本文選題：利率市場(chǎng)化 + 利率風(fēng)險(xiǎn)��； 參考：《蘭州財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：從我國(guó)開(kāi)始執(zhí)行市場(chǎng)經(jīng)濟(jì)制度開(kāi)始,我國(guó)在利率的管制上一直比較嚴(yán)格。但是自從上海同業(yè)拆借市場(chǎng)在2007年1月4日開(kāi)始正式運(yùn)行;以及2013年7月19日央行宣布自2013年7月20日起全面放開(kāi)金融機(jī)構(gòu)貸款利率管制,取消金融機(jī)構(gòu)貸款利率0.7倍的下限;以及之后2015年10月23日央行宣布,對(duì)商業(yè)銀行和農(nóng)村合作金融機(jī)構(gòu)等不再設(shè)置存款利率浮動(dòng)上限。這些都表明中國(guó)已經(jīng)基本取消利率管制、實(shí)現(xiàn)利率市場(chǎng)化了。因此,對(duì)于完全利率市場(chǎng)化之下和利率風(fēng)險(xiǎn)的識(shí)別及其防范的相關(guān)研究又重新出現(xiàn)在了人們的視線當(dāng)中。目前在我國(guó),金融行業(yè)蓬勃發(fā)展,各類(lèi)資本不斷介入,金融機(jī)構(gòu)的類(lèi)型不斷豐富,數(shù)量不斷增加,各個(gè)金融機(jī)構(gòu)間資金鏈的關(guān)聯(lián)越來(lái)越復(fù)雜。在金融越發(fā)工程化的現(xiàn)在,利率風(fēng)險(xiǎn)的識(shí)別和控制越來(lái)越系統(tǒng)和復(fù)雜,過(guò)去簡(jiǎn)單的頭寸匹配和利用會(huì)計(jì)方法控制利率缺口的方式越來(lái)越捉襟見(jiàn)肘。同時(shí)現(xiàn)在金融市場(chǎng)參與主體也不單純是商業(yè)銀行,更多的民營(yíng)金融機(jī)構(gòu)和投行的加入也使得利率風(fēng)險(xiǎn)的類(lèi)型也不再是過(guò)去簡(jiǎn)單的幾類(lèi)。因此在面對(duì)利率風(fēng)險(xiǎn)的識(shí)別和防范問(wèn)題時(shí),就需要其他的理論和方法來(lái)進(jìn)一步拓寬視野。本文研究的主要內(nèi)容是通過(guò)引入了分形市場(chǎng)理論,分析兩個(gè)不同層次的金融主體利率,同業(yè)拆借市場(chǎng)和P2P網(wǎng)貸市場(chǎng)。我國(guó)商業(yè)銀行和網(wǎng)貸平臺(tái)分別代表大型金融機(jī)構(gòu)以及中小型金融機(jī)構(gòu)面臨的利率風(fēng)險(xiǎn),以上海同業(yè)拆借利率來(lái)分析商業(yè)銀行利率風(fēng)險(xiǎn)的影響,以網(wǎng)貸實(shí)時(shí)利率來(lái)分析中小型金融機(jī)構(gòu)面臨的金融風(fēng)險(xiǎn)。從非線性的觀點(diǎn)出發(fā),提出了更符合實(shí)際的利率市場(chǎng)基本假設(shè)——分形市場(chǎng)假說(shuō),來(lái)解決這種多層次非線性的利率市場(chǎng)問(wèn)題。運(yùn)用改良過(guò)的分形分布計(jì)算同業(yè)拆借頭寸和網(wǎng)貸機(jī)構(gòu)頭寸的風(fēng)險(xiǎn)價(jià)值(Value-at-Risk,簡(jiǎn)稱(chēng)VaR),并通過(guò)此方法對(duì)其頭寸的利率風(fēng)險(xiǎn)進(jìn)行了理論總結(jié)和實(shí)證分析,表明采用分形分布來(lái)擬合利率風(fēng)險(xiǎn)是合理的,然后在此基礎(chǔ)上提出復(fù)雜利率環(huán)境下利率風(fēng)險(xiǎn)的防范的量化評(píng)級(jí)和風(fēng)險(xiǎn)的規(guī)避方式的轉(zhuǎn)變。最后對(duì)我國(guó)商業(yè)銀行如何加強(qiáng)利率風(fēng)險(xiǎn)化管理提出建議。本文將分形市場(chǎng)和利率風(fēng)險(xiǎn)結(jié)合到一起,研究利率市場(chǎng)化后對(duì)以大型商業(yè)銀和中小型互聯(lián)網(wǎng)金融企業(yè)帶來(lái)的利率風(fēng)險(xiǎn)。在利率風(fēng)險(xiǎn)測(cè)量方法上,本文采用分形分布計(jì)算風(fēng)險(xiǎn)值(VaR),通過(guò)這種方法來(lái)測(cè)量我國(guó)金融企業(yè)所面臨的利率風(fēng)險(xiǎn)。在風(fēng)險(xiǎn)管理建議方面,提出復(fù)雜利率環(huán)境下利率風(fēng)險(xiǎn)的防范的量化評(píng)級(jí)和風(fēng)險(xiǎn)的規(guī)避方式的轉(zhuǎn)變。
[Abstract]:Since China began to implement the market economy system, our interest rate control has been relatively strict. However, since the Shanghai interbank lending market began to operate on January 4, 2007, and on July 19, 2013, the central bank announced that it has fully liberalized the interest rate of financial institutions loans since July 20, 2013, and removed the lower limit of 0.7 times the lending rate of financial institutions. And then, on October 23, 2015, the central bank announced that it would no longer impose a ceiling on the floating rates of deposits, such as commercial banks and rural cooperative financial institutions. All these indicate that China has basically abolished interest rate control and realized interest rate marketization. Therefore, the related research on the identification and prevention of interest rate risk under the marketization of complete interest rate has reappeared in the sight of people. At present, with the booming development of financial industry, various kinds of capital intervene, the types of financial institutions are increasing, the number of financial institutions is increasing, and the relationship between financial institutions is becoming more and more complex. With the development of financial engineering, the identification and control of interest rate risk is becoming more and more systematic and complex, and the simple position matching and accounting methods are more and more difficult to control the interest rate gap in the past. At the same time, the financial market participants are not only commercial banks, more private financial institutions and investment banks also make the type of interest rate risk is no longer the simple types of the past. Therefore, in the face of interest rate risk identification and prevention, we need other theories and methods to further broaden the field of vision. The main content of this paper is the introduction of fractal market theory to analyze two different levels of financial interest rates interbank lending market and P2P network lending market. China's commercial banks and Internet lending platforms represent the interest rate risks faced by large financial institutions and small and medium-sized financial institutions, respectively, and analyze the impact of interest rate risks on commercial banks by using the Shanghai Interbank offered rate. The real-time interest rate of net loan is used to analyze the financial risk faced by medium and small financial institutions. From the point of view of nonlinearity, a more realistic basic hypothesis of interest rate market, fractal market hypothesis, is proposed to solve this kind of multi-level nonlinear interest rate market problem. Using the improved fractal distribution to calculate the Value-at-Risk (Value-at-Risk) of the interbank lending position and the position of the network lending institution, and through this method to carry on the theoretical summary and the empirical analysis to the interest rate risk of its position. It shows that it is reasonable to use fractal distribution to fit interest rate risk, and then puts forward the quantification rating of interest rate risk prevention and the change of risk evading mode in complex interest rate environment. Finally, some suggestions on how to strengthen the risk management of interest rate in Chinese commercial banks are put forward. In this paper, the fractal market and interest rate risk are combined to study the interest rate risk to large commercial silver and small and medium-sized Internet financial enterprises after the interest rate marketization. In the interest rate risk measurement method, this paper uses fractal distribution to calculate the risk value (VaR), through this method to measure the interest rate risk that our country financial enterprise faces. In the aspect of risk management suggestions, the paper puts forward the quantification rating of interest rate risk prevention and the change of risk evading mode under complex interest rate environment.
【學(xué)位授予單位】：蘭州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832

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