利率市场化背景下我国商业银行的利率风险衡量

发布时间：2018-01-07 23:08

本文关键词：利率市场化背景下我国商业银行的利率风险衡量　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：伴随着我国不断加快的利率市场化,利率风险管理的问题越来越突出,加强利率风险管理也成为了商业银行的迫切要求。利率市场化不仅是对我国整个金融体系的运行实现市场化,提高整个金融体系运行效率的内在要求,也是为了适应全球金融市场的统一规则,为主动参与国际经济、金融合作与竞争的打下基础。利率市场化在短期和长期内都将对我国商业银行经营产生全方位的影响,如何从容应对市场化的机遇和挑战,提高利率风险管理水平,在日渐市场化和日益开放的经营环境中立于不败之地,已成为当前我国商业银行面临的一项迫切任务。本文对商业银行利率风险管理这一问题的研究,探索出适合于国内商业银行的利率风险管理模式,具有重要的理论和实践意义。本文通过回顾我国的利率市场化进程,引出我国利率市场化所面临的的风险,从而进一步揭示出我国商业银行在利率市场化进程中所面临的风险,以及在这个过程中我国商业银行对利率风险的管理现状。接着讨论了适合我国商业银行对于利率风险的几种衡量方法,包括了：运用利率敏感性缺口法衡量银行的总体利率风险；运用久期来衡量银行债券资产的利率风险；运用Var来衡量商业银行的利率风险。最后提出了我国商业银行在利率市场化进程中对利率风险的控制与监管。本文以利率市场化为研究背景,从商业银行的角度,研究我国商业银行现阶段所面临的利率风险。全文总共六部分,各部分内容介绍如下：第一部分为导论,介绍了本文的研究意义、基本思路与论文框架；第二部分首先说明利率市场化的重要意义；然后,回顾我国的利率市场化进程,总结归纳出我国利率市场化的几个步骤；最后,引出我国利率市场化所面临的的风险；第三部分主要说明了我国商业银行在利率化进程中所面临的风险,以及在这个过程中我国商业银行对利率风险的管理现状；第四部分主要介绍了商业银行风险衡量方法,包括了：我国商业银行利率风险的衡量现状；利率风险的衡量方法及选择；运用久期来衡量银行债券资产的利率风险；衡量我国商业银行的内含期权风险；运用Var来衡量商业银行的利率风险；第五部分引出了我国商业银行在利率市场化进程中对利率风险的监管与控制。
[Abstract]:With the accelerating marketization of interest rate in China, the problem of interest rate risk management is becoming more and more prominent. Strengthening interest rate risk management has also become an urgent requirement for commercial banks. Interest rate marketization is not only the inherent requirement to realize marketization of the whole financial system of our country, but also to improve the efficiency of the whole financial system. It is also in order to adapt to the uniform rules of global financial markets and to participate actively in the international economy. Financial cooperation and competition lay the foundation. Interest rate marketization in the short and long term will have a comprehensive impact on the management of commercial banks in China, how to deal with the opportunities and challenges of marketization calmly. Improve the level of interest rate risk management, in the increasingly market-oriented and increasingly open business environment in an invincible position. It has become an urgent task for China's commercial banks. This paper studies the interest rate risk management of commercial banks and explores a suitable interest rate risk management model for domestic commercial banks. This paper reviews the process of interest rate marketization in China, and leads to the risk of interest rate marketization in China. Thus, it further reveals the risks faced by Chinese commercial banks in the process of interest rate marketization. And in the process of China's commercial banks to the interest rate risk management status quo. Then it discusses the appropriate Chinese commercial banks for the interest rate risk measurement methods. Including: the use of interest rate sensitivity gap method to measure the overall interest rate risk of banks; Using duration to measure the interest rate risk of bank bond assets; Var is used to measure the interest rate risk of commercial banks. Finally, the paper puts forward the control and supervision of interest rate risk in the process of interest rate marketization. This paper takes the interest rate marketization as the research background. From the point of view of commercial banks, this paper studies the interest rate risk faced by Chinese commercial banks at this stage. There are six parts in this paper. The content of each part is as follows: the first part is the introduction, which introduces the significance of this paper. Basic ideas and the framework of the paper; The second part first explains the importance of interest rate marketization. Then, review the interest rate marketization process in China, sum up the interest rate marketization of our country several steps; Finally, the paper draws the risk of interest rate marketization in China. The third part mainly explains the risk that the commercial bank of our country faces in the interest rate process, and the present situation of the management of the interest rate risk of the commercial bank of our country in this process; The 4th part mainly introduces the commercial bank risk measurement method, including: our country commercial bank interest rate risk measurement present situation; The measurement method and choice of interest rate risk; Using duration to measure the interest rate risk of bank bond assets; To measure the implicit option risk of commercial banks in China; Using Var to measure the interest rate risk of commercial banks; The 5th part leads to the supervision and control of interest rate risk in the process of interest rate marketization.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2

【相似文献】