本文選題：利率市場化 + 利率風險管理�。� 參考：《復旦大學》2013年碩士論文

【摘要】：隨著我國利率市場化的程度越來越深,利率風險在商業(yè)銀行的風險管理的地位越來越突出。利率敏感性缺口分析由于其簡單易行的特點,在銀行間廣為使用。巴塞爾銀行監(jiān)管委員會于1997年9月發(fā)布了《利率風險管理與監(jiān)管原則》,其中對利率敏感性缺口分析法做了詳細的闡述。我國銀行監(jiān)管委員會也制定了《利率重新定價風險情況表》對商業(yè)銀行利率風險進行監(jiān)管控制。正因為利率敏感性缺口的廣泛應用,本文對該方法進行了一定研究和改進。 本文首先對利率水平決定理論,影響利率變動因素,利率風險形成的原因和影響以及初步的利率風險管理方法等進行了簡單介紹,總結了前人的理論基礎。其次介紹了我國逐步放寬利率管制的過程。在此基礎上,通過我國五大商業(yè)銀行的年報數(shù)據(jù)對利率敏感性缺口方法進行了實證分析。重點針對利率敏感性缺口分析法的假設進行了實證和理論分析。第一,利用我國2008-2012年央行存貸款基準利率的數(shù)據(jù)計算歷次不同期限的存貸款利率變化幅度,從實證分析的角度證明了我國利率水平變化并不符合利率平行變化的假設。第二,通過理論分析對另外兩個假設的成立條件進行了分析。針對以上分析出的問題,一方面對利率敏感性缺口分析法進行了改進,另一方面對上市商業(yè)銀行的年報披露內容進行了一定的補充規(guī)范。
[Abstract]:With the deepening of interest rate marketization in China, interest rate risk is playing an increasingly important role in the risk management of commercial banks. Interest rate sensitivity gap analysis is widely used among banks because of its simple and convenient characteristics. The Basel Committee on Banking Supervision issued the principles of interest rate risk Management and Supervision in September 1997, in which the gap analysis of interest rate sensitivity was elaborated in detail. The bank supervision committee of our country has also made the "interest rate repricing risk statement" to supervise and control the interest rate risk of commercial banks. Because of the wide application of interest rate sensitivity gap, the method is studied and improved in this paper. This paper firstly introduces the theory of determining the level of interest rate, the factors influencing the change of interest rate, the cause and influence of interest rate risk, and the preliminary method of interest rate risk management, and summarizes the theoretical basis of predecessors. Secondly, it introduces the process of relaxation of interest rate regulation in China. On this basis, the empirical analysis of interest rate sensitivity gap method is carried out through the annual report data of five major commercial banks in China. Focus on the interest rate sensitivity gap analysis of the assumptions of empirical and theoretical analysis. First, using the data of the central bank's benchmark deposit and loan interest rate from 2008 to 2012, we calculate the range of deposit and loan interest rates of different maturities, and prove from the perspective of empirical analysis that the change of interest rate level does not accord with the hypothesis of parallel change of interest rate. Second, through theoretical analysis, the other two hypotheses are analyzed. In view of the above problems, on the one hand, the interest rate sensitivity gap analysis method is improved; on the other hand, the disclosure content of listed commercial banks' annual report is supplemented with certain standards.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5

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本文編號：1906574