本文選題：利率市場(chǎng)化 + 商業(yè)銀行�。� 參考：《上海外國(guó)語(yǔ)大學(xué)》2017年碩士論文

【摘要】：2013年7月經(jīng)國(guó)務(wù)院批準(zhǔn),中國(guó)人民銀行宣布自24日起放開(kāi)商業(yè)銀行和農(nóng)村合作社等金融機(jī)構(gòu)的貸款利率管制。兩年后,央行宣布2015年10月24日起正式放開(kāi)對(duì)存款利率的管制,標(biāo)志著我國(guó)真正實(shí)現(xiàn)了存貸款利率的利率市場(chǎng)化改革,完成了我國(guó)利率改革重要的一步。隨著利率市場(chǎng)化的逐步推進(jìn),商業(yè)銀行面對(duì)利率市場(chǎng)化帶來(lái)的機(jī)遇的同時(shí),其面臨的風(fēng)險(xiǎn)尤其是利率風(fēng)險(xiǎn)也在逐漸凸顯,隨著市場(chǎng)利率的波動(dòng)加劇,利率風(fēng)險(xiǎn)漸漸成為商業(yè)銀行面臨的主要風(fēng)險(xiǎn)之一,因此如何識(shí)別利率風(fēng)險(xiǎn)、合理的使用風(fēng)險(xiǎn)測(cè)度模型來(lái)度量風(fēng)險(xiǎn)、有效的管理風(fēng)險(xiǎn)從而使得商業(yè)銀行在市場(chǎng)化改革過(guò)程中維持穩(wěn)定的發(fā)展成為目前我國(guó)商業(yè)銀行需要重視和解決的問(wèn)題。本文將從利率風(fēng)險(xiǎn)的成因、度量和管理三個(gè)角度出發(fā)對(duì)我國(guó)商業(yè)銀行的利率風(fēng)險(xiǎn)進(jìn)行研究。首先在對(duì)現(xiàn)有文獻(xiàn)進(jìn)行梳理的基礎(chǔ)上對(duì)商業(yè)銀行利率風(fēng)險(xiǎn)的類別和成因進(jìn)行介紹。根據(jù)利率風(fēng)險(xiǎn)的特征將利率風(fēng)險(xiǎn)分為短期風(fēng)險(xiǎn)和長(zhǎng)期風(fēng)險(xiǎn),其中長(zhǎng)期風(fēng)險(xiǎn)包括巴塞爾委員會(huì)確定重新定價(jià)風(fēng)險(xiǎn)、期權(quán)風(fēng)險(xiǎn)、基準(zhǔn)風(fēng)險(xiǎn)和收益率曲線風(fēng)險(xiǎn)。接著分析利率風(fēng)險(xiǎn)的產(chǎn)生原因包括利率波動(dòng)的加劇、利差的逐漸收窄、銀行經(jīng)營(yíng)結(jié)構(gòu)的單一等。在利率風(fēng)險(xiǎn)的度量方面先介紹目前常用的利率風(fēng)險(xiǎn)度量模型,在綜合比較的基礎(chǔ)上,考慮我國(guó)目前利率風(fēng)險(xiǎn)管理現(xiàn)狀,首先選取VaR模型來(lái)度量利率變動(dòng)產(chǎn)生的利率風(fēng)險(xiǎn)。本文選取利率市場(chǎng)化水平最高的SHIBOR和同業(yè)拆借市場(chǎng)作為研究對(duì)象,以模擬市場(chǎng)化后利率變動(dòng)產(chǎn)生的利率風(fēng)險(xiǎn)情況。在對(duì)數(shù)據(jù)進(jìn)行檢驗(yàn)分析的基礎(chǔ)上,選取GARCH模型并基于不同的殘差分布假設(shè)對(duì)利率風(fēng)險(xiǎn)進(jìn)行度量,通過(guò)Kupiec回測(cè)檢驗(yàn)發(fā)現(xiàn)GED分布假設(shè)下的GARCH模型可以較好的描述利率波動(dòng)帶來(lái)的利率風(fēng)險(xiǎn)。在對(duì)商業(yè)銀行交易賬戶利率風(fēng)險(xiǎn)進(jìn)行描述的基礎(chǔ)上,使用了利率敏感性缺口模型進(jìn)行商業(yè)銀行總體利率風(fēng)險(xiǎn)的實(shí)證分析,對(duì)我國(guó)商業(yè)銀行面臨的總體利率風(fēng)險(xiǎn)進(jìn)行補(bǔ)充。最后,從國(guó)家層面和銀行自身層面兩部分出發(fā),對(duì)我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)的管理提出相關(guān)政策建議包括完善金融市場(chǎng)發(fā)展、促進(jìn)存款保險(xiǎn)制度的推進(jìn)、銀行優(yōu)化營(yíng)業(yè)結(jié)構(gòu)、升級(jí)利率風(fēng)險(xiǎn)度量工具、增加人才培養(yǎng)等。
[Abstract]:With the approval of the State Council in July 2013, the people's Bank of China announced that it will liberalize the interest rate on loans from commercial banks and rural cooperatives and other financial institutions from the 24th. Two years later, the central bank announced the formal deregulation of deposit interest rate from October 24, 2015, which indicates that our country has really realized the interest rate marketization reform of deposit and loan interest rate, and has completed an important step of interest rate reform in our country. With the gradual promotion of interest rate marketization, commercial banks are facing the opportunity of interest rate marketization, and at the same time, the risks they face, especially the interest rate risk, are also gradually highlighted. Interest rate risk has gradually become one of the main risks faced by commercial banks. The effective management of risks makes it necessary for commercial banks to maintain a stable development in the process of market-oriented reform. At present, commercial banks in China need to pay attention to and solve the problems. This paper studies the interest rate risk of commercial banks in China from three angles: the cause of interest rate risk, the measurement and the management of interest rate risk. Firstly, this paper introduces the types and causes of interest rate risk of commercial banks on the basis of combing the existing literature. According to the characteristics of interest rate risk, the interest rate risk is divided into short-term risk and long-term risk. The medium- and long-term risk includes the risk of repricing determined by Basel Committee, option risk, benchmark risk and yield curve risk. Then it analyzes the causes of interest rate risk, including the aggravation of interest rate fluctuation, the narrowing of interest rate difference, the singleness of bank management structure and so on. In the aspect of the measurement of interest rate risk, this paper first introduces the commonly used interest rate risk measurement model. On the basis of comprehensive comparison, considering the present situation of interest rate risk management in China, the VaR model is selected to measure the interest rate risk caused by the change of interest rate. In order to simulate the interest rate risk caused by the change of interest rate after marketization, this paper selects SHIBOR and the interbank borrowing market as the research object, which has the highest level of interest rate marketization. Based on the test and analysis of the data, the GARCH model is selected and the interest rate risk is measured based on different residual distribution assumptions. It is found that the GARCH model under the GED distribution hypothesis can better describe the interest rate risk caused by the interest rate fluctuation through the Kupiec test. On the basis of describing the interest rate risk of the commercial bank transaction account, the paper uses the interest rate sensitivity gap model to analyze the overall interest rate risk of the commercial bank, and complements the overall interest rate risk faced by the commercial banks in our country. Finally, from the national level and the bank's own level two parts, put forward the relevant policy recommendations to our country commercial bank interest rate risk management, including perfecting the financial market development, promoting the promotion of deposit insurance system, optimizing the business structure of the bank. Upgrade interest rate risk measurement tools, increase talent training and so on.
【學(xué)位授予單位】：上海外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.5;F832.33

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