本文關(guān)鍵詞： 利率市場化 商業(yè)銀行 經(jīng)營風(fēng)險 金融監(jiān)管　出處：《浙江財經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：利率在金融市場中發(fā)揮巨大作用,不僅對資金的流通有導(dǎo)向性,對資源的調(diào)配也有優(yōu)化性,同時從中央銀行角度來看,利率也是落實宏觀調(diào)控的重要手段和政策工具。我國的利率市場化改革經(jīng)過多年的探索,已取得了一定的成效。2015年中國人民銀行宣布放開存款利率管制,這一措施意味著我國商業(yè)銀行基本實現(xiàn)了利率自主定價,但管制利率放開的同時也增加了商業(yè)銀行利率風(fēng)險和信用風(fēng)險在內(nèi)的經(jīng)營風(fēng)險。而商業(yè)銀行的信用風(fēng)險、利率風(fēng)險、流動性風(fēng)險、政策風(fēng)險、外匯風(fēng)險、操作風(fēng)險、法律風(fēng)險、國家風(fēng)險這些都?xì)w為經(jīng)營風(fēng)險。若商業(yè)銀行的各項收入減少是因利率波動所致,那么此種風(fēng)險為利率風(fēng)險。因此在利率市場化改革推進中,商業(yè)銀行必將面臨更大、更嚴(yán)峻的利率風(fēng)險。若商業(yè)銀行的各項盈利縮減是因借款人未能遵照約定歸還貸款所致,則此種風(fēng)險為信用風(fēng)險。信貸市場在利率的市場化推進中各種道德風(fēng)險、逆向選擇問題頻發(fā),導(dǎo)致我國商業(yè)銀行的不良貸款率不斷增加,從而使我國商業(yè)銀行面臨更嚴(yán)重的信用風(fēng)險問題。因此研究利率市場化下如何加強商業(yè)銀行利率風(fēng)險和信用風(fēng)險這兩類經(jīng)營風(fēng)險的監(jiān)管,從而使商業(yè)銀行在利率市場化改革中平穩(wěn)有序發(fā)展,已成為當(dāng)前我國金融界面臨的重大課題。本文對國內(nèi)利率的市場化改革進程深入研究,從我國銀行業(yè)現(xiàn)狀出發(fā),對利率市場化推進中商業(yè)銀行面臨的經(jīng)營風(fēng)險予以辨識、度量和分析,最后從金融監(jiān)管的角度給出降低商業(yè)銀行在利率市場化改革中經(jīng)營風(fēng)險的對策建議。論文除導(dǎo)言外,主要分為四個部分:第一部分主要對利率市場化理論、利率市場化對商業(yè)銀行經(jīng)營風(fēng)險的影響以及應(yīng)對商業(yè)銀行經(jīng)營風(fēng)險的金融監(jiān)管對策這三方面進行了文獻(xiàn)綜述。第二部分對利率市場化下我國商業(yè)銀行的經(jīng)營風(fēng)險問題進行了分析。該部分闡述了我國利率市場化改革的進程及特點,并重點分析了利率市場化改革背景下我國商業(yè)銀行利率風(fēng)險和信用風(fēng)險的形成原因、表現(xiàn)形式及其度量方法。第三部分對我國商業(yè)銀行在利率市場化下的經(jīng)營風(fēng)險做了實證研究。該部分針對商業(yè)銀行的重新定價利率風(fēng)險首先利用利率敏感性缺口法進行分析。其次利用我國已上市的13家商業(yè)銀行2008年第三季度到2015年第二季度共28個季度數(shù)據(jù)作為面板數(shù)據(jù)對商業(yè)銀行基差利率風(fēng)險和信用風(fēng)險進行計量分析,并根據(jù)實證結(jié)論提出利率市場化下降低我國商業(yè)銀行經(jīng)營風(fēng)險的建議。第四部分提出了利率市場化下加強我國商業(yè)銀行經(jīng)營風(fēng)險監(jiān)管的基本對策。該部分首先從加強我國商業(yè)銀行利率風(fēng)險監(jiān)管和強化我國商業(yè)銀行信用風(fēng)險監(jiān)管方面給出對策,最后從完善我國商業(yè)銀行經(jīng)營風(fēng)險的外部審計監(jiān)管方面給出基本對策和建議。本文的創(chuàng)新點主要包括:(1)系統(tǒng)研究了利率市場化下商業(yè)銀行的利率風(fēng)險和信用風(fēng)險問題。學(xué)術(shù)界對利率市場改革下商業(yè)銀行經(jīng)營風(fēng)險的研究主要集中在利率風(fēng)險領(lǐng)域,針對信用風(fēng)險方面的研究較少,本文不僅對利率風(fēng)險進行研究也重點對商業(yè)銀行的信用風(fēng)險問題進行了研究(2)運用利率敏感性缺口分析法對商業(yè)銀行的重新定價利率風(fēng)險問題做了實證研究。學(xué)者們對商業(yè)銀行利率風(fēng)險的實證研究大多使用計量經(jīng)濟模型,較少使用利率敏感性缺口法對利率風(fēng)險進行分析。本文在實證部分單獨用利率敏感性缺口分析法對商業(yè)銀行利率風(fēng)險問題做了實證研究。(3)從金融監(jiān)管的角度提出了加強商業(yè)銀行經(jīng)營風(fēng)險監(jiān)管的基本對策。學(xué)術(shù)界對于商業(yè)銀行經(jīng)營風(fēng)險問題的研究主要集中在商業(yè)銀行系統(tǒng)本身如何防范經(jīng)營風(fēng)險,而本文在結(jié)論部分從加強金融監(jiān)管的角度提出了降低商業(yè)銀行經(jīng)營風(fēng)險的基本對策。
[Abstract]:Interest rates play a significant role in the financial market, not only on capital flows oriented, the allocation of resources is optimized, at the same time from the central bank perspective, the interest rate is also an important means and policy tools to implement the macro-control. The interest rate marketization reform in our country after years of exploration, has achieved a certain effect of.2015 the people's Bank of Chinese announced the release of the deposit interest rate, which means China's commercial banks have basically realized the interest rate pricing, but also control the interest rate liberalization also increases the commercial bank interest rate risk and credit risk, operational risk and credit risk of commercial banks, interest rate risk, liquidity risk, policy risk, foreign exchange risk, operational risk, legal risk, country risk are classified as business risk. If the income of commercial banks is reduced due to fluctuations in interest rates caused by the wind, then Insurance for interest rate risk. In order to promote the market-oriented reform of interest rates, commercial banks will face more and more serious interest rate risk. If the profit of commercial banks is reduced because the borrower fails to comply with the agreed repayment of loans due to the risk of credit risk. The credit market in the interest rate market to promote the moral hazard. Adverse selection problems occur frequently, resulting in China's commercial banks non-performing loan ratio increased, so that the credit risk of commercial banks in China face more serious problems. So the research on how to strengthen the interest rate marketization of interest rate risk in commercial banks and the credit risk of these two types of business risk supervision, so that commercial banks in the interest rate marketization reform in a smooth and orderly development, has become a major issue facing China's financial sector. This in-depth research on domestic interest rate marketization reform, China's banking industry from now The shape of the identification to promote the marketization of interest rates in the face of commercial banks operating risk, measurement and analysis, finally, from the angle of financial supervision countermeasures to reduce the operation risk of commercial bank in the interest rate marketization reform. Besides introduction, mainly divided into four parts: the first part mainly on the interest rate marketization theory the interest rate market, the financial supervision measures of the operation risk of commercial bank risk management of commercial banks and deal with these three aspects of the literature review. The second part of the interest rate marketization of China's commercial banks operating risk are analyzed. This part expounds the process and characteristics of China's market-oriented interest rate reform. And analyzes the causes of interest rate reform under the background of China's commercial banks for interest rate risk and credit risk, manifestation and measurement methods. In the third part I Commercial banks in the interest rate market risk management has done an empirical study. The risk of re pricing interest rate for commercial banks, using the interest rate sensitivity gap analysis. Secondly China has listed the 13 commercial banks in the third quarter of 2008 to the second quarter of 2015, a total of 28 quarter data as panel data of commercial banks the basis of interest rate risk and credit risk analysis, and according to the empirical results put forward under the market interest rate reduce the operating risk of commercial bank in China. The fourth part puts forward the basic countermeasures to strengthen the interest rate marketization of China's commercial banks operating risk supervision. This part starts from strengthening the interest rate risk management of Chinese commercial banks and credit enhancement the risk of China's commercial banks given countermeasures, finally perfect the supervision of external audit of business risk of commercial bank in China The surface gives the basic countermeasures and suggestions. The main innovations of this thesis include: (1) the system of commercial bank interest rate market interest rate risk and credit risk. The academic research on the reform of the interest rate risk of commercial banks under the market mainly concentrated in the field of research on interest rate risk, credit risk is less, this paper not only research on interest rate risk of commercial banks "credit risk were studied (2) using the interest rate sensitivity gap analysis of commercial bank interest rate risk re pricing problem to do empirical research. Scholars empirical research on interest rate risk of commercial banks mostly use the econometric model, using the interest rate sensitivity gap method for less interest rate risk is analyzed. The interest rate sensitivity gap analysis of interest rate risk of commercial banks do empirical research in the empirical part alone . (3) from the angle of financial supervision put forward the basic countermeasures to strengthen management of commercial bank risk supervision. The academic research for the risk problems of commercial banks are mainly concentrated in the commercial bank system itself how to guard against operational risks, and the conclusion from the strengthening of financial supervision puts forward basic countermeasures to reduce the risk of commercial banks.

【學(xué)位授予單位】：浙江財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.33;F832.5

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