基于利率敏感性缺口模型我国商业银行利率风险管理研究
毕业论文关键词：商业银行 利率风险管理 利率敏感性缺口模型
The Study of the Risk Management for Interest Rate of Commercial Bank
——Based on the Interest Rate Sensitivity Gap Model
Abstract: With the accelerating process of marketization of interest rates, the frequent fluctuation of interest rates have greatly contributed to the interest rate risk of commercial Banks. In the past for a long time, our country commercial bank survived in rates regulated environment, although gradually realizing the importance of interest rate risk management, management work is still facing great constraints. Therefore, the effective management of interest rate risk has become an urgent problem in our country commercial bank. As a starting point, using the interest rate sensitivity gap model to analyze datas of the six commercial banks from 2007 to 2014,and aiming at the problems of asset-liability maturity mismatch, interest rate risk management awareness backward and low level of interest rate risk management, the paper makes the following proposals to improve the management of commercial bank interest rate risk: strengthening the interest rate risk management as the center of the asset liability management, establishing a scientific system of interest rate forecast, promoting the persification of banking development, training of specialists in the field of interest rate risk management, strengthening the construction of the financial markets.
Key Words：commercial bank, interest rate risk management, interest rate sensitivity gap model
目 录
一、引言 1
（一）研究背景与意义 1
（二）文献综述 1
二、 利率市场化背景下我国商业银行面临的利率风险 3
（一）利率市场化的简述 3
（二）利率市场化背景下我国商业银行面临的利率风险 4
三、 我国商业银行利率风险管理的实证分析：基于利率敏感性缺口模型 5
（一）利率敏感性缺口模型 5
（二）我国商业银行利率敏感性分析 6
（三）我国商业银行利率风险管理的实证分析 8
四、提高我国商业银行利率风险管理的建议 15
（一）加强以利率风险管理为中心的资产负债管理 16
（二）建立科学的利率预测体系 16
（三）推进银行业务的多元化发展 17
（四）培养利率风险管理专业人才 17
（五）加强金融市场建设 17
参考文献 19
一、引言
（一）研究背景与意义
2000年7月19日，中国人民银行首次明确表示我国将进行利率市场化改革。利率市场化给商业银行带来了许多积极影响，如：完善利率体系、增加金融创新活动等，但同时也无法回避地带来了消极影响，即利率风险。在利率市场化的过程中利率的波动幅度很大，这为商业银行带来了巨大的潜在损失。假如商业银行不能有效地管控利率风险，整个银行业甚至金融体系都会受到巨大的影响。
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