發(fā)布時間：2018-01-07 06:05

  本文關(guān)鍵詞：基于利率不對稱變動情況下的商業(yè)銀行利率風險實證分析　出處：《西南財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 利率風險 利率市場化 利率敏感性缺口分析

【摘要】：我國的利率市場化始于1986年1月,中國的貨幣管理當局為了防止金融環(huán)境的動蕩,在一個長的跨度時期內(nèi)(1986年-2012年)逐漸推進了不同金融層面的市場利率化改革。但是,利率風險始終是利率市場化無法回避的問題,那么,如何在利率市場化進一步深入的今天更科學準確的測量商業(yè)銀行的利率風險,并尋找適當?shù)拇胧﹣砭徑膺@種不利影響,這是個值得關(guān)注的重大問題。 目前我國已經(jīng)基本完成外幣存貸款、貨幣市場和債券市場的利率市場化改革。2012央行兩次下調(diào)存貸款利率,并允許存款利率上調(diào)不超過10%,貸款利率調(diào)整的下限為基準利率的70%。這項措施被普遍認為是利率市場化實質(zhì)性的進展。存款利率上浮10%,同時貸款利率下浮,這種雙重沖擊必然給我國的商業(yè)銀行的經(jīng)營管理帶來一定的影響。而這種影響的程度如何、對商業(yè)銀行的沖擊有多大、商業(yè)銀行的經(jīng)營管理者應該如何去更好的應對這種沖擊等等問題切實的擺在了我們面前。 一、論文的研究目的 我國利率市場化目前所發(fā)生的實質(zhì)性進展使得我所研究的問題具有十分重要的現(xiàn)實意義。在利率市場化以及這種改革會帶給商業(yè)銀行怎樣的影響方面,很多學者都做過深入研究。他們靈活的觀察角度,多樣的研究方法,創(chuàng)新的理論見解都值得我在論文構(gòu)思創(chuàng)作過程中學習。這篇論文在參考前人研究結(jié)果的基礎上,結(jié)合我國利率市場化的實質(zhì)性進展,在使用經(jīng)典的利率風險缺口模型并對傳統(tǒng)利率風險分析思路做出一定的改進的同時,采用了比前人分析時更具有時效性和更全面可信的銀行數(shù)據(jù),對目前利率市場化進程帶給銀行的利率風險進行初步定量分析,并力圖通過實證分析的結(jié)論來解讀商業(yè)銀行應該如何更好地應對利率風險。 二、論文的主要內(nèi)容及觀點 第一章前言中介紹了研究問題的意義：在利率市場化實質(zhì)性進展的時候去分析商業(yè)銀行利率風險是與時俱進的并且具有非常重要的現(xiàn)實意義。隨后對國內(nèi)外研究動態(tài)進行了文獻綜述。然后介紹了論文寫作過程中所使用的理論工具和研究方法,梳理了論文的基本思路和邏輯結(jié)構(gòu)。最后總結(jié)了這篇論文的創(chuàng)新點與不足之處。 第二章首先定義了利率市場化的概念,然后介紹了國外美國、德國、日本、韓國、馬來西亞、阿根廷、智利等國利率市場化的發(fā)展過程和所經(jīng)歷的金融風險等情況,然后將話題引入對中國利率市場化的探討環(huán)節(jié)上來：主要從銀行同業(yè)拆借市場、債券交易市場、存貸款利率市場化進程和貨幣市場這四個方面系統(tǒng)介紹了中國利率市場化的發(fā)展過程。在研究外國利率市場化進程實踐的過程中,我發(fā)現(xiàn)多數(shù)實現(xiàn)利率市場化改革的國家發(fā)生過銀行業(yè)的動蕩和不穩(wěn)定。雖然各國銀行業(yè)危機的表現(xiàn)形式千差萬別,但是它們在很大程度上均是由于利率波動帶來的利率風險的逐漸發(fā)酵和演進所造成的,所以研究利率風險是至關(guān)重要的。 第三章首先對利率風險進行理論方面的探討,系統(tǒng)闡述了利率風險的定義、發(fā)生條件、四種表現(xiàn)形式和利用收益分析法及經(jīng)濟價值分析法來評估利率風險的兩種不同思路。之后介紹了計量利率風險的兩種方式：利率敏感性缺口分析模型和持續(xù)期分析模型與管理方法。這兩種方法簡單易用,但是也存在著很多的局限性。此章節(jié)在討論了這些局限性后也介紹了一些克服此類局限性的方法和基本思路。 論文的第四章從偏向理論的角度探討了利率市場化對我國商業(yè)銀行存在的影響。主要的思路是通過研究國外利率市場化進程對商業(yè)銀行影響的實踐數(shù)據(jù)和經(jīng)驗總結(jié),結(jié)合近年來我國商業(yè)銀行經(jīng)營管理數(shù)據(jù)的變化做出一定的比較和分析,從五個方面總結(jié)出了利率市場化進程對我國商業(yè)銀行的影響：(1)存貸款利率上升是大概率事件；(2)利率市場化導致銀行業(yè)存貸利差、凈息差收窄；(3)利率市場化導致商業(yè)銀行利息收入占比下降、非息收入占比上升。(4)利率市場化加劇商業(yè)銀行競爭,考驗銀行經(jīng)營管理水平；(5)利率市場化刺激商業(yè)銀行金融創(chuàng)新。 第五章進行利率風險的實證研究：選取兩個樣本銀行,在對利率變動情況做一定假設并對銀行財務報表做一定簡化的前提下運用利率敏感性缺口分析方法具體分析了2012年年中兩次降息可能對它們帶來的沖擊與影響。 第六章是對分析結(jié)果的討論：通過對于結(jié)論的分析,我認為這兩次降息對商業(yè)銀行帶來了實質(zhì)性的影響和業(yè)績壓力。在實證分析的結(jié)果分析中我發(fā)現(xiàn)利率敏感性缺口模型所依賴的利率曲線平行移動的假設已經(jīng)逐漸偏離實際(2012年以前,國內(nèi)的利率變動無論是加息還是降息,基本符合所有利率同時平行上升或下降多少基點的假設),而且利率敏感性負缺口在利率下降的過程中不一定會帶來利息收入的增加。要得到更精確和可信的結(jié)論必須詳細探討各期限利率具體的變動情況,并用這種變動對每一種具體的利率風險資產(chǎn)或者負債分別進行獨立的分析。這個發(fā)現(xiàn)對于商業(yè)銀行的經(jīng)營管理者應該如何計量和應對利率風險提出了更高的要求；在對結(jié)論的分析中我也對商業(yè)銀行如何運用同業(yè)業(yè)務來分散利率風險做出了初步的探討。 三、本文的主要貢獻 1.采用我國利率市場化過程中最新的發(fā)展趨勢(在兩次降息的背景下存款利率上浮10%,同時貸款利率下浮最低至7折)和數(shù)據(jù)(采用2012年6月30日上市銀行半年報表)對國內(nèi)一家上市國有商業(yè)銀行和一家上市股份制商業(yè)銀行進行利率風險實證分析并通過對計算結(jié)果的對比,探討兩種不同性質(zhì)的銀行在經(jīng)營管理理念和應對利率風險策略方面的不同,并尋找可能存在的改善利率風險暴露的方法和思路。 2.不再教條的遵循存貸款利率同等移動的假設,而是根據(jù)現(xiàn)實情況分期限對于利率可能的變動情況作一定的估計,并在此基礎上進行資產(chǎn)負債表利率風險暴露的分析。 3.利率風險分析的內(nèi)容也不僅僅局限于商業(yè)銀行的存貸款頭寸,而是在自己能力所及以及有具體數(shù)據(jù)支撐的范圍內(nèi)力圖全面分析商業(yè)銀行所有的生息資產(chǎn)(信貸資產(chǎn)、同業(yè)資產(chǎn)、存放央行的貨幣和投資資產(chǎn)等)和付息負債(存款負債、同業(yè)負債等)由于利率變動帶來的利率風險暴露。
[Abstract]:China's interest rate market began in January 1986, Chinese the monetary authorities in order to prevent the financial turmoil in the environment, in a long period of time span (1986 -2012) gradually promote the interest rate marketization reform of different financial level. However, the interest rate is always the risk of interest rate marketization can not evade the issue, then, how to in the interest rate market further today more scientific and accurate measurement of the interest rate risk of commercial banks, and to find appropriate measures to alleviate the adverse effects, it is worth paying close attention to major issues.
At present, China has basically completed the foreign currency loan, money market and bond market interest rate marketization reform.2012 the two time the central bank cut the deposit and lending rates, deposit interest rates and allowed no more than 10%, lower loan interest rates adjusted for the benchmark interest rate 70%. this measure is widely recognized to be in the interest rate market substantial. The deposit interest rate of 10%, while the loan interest rate to float downward, the double impact will bring some impact to the operation and management of China's commercial banks. To the extent of the impact, the commercial banks have much impact, the commercial bank managers how to deal with this problem and the pendulum impact etc. in front of us.
First, the purpose of the thesis research
Substantial progress in China's interest rate market has happened so I study the problem has very important practical significance. In the interest rate market and the reform of commercial banks will bring influence how, many scholars have done in-depth research. Observe their flexible angle, a variety of research methods, theory innovation are worthy of my learning in the design process. This paper in reference to previous research results, combined with the substantial progress of the marketization of interest rate in China, in the interest rate risk gap model using the classical and traditional ideas of interest rate risk analysis is improved at the same time, the more timeliness a more comprehensive and credible than the previous bank data analysis, a preliminary quantitative analysis on the marketization of interest rates to the bank's interest rate risk, and through empirical analysis. To explain how commercial banks should deal with interest rate risk better.
Two, the main contents and views of the paper
The first chapter introduces the significance of research questions: when the substantial progress in the interest rate market to analyze the interest rate risk of commercial banks is to keep pace with the times and has very important practical significance. Then the research at home and abroad were reviewed. And then introduces the theoretical tools and research methods used in the process of writing the basic ideas and logical structure, combing the thesis. Finally, this thesis summarizes the innovations and deficiencies.
The second chapter first defines the concept of interest rate marketization, then introduces the United States, Germany, Japan, South Korea, Malaysia, Argentina, Chile and other countries in the development process of interest rate marketization and experienced financial risk, then introduce the topic up to Chinese market interest rates on the part: mainly from the banks the interbank market, the bond market, the process of deposit and loan interest rate marketization and money market four aspects of the system this paper introduces the developing process of China in the interest rate market. In the study of foreign interest rate market process the process of practice, I found that most realize the marketization reform of interest rate countries experienced banking turmoil and instability. Although all forms of banking crises vary, but they are largely due to the gradual fermentation and evolution of interest rate fluctuations caused by interest rate risk, So it is very important to study interest rate risk.
The third chapter discusses the theory of interest rate risk system, expounds the definition, the interest rate risk condition, four kinds of forms and use benefit analysis and economic value analysis method to evaluate the two different ideas of interest rate risk. After the introduction of two ways of measuring interest rate risk: interest rate sensitivity gap analysis model with the management model and the analytical method of duration. These two methods are simple and easy to use, but also has many limitations. In this chapter discusses these limitations also introduced some methods to overcome such limitations and based this idea.
The fourth chapter discusses the theoretical point of view from the impact of interest rate marketization of our commercial banks. The main idea is to study abroad through the process of marketization of interest rates of commercial banks influence the practice of data and experience, combined with the recent changes in the data management of China's commercial banks to make a comparison and analysis. From five aspects, summed up the process of marketization of interest rate on the impact of China's commercial banks: (1) the deposit and loan interest rate rise is a high probability event; (2) market interest rates lead to banking deposit spreads, net interest margin; (3) market interest rates lead to commercial bank interest income accounted for the decline in non. Interest income accounted for the rise. (4) the interest rate market intensified competition in the commercial banks, the management level of test bank; (5) the interest rate market to stimulate the financial innovation of commercial banks.
The fifth chapter is empirical research on interest rate risk: selecting two sample banks, doing some assumptions and the financial statements of the bank under the premise of a simplified using the interest rate sensitivity gap analysis method to analyze the two 2012 year interest rates could lead to the impact and influence of changes in the interest rate.
The sixth chapter is to discuss the results of the analysis: through the analysis of the conclusion, I think that the two interest rate cut has brought substantial impact and pressure on the performance of commercial banks. In the analysis of the results of empirical analysis, I discovered that the interest rate curve of interest rate sensitivity gap model relies on the parallel movement hypothesis has gradually deviated from the actual (before 2012 the domestic interest rate changes, whether interest rates or interest rates, interest rates and all accord with the parallel increase or decrease the number of basis points), and the assumption of a negative interest rate sensitivity gap in the process of falling interest rates will not necessarily increase the interest income. To get more accurate and credible conclusion must be discussed in detail specific changes in the period of interest rate, and change analysis of each specific interest rate risk assets or liabilities independently with this. This discovery for the commercial bank business How to measure and respond to interest rate risk is put forward higher requirement by managers. In the conclusion analysis, I also made a preliminary discussion on how commercial banks use interbank business to decentrate interest rate risk.
Three, the main contribution of this article
1. using the latest development trend of China's market-oriented interest rate process (two cuts in the context of the deposit interest rates go up 10%, while the lowest loan interest rate to fall to 30 percent off) and data (the June 30, 2012 listed banks report on the first half) of a domestic listed state-owned commercial banks and a listed joint-stock commercial banks: an empirical analysis the interest rate risk and through the comparison of the calculated results of two different kinds of banks of different nature in concept and coping strategies of interest rate risk management, and find out the possible improvement of interest rate risk exposure methods and ideas.
2., no longer dogmatic to follow the assumption that the interest rate is equal to mobile. Instead, we will estimate the possible change of interest rate according to the actual situation, and analyze the interest rate risk exposure of the balance sheet based on this.
The content analysis of 3. interest rate risk is not limited to commercial bank's loan positions, but in their own ability and range of internal force diagram of specific data to support the comprehensive analysis of commercial banks all interest earning assets (credit assets, interbank assets, deposit the central bank's monetary and investment assets etc.) and interest bearing liabilities (interbank deposit liabilities. Liabilities) due to changes in interest rates, interest rate risk exposure.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33;F832.5

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