本文選題：利率市場(chǎng)化　切入點(diǎn)：利率敏感性風(fēng)險(xiǎn)　出處：《長(zhǎng)沙理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著利率市場(chǎng)化的發(fā)展，利率管制權(quán)不再掌握在政府手中，而是隨著市場(chǎng)供求關(guān)系的變化，基準(zhǔn)利率也發(fā)生變化，利率水平與均衡市場(chǎng)的利率水平不斷接近，促進(jìn)了國(guó)家經(jīng)濟(jì)的健康發(fā)展。然而，由于市場(chǎng)機(jī)制不完善、產(chǎn)權(quán)改革仍不清晰、金融市場(chǎng)較為落后、金融機(jī)構(gòu)環(huán)境適應(yīng)性差等原因，不穩(wěn)定的市場(chǎng)利率環(huán)境會(huì)給商業(yè)銀行帶來很大的傷害，直接影響其利差收入，使得商業(yè)銀行市場(chǎng)價(jià)值降低，而在宏微觀環(huán)境的波動(dòng)中，市場(chǎng)利率也在不斷變化，利率風(fēng)險(xiǎn)成為商業(yè)銀行面臨的最大威脅，在這些威脅中，尤以利率敏感性風(fēng)險(xiǎn)和利率結(jié)構(gòu)性風(fēng)險(xiǎn)更為突出。西方商業(yè)銀行在發(fā)展過程中充分認(rèn)識(shí)利率風(fēng)險(xiǎn)管理的重要性，為有效防止由于市場(chǎng)利率環(huán)境波動(dòng)引起的利率波動(dòng)風(fēng)險(xiǎn)做了大量工作，相比而言，我國(guó)的利率市場(chǎng)在很長(zhǎng)一段時(shí)期處于管制狀態(tài)，，利率發(fā)生波動(dòng)時(shí)我國(guó)商業(yè)銀行反應(yīng)比較遲緩，波動(dòng)對(duì)經(jīng)營(yíng)效益影響不大，所以長(zhǎng)期以來我國(guó)商業(yè)銀行對(duì)利率敏感性風(fēng)險(xiǎn)和結(jié)構(gòu)性風(fēng)險(xiǎn)的重視程度不夠，風(fēng)險(xiǎn)管理意識(shí)較為淡薄，并未仔細(xì)研究利率風(fēng)險(xiǎn)管理技術(shù)及方法，使得我國(guó)商業(yè)銀行抵御利率風(fēng)險(xiǎn)能力較差，若不引起重視，商業(yè)銀行在金融市場(chǎng)的地位和存在價(jià)值將會(huì)受到很大威脅。所以商業(yè)銀行對(duì)于利率風(fēng)險(xiǎn)的調(diào)控、管理能力和水平對(duì)于其在金融行業(yè)的競(jìng)爭(zhēng)起著至關(guān)重要的作用。 利率敏感性風(fēng)險(xiǎn)和結(jié)構(gòu)性風(fēng)險(xiǎn)是利率風(fēng)險(xiǎn)中最基礎(chǔ)和最重要的風(fēng)險(xiǎn)種類。本文以這兩個(gè)風(fēng)險(xiǎn)為切入點(diǎn)，采用利率敏感性缺口模型分析商業(yè)銀行利率敏感性風(fēng)險(xiǎn)，研究存貸款利率變化所引起的結(jié)構(gòu)性風(fēng)險(xiǎn)的變化，利用久期-凸度模型實(shí)現(xiàn)對(duì)利率敏感性風(fēng)險(xiǎn)和結(jié)構(gòu)性風(fēng)險(xiǎn)的動(dòng)態(tài)分析。希望能從小角度出發(fā)，縱觀我國(guó)商業(yè)銀行的風(fēng)險(xiǎn)管理體系，指出利率市場(chǎng)化的條件下所面臨的利率風(fēng)險(xiǎn)問題，提出規(guī)避利率敏感性和結(jié)構(gòu)性風(fēng)險(xiǎn)、提高商業(yè)銀行競(jìng)爭(zhēng)力的一系列對(duì)策。
[Abstract]:With the development of interest rate marketization, interest rate control power is no longer in the hands of the government, but with the change of the market supply and demand relationship, the benchmark interest rate also changes, the interest rate level and the equilibrium market interest rate level are close to each other. It has promoted the healthy development of the national economy. However, due to the imperfect market mechanism, the unclear property rights reform, the backward financial market, the poor adaptability of financial institutions, and so on, The unstable market interest rate environment will bring great harm to the commercial banks, which will directly affect the interest rate difference income of the commercial banks, which will reduce the market value of the commercial banks, and the market interest rate will also be changing constantly in the fluctuation of macro and micro environment. Interest rate risk has become the biggest threat to commercial banks, especially interest rate sensitive risk and interest rate structural risk. Western commercial banks fully understand the importance of interest rate risk management in the process of development. A great deal of work has been done to effectively prevent the risk of interest rate fluctuation caused by the fluctuation of market interest rate environment. In contrast, the interest rate market in our country is in a regulated state for a long time, and when the interest rate fluctuates, the commercial banks in our country react slowly. The fluctuation has little influence on the operation benefit, so for a long time, the commercial banks in our country have not paid enough attention to the interest rate sensitive risk and the structural risk, and the risk management consciousness is relatively weak, and they have not studied the interest rate risk management technology and method carefully. It makes our commercial banks have poor ability to resist interest rate risk. If we do not pay attention to it, the position and value of commercial banks in the financial market will be greatly threatened. Therefore, the regulation and control of interest rate risk by commercial banks, Management ability and level play a vital role in the competition in the financial industry. Interest rate sensitivity risk and structural risk are the most basic and important risk types in interest rate risk. This paper studies the change of structural risk caused by the change of deposit and loan interest rate, and realizes the dynamic analysis of the sensitive risk and structural risk of interest rate by using the duration-convexity model. Looking at the risk management system of commercial banks in China, this paper points out the problems of interest rate risk under the condition of marketization of interest rate, and puts forward a series of countermeasures to avoid the sensitivity and structural risks of interest rate and to improve the competitiveness of commercial banks.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F822.0;F832.33

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