn),由于利率水平表現(xiàn)出的不確定性和多變性,利率風(fēng)險將成為中國農(nóng)業(yè)銀行的主要風(fēng)險。如何對利率風(fēng)險進行系統(tǒng)管理,成為學(xué)術(shù)界和金融業(yè)界人士關(guān)注的問題。 本文以利率市場化改革為研究背景,首先對利率和利率市場化的基本理論、國內(nèi)外利率市場化的歷史進程和利率市場化對商業(yè)銀行的影響進行了介紹,系統(tǒng)闡述了利率風(fēng)險的定義、種類、成因及衡量和管理方法。隨后,在比較借鑒國際商業(yè)銀行成熟的利率風(fēng)險度量模型的基礎(chǔ)上,運用利率敏感性缺口模型,對利率市場化給中國農(nóng)業(yè)銀行帶來的利率風(fēng)險相關(guān)影響指標進行了實證分析。通過實證分析可知,中國農(nóng)業(yè)銀行一年期以上資產(chǎn)和負債的匹配不均衡,面臨著較大的長期利率風(fēng)險,在防范利率風(fēng)險方面不夠靈活,存在著“短借長貸”的現(xiàn)象。最后,通過分析中國農(nóng)業(yè)銀行風(fēng)險管理現(xiàn)狀和利率風(fēng)險管理的不足,提出了相關(guān)建議。
[Abstract]:Since 1970s, various countries have gradually promoted the economic development with financial deepening. As the core of financial deepening, interest rate marketization has also become the mainstream trend of developing financial markets. With the deepening of China's interest rate marketization reform, the role of the market in determining interest rates is gradually manifested. The uncertainty brought about by this is having a huge impact on the Agricultural Bank of China, which has been transformed from the planned economy mode. And profoundly change its living environment and the code of conduct. As the micro subject of financial market, Agricultural Bank of China inevitably faces the challenge of interest rate marketization. Because of the uncertainty and variability of interest rate level, interest rate risk will become the main risk of Agricultural Bank of China. How to systematically manage the interest rate risk has become the concern of the academic and financial circles. This article takes the interest rate marketization reform as the research background, first of all has carried on the introduction to the interest rate and the interest rate marketization basic theory, the domestic and foreign interest rate marketization historical progress and the interest rate marketization influence to the commercial bank. The definition, types, causes, measurement and management methods of interest rate risk are systematically expounded. Then, on the basis of comparing the mature international commercial banks' interest rate risk measurement model, using the interest rate sensitivity gap model, the paper makes an empirical analysis of the interest rate risk related impact indicators brought by the interest rate marketization to the Agricultural Bank of China. Through empirical analysis, we can see that the matching of assets and liabilities of Agricultural Bank of China for one year or more is not balanced, and it is faced with larger long-term interest rate risk, so it is not flexible enough to guard against interest rate risk, and there exists the phenomenon of "short borrowing long loan". Finally, by analyzing the current situation of risk management of Agricultural Bank of China and the deficiency of interest rate risk management, the paper puts forward some relevant suggestions.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33

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本文編號：2398959