利率市场化下商业银行利率风险管理的实证研究

摘要中国人民银行宣布将减少对银行等金融机构利率管制，于是利率市场化的变革正一步一步席卷整个金融市场。目前我国利率市场化正渐渐地稳步前进，既给商业银行带来了机会，同时银行也面临着一些不利的风险。利率风险对商业银行造成的影响在不断加深，这使得我国商业银行迫切需要提高对利率风险的约束与控制。本文从利率风险的概念以及分类开始写起，同时也分析了利率风险管理的理论。紧接着介绍了利率风险的三种度量模型：利率敏感性缺口模型、久期模型和VaR 模型。在实证部分选取了4 家股份制银行作为考察对象，选取它们每一个交易日对隔夜拆借利率的报价利率作为样本数据，并做对数处理。通过实证发现在利率市场化下商业银行面临的利率风险逐步加大，建议商业银行应该加大力度控制利率风险带来的不利影响，提高管控意识。42399
毕业论文关键词利率市场化商业银行利率风险
Title An Empirical Study of Commercial Bank Interest Rate InterestRate Risk Management
Abstract People's Bank of China announced that from July 20, 2013 will begin full liberalization oflending rates of financial institutions regulation, further promote market-oriented interest ratereform. Loan Interest Rate full liberalization, is a historic moment of interest rate reformjourney. At present the interest rate market is gradually advancing, both opportunities tocommercial banks, while banks are also facing challenges. Interest rate risk in commercialbanks continue to strengthen, which makes China's commercial banks is an urgent need tostrengthen the management and control of interest rate risk. In this paper, the concept andinterest rate risk classification began to write, but also analyzes the theoretical interest rate riskmanagement. Then introduces three models measure of interest rate risk: interest rate sensitivitygap model, duration model and VaR model. In the empirical part of the selected four joint-stockbanks, as the inspection object, select them each trading day for the overnight lending ratequoted rate as the sample data, and do log processing. Problems found in commercial banks byempirical analysis. Final recommendations commercial banks should strengthen themanagement of interest rate risk, improve management and control awareness.
Keywords interest rate marketization commercial bank interest rate risk

1 引言·1

1．1 选题背景及意义·· 1

1．2 文献综述··2

1．3 研究内容··3

2 利率风险及其管理的理论分析 5

2．1 利率风险的相关理论·5

2．2 利率风险管理的相关理论··6

3 商业银行利率风险的度量模型 8

3．1 三种利率风险模型的介绍··8

3．2 我国商业银行对利率风险计量的选择· 12

4 我国商业银行利率风险管理的实证研究·13

4．1 样本数据的选取 13

4．2 基本分析13

4．3 模型结果的估计 16

4．4 小结··19

结论·· 20

致谢·· 21

参考文献·22
1 引言利率，是指贷款到期时所获得的利息与贷款本金的比率，又可以称为到期回报率。利率市场化的实质是中央银行不再约束存款利率的上限和贷款利率的下限，由我国的商业银行根据本行情况自己确定。它的主要特性是首先由中央银行决定基准利率，然后交易利率由市场的供求来确定。目前央行控制的基准利率范围正逐步被放大，逐步完善市场化利率。当前利率市场化的改革正处于稳定前进中，商业银行既拥有良好的发展机会，同时不可避免会遇到一些挑战和困难。我们将利率市场化改革之后带来的风险可以称之为利率风险，而它也是不可避免的，基本上全部的国家和地区都会面对它。因为市场利率变化的未知性、长久性和系统性，一旦解除对利率的牵制，就会引起利率风险的产生。利率市场化下商业银行利率风险管理的实证研究:http://www.youerw.com/jingji/lunwen_42829.html