利率市場(chǎng)化與國(guó)有商業(yè)銀行利率風(fēng)險(xiǎn)評(píng)估研究

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摘要 隨著我國(guó)改革開(kāi)放的深入推進(jìn)，金融體制改革被提升到前所未有的高度，而利率市場(chǎng)化則是中國(guó)金融體制改革的重要內(nèi)容。利率市場(chǎng)化將對(duì)國(guó)內(nèi)各經(jīng)濟(jì)主體產(chǎn)生重大的影響，商業(yè)銀行作為國(guó)民經(jīng)濟(jì)活動(dòng)中最重要的主體之一，受到的影響十分大。利率市場(chǎng)化有利于國(guó)有商業(yè)銀行進(jìn)行商業(yè)化改革，促進(jìn)國(guó)有商業(yè)銀行優(yōu)化業(yè)務(wù)結(jié)構(gòu)，增強(qiáng)其競(jìng)爭(zhēng)意識(shí)。但是，利率市場(chǎng)化后，利率的波動(dòng)更加頻繁，這也給商業(yè)銀行帶來(lái)巨大的利率風(fēng)險(xiǎn)。本文在簡(jiǎn)述利率市場(chǎng)化的定義、特點(diǎn)以及進(jìn)程后，論述了利率市場(chǎng)化對(duì)國(guó)有商業(yè)銀行產(chǎn)生的影響。通過(guò)綜合使用利率敏感性缺口模型和壓力測(cè)試法評(píng)估了國(guó)有商業(yè)銀行在利率市場(chǎng)化進(jìn)程中遇到的利率風(fēng)險(xiǎn)，并在此基礎(chǔ)上提出我國(guó)國(guó)有商業(yè)銀行應(yīng)對(duì)利率風(fēng)險(xiǎn)的一些策略。

關(guān)鍵詞 利率市場(chǎng)化；國(guó)有商業(yè)銀行；利率風(fēng)險(xiǎn)


eva luation on the marketization of interest rate and interest rate risk
in the state owned Commercial Banks

Abstract With the deepening of China's reform and opening up forward, the financial system has been raised to an unprecedented height, while the interest rate market is an important part of China's financial system. Interest rate market will have a significant domestic economic agents affect national economic activities of commercial banks as one of the most important subjects,very big impact.Interest rate market is conducive to the commercialization of state-owned commercial banks reform, strengthen their sense of competition, to promote the state-owned commercial banks to optimize business structure. However, the interest rate market, more frequent fluctuations in interest rates, it also gives commercial banks a huge interest rate risk. This paper briefly after interest rate market definition, characteristics and processes, discusses the impact of interest rate marketization of state-owned commercial banks generated. Through the combined use of interest rate sensitivity gap model and stress test method to assess the interest rate risk in state-owned commercial banks face in the process of marketization of interest rates, and proposed state-owned commercial banks to deal with some of the policy interest rate risk on this basis.

Keywords Interest rate market; State-owned commercial banks; Interest rate risk


目 錄
第1章 利率市場(chǎng)化概述 1
1.1 利率市場(chǎng)化的定義與特點(diǎn) 1
1.1.1 利率市場(chǎng)化的定義 1
1.1.2 利率市場(chǎng)化的特點(diǎn) 1
1.2 研究的背景與意義 2
1.3 我國(guó)利率市場(chǎng)化進(jìn)程 3
1.4 利率市場(chǎng)化對(duì)國(guó)有商業(yè)銀行的影響 4
1.4.1 積極影響 4
1.4.2 消極影響 5
第2章 利率風(fēng)險(xiǎn)評(píng)估模型與選擇 7
2.1 利率敏感性缺口模型 7
2.1.1 利率敏感性缺口模型 7
2.1.2 模型評(píng)價(jià) 8
2.2 壓力測(cè)試法 9
2.2.1 壓力測(cè)試法 9
2.2.2 壓力測(cè)試法評(píng)價(jià) 9
2.3 久期模型 9
2.4 VAR模型 10
2.5 本文模型的選擇 10
第3章 國(guó)有商業(yè)銀行利率風(fēng)險(xiǎn)評(píng)估 11
3.1 國(guó)有銀行利率風(fēng)險(xiǎn)定性評(píng)估 12
3.1.1 階段性風(fēng)險(xiǎn) 12
3.1.2 持久性風(fēng)險(xiǎn) 13
3.2 國(guó)有銀行利率風(fēng)險(xiǎn)定量評(píng)估 14
3.2.1 利率敏感性缺口與系數(shù) 15
3.2.2 利率波動(dòng)導(dǎo)致凈利息變動(dòng)狀況 16
3.3 小結(jié) 19
第4章 國(guó)有商業(yè)銀行應(yīng)對(duì)利率風(fēng)險(xiǎn)的策略 21
4.1 采用合理的缺口管理策略，合理配置資產(chǎn)負(fù)債期限 21
4.2 積極進(jìn)行金融創(chuàng)新，使用金融衍生工具來(lái)轉(zhuǎn)化風(fēng)險(xiǎn) 21
4.3 積極進(jìn)行業(yè)務(wù)轉(zhuǎn)型 21
4.4 建立完善的利率風(fēng)險(xiǎn)管理系統(tǒng) 22
參考文獻(xiàn) 23