本文選題：中小商業(yè)銀行 + 利率風(fēng)險(xiǎn)　； 參考：《鄭州大學(xué)》2014年碩士論文

【摘要】：2012年中國人民銀行擴(kuò)大人民幣存貸款利率浮動范圍,2013年再次出手取消貸款利率下限,標(biāo)志著我國利率市場化又邁出了關(guān)鍵而又扎實(shí)的一步。同時(shí)以余額寶為代表的互聯(lián)網(wǎng)金融產(chǎn)品直接同商業(yè)銀行展開競爭,自下而上倒逼利率市場化改革。新時(shí)期、新形勢、新需求都在促使利率市場化改革進(jìn)程不斷加速。利率市場化改革在改善社會主義市場經(jīng)濟(jì)、促進(jìn)資金優(yōu)化配置等方面有著深遠(yuǎn)的影響,但同時(shí)我們也應(yīng)當(dāng)看到,利率市場化給商業(yè)銀行尤其是中小商業(yè)銀行也帶來的新的挑戰(zhàn),而其中最為嚴(yán)峻的就是利率風(fēng)險(xiǎn)的凸顯。中小商業(yè)銀行能否有效地管理本行的利率風(fēng)險(xiǎn),直接關(guān)系到自身的生死存亡、金融業(yè)的穩(wěn)定以及我國經(jīng)濟(jì)的健康發(fā)展。因此,有必要對我國中小商業(yè)銀行面臨的利率風(fēng)險(xiǎn)極其管理進(jìn)行系統(tǒng)的研究和探索。 相對于大型商業(yè)銀行來講,中小商業(yè)銀行在利率市場化中面臨著更大的利率風(fēng)險(xiǎn),美國以及其他地區(qū)中小商業(yè)銀行在利率市場化完成后大量破產(chǎn)就是我國銀行的前車之鑒。通過利用回歸分析、利率敏感性缺口模型以及期權(quán)定價(jià)模型的分析也驗(yàn)證了這一看法。其具體原因主要包括以下幾點(diǎn)：首先我國缺乏一套為中小商業(yè)銀行量身打造的利率風(fēng)險(xiǎn)管理方法,導(dǎo)致中小商業(yè)銀行普遍難以從容面對復(fù)雜的利率風(fēng)險(xiǎn)；其次,中小商業(yè)銀行自身由于核心資本充足率以及中間業(yè)務(wù)收入占比都較小,導(dǎo)致應(yīng)對利率風(fēng)險(xiǎn)的能力較弱。再次,中小商業(yè)銀行經(jīng)營同質(zhì)化嚴(yán)重以及在利率定價(jià)中處于不利地位。最后,中小商業(yè)銀行主要客戶是違約風(fēng)險(xiǎn)較大的中小企業(yè)。 為了從根本上解決我國中小商業(yè)銀行存在利率風(fēng)險(xiǎn)管理中存在的種種缺陷,增強(qiáng)中小商業(yè)銀行應(yīng)對利率市場化挑戰(zhàn)、管理利率風(fēng)險(xiǎn)的能力,當(dāng)務(wù)之急是建立起來一套符合中小商業(yè)銀行特點(diǎn)、在中小商業(yè)銀行能力范圍之內(nèi)的利率管理體系。該管理體系主要包括建立起來利率風(fēng)險(xiǎn)管理的組織架構(gòu)、存貸款利率定價(jià)模型等內(nèi)容,同時(shí)應(yīng)當(dāng)從短期和長期雙管齊下,通過采用金融衍生產(chǎn)品、與其他商業(yè)銀行就利率風(fēng)險(xiǎn)管理展開合作、發(fā)揮比較優(yōu)勢實(shí)行差異化經(jīng)營等策略,努力提高自身的利率風(fēng)險(xiǎn)管理能力。相信隨著我國金融體制的不斷完善,中小商業(yè)銀行的自身的不斷發(fā)展、對于利率風(fēng)險(xiǎn)重視程度不斷提升、風(fēng)險(xiǎn)管理能力不斷的加強(qiáng),定能夠有效地應(yīng)對利率市場化帶來的挑戰(zhàn),更好地發(fā)揮其支持實(shí)體經(jīng)濟(jì)發(fā)展的作用。
[Abstract]:The people's Bank of China expanded the floating range of RMB deposit and loan rates in 2012 and again removed the lower limit of lending rates in 2013, marking another key and solid step in China's interest rate liberalization. At the same time, the Internet financial products represented by Yu'e Bao directly compete with commercial banks and push the reform of interest rate marketization from bottom to top. In the new period, new situation and new demand are accelerating the reform process of interest rate marketization. The reform of interest rate marketization has a profound influence on improving the socialist market economy and promoting the optimal allocation of funds, but at the same time, we should also see that the marketization of interest rate also brings new challenges to commercial banks, especially small and medium-sized commercial banks. One of the most severe is the highlight of interest rate risk. Whether small and medium-sized commercial banks can effectively manage their interest rate risk is directly related to their own survival and death, the stability of the financial industry and the healthy development of our economy. Therefore, it is necessary to systematically study and explore the interest rate risk and its management of small and medium-sized commercial banks in China. Compared with large commercial banks, small and medium-sized commercial banks are facing a greater interest rate risk in the interest rate marketization. A large number of bankruptcy of small and medium-sized commercial banks in the United States and other regions after the completion of interest rate marketization is a lesson for Chinese banks. This view is verified by regression analysis, interest rate sensitivity gap model and option pricing model. The specific reasons include the following: first, the lack of a set of interest rate risk management method for small and medium-sized commercial banks, which makes it difficult for small and medium-sized commercial banks to face the complex interest rate risk; secondly, Because of the small proportion of core capital adequacy and intermediate business income, the ability of small commercial banks to deal with interest rate risk is weak. Thirdly, the medium and small commercial banks are in a bad position in the interest rate pricing. Finally, the main customers of small and medium-sized commercial banks are small and medium-sized enterprises with higher default risk. In order to fundamentally solve the defects of interest rate risk management in small and medium-sized commercial banks of our country, strengthen the ability of small and medium-sized commercial banks to deal with the challenge of interest rate marketization and manage interest rate risk. The urgent task is to set up a set of interest rate management system in accordance with the characteristics of small and medium commercial banks and within the scope of their ability. The management system mainly includes the establishment of an organizational structure for interest rate risk management, the pricing model of deposit and loan interest rates, and so on. At the same time, it should be done in both short and long terms, through the adoption of financial derivatives. Cooperation with other commercial banks on interest rate risk management, exerting comparative advantage and implementing differentiated management strategy, and striving to improve their own interest rate risk management ability. It is believed that with the continuous improvement of China's financial system and the continuous development of small and medium-sized commercial banks, the interest rate risk has been continuously promoted, and the risk management ability has been continuously strengthened, which will be able to effectively meet the challenges brought by the marketization of interest rates. Better play its role in supporting the development of the real economy.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33;F224

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