發(fā)布時(shí)間：2018-06-09 04:30

  本文選題：利率市場(chǎng)化 + 商業(yè)銀行��； 參考：《山東大學(xué)》2013年碩士論文

【摘要】：20世紀(jì)70年代以來,在許多實(shí)施利率市場(chǎng)化改革的國(guó)家,相繼出現(xiàn)了不同程度的銀行業(yè)危機(jī)。究其原因,一方面由于利率市場(chǎng)化加大了利率水平波動(dòng)的不確定性,另一方面由于商業(yè)銀行本身對(duì)利率風(fēng)險(xiǎn)缺乏有效的防范與管理。隨著近年來我國(guó)利率市場(chǎng)化改革進(jìn)程的加快,利率風(fēng)險(xiǎn)也成為我國(guó)商業(yè)銀行經(jīng)營(yíng)不可回避的問題。在此背景下,從風(fēng)險(xiǎn)識(shí)別的角度探討我國(guó)商業(yè)銀行所面臨的利率風(fēng)險(xiǎn),并對(duì)我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)暴露的程度進(jìn)行測(cè)度,對(duì)我國(guó)商業(yè)銀行在新環(huán)境下管理利率風(fēng)險(xiǎn)無疑具有重要的理論和現(xiàn)實(shí)意義。 本文采用了定性的方法對(duì)我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)進(jìn)行了識(shí)別研究。首先,利率市場(chǎng)化改革從利率水平頻繁波動(dòng)和總體上升兩方面給我國(guó)商業(yè)銀行帶來了階段性沖擊,前者加大了商業(yè)銀行收益價(jià)值和經(jīng)濟(jì)價(jià)值的不確定性,后者加大了商業(yè)銀行資金的使用成本,并誘發(fā)信用風(fēng)險(xiǎn)和財(cái)政支出轉(zhuǎn)嫁的問題；其次,從利率風(fēng)險(xiǎn)來源本身,我國(guó)商業(yè)銀行“短借長(zhǎng)貸”的操作方式、相對(duì)單一的資產(chǎn)負(fù)債結(jié)構(gòu)以及期權(quán)性金融產(chǎn)品的廣泛推出,導(dǎo)致其在利率不利變動(dòng)時(shí)面臨長(zhǎng)期的風(fēng)險(xiǎn)暴露；最后,缺乏相應(yīng)的利率衍生工具、盈利模式過于單一、利率風(fēng)險(xiǎn)管理體系建設(shè)滯后等問題的存在,則進(jìn)一步加劇了我國(guó)商業(yè)銀行面臨的利率風(fēng)險(xiǎn)。 同時(shí),本文以我國(guó)同業(yè)拆借市場(chǎng)作為研究對(duì)象,選取2010-2012年隔夜拆借利率與商業(yè)銀行拆借頭寸數(shù)據(jù),運(yùn)用VaR模型度量了利率市場(chǎng)化環(huán)境下我國(guó)商業(yè)銀行隔夜拆借資金的利率風(fēng)險(xiǎn)。實(shí)證分析表明,將GARCH模型引入VaR的計(jì)算中,可以較好的模擬收益率序列的分布特征；而VaR的計(jì)算結(jié)果表明,在利率頻繁且劇烈波動(dòng)的環(huán)境下,商業(yè)銀行拆借資金總體上面臨顯著的利率風(fēng)險(xiǎn),且不同類型商業(yè)銀行由于拆借頭寸水平管理的差異,風(fēng)險(xiǎn)暴露水平也不一致。 文章分為五個(gè)部分。第1章為導(dǎo)言。第2章定義利率風(fēng)險(xiǎn),并對(duì)商業(yè)銀行利率風(fēng)險(xiǎn)識(shí)別與度量的國(guó)內(nèi)外文獻(xiàn)進(jìn)行回顧。第3章定性識(shí)別我國(guó)商業(yè)銀行面臨的利率風(fēng)險(xiǎn)。第4章基于VaR模型與GARCH模型族理論,通過樣本數(shù)據(jù)的檢驗(yàn)分析,構(gòu)建同業(yè)拆借市場(chǎng)隔夜拆借利率收益率的條件異方差模型,定量測(cè)度我國(guó)商業(yè)銀行面臨的利率風(fēng)險(xiǎn)。第5章為結(jié)論與對(duì)策建議。
[Abstract]:Since the 1970s, in many countries implementing interest rate marketization reform, there have been banking crises of different degrees. On the one hand, the marketization of interest rate increases the uncertainty of the fluctuation of interest rate level, on the other hand, the commercial banks lack effective prevention and management of interest rate risk. With the acceleration of interest rate marketization reform in recent years, interest rate risk has become an unavoidable problem for commercial banks in China. In this context, the paper discusses the interest rate risk faced by Chinese commercial banks from the perspective of risk identification, and measures the degree of interest rate risk exposure of commercial banks in China. It is undoubtedly of great theoretical and practical significance to manage the interest rate risk of commercial banks in our country under the new environment. This paper adopts qualitative methods to identify and study the interest rate risk of commercial banks in our country. First of all, the market-oriented interest rate reform has brought the stage impact to our commercial banks from the frequent fluctuation of interest rate level and the overall increase of interest rate level. The former has increased the uncertainty of the profit value and economic value of commercial banks. The latter increases the cost of using funds of commercial banks, and induces the problem of credit risk and transfer of financial expenditure. Secondly, from the source of interest rate risk itself, the operation mode of "short loan and long loan" in Chinese commercial banks is introduced. The relatively single asset-liability structure and the extensive introduction of option-based financial products lead to long-term risk exposure when the interest rate is unfavorable to change. Finally, due to the lack of corresponding interest rate derivatives, the profit model is too single. The lagged construction of interest rate risk management system has further aggravated the interest rate risk faced by commercial banks in China. At the same time, this paper takes the interbank lending market as the research object. Based on the data of overnight lending rate and commercial bank lending position in 2010-2012, this paper uses VaR model to measure the interest rate risk of Chinese commercial banks' overnight borrowing funds in the interest rate marketization environment. The empirical analysis shows that the GARCH model can be used to simulate the distribution characteristics of yield series in VaR, and the results of VaR show that, in the environment of frequent and volatile interest rate, the GARCH model can be used to simulate the distribution characteristics of yield series. Commercial banks generally face significant interest rate risk, and different types of commercial banks have different exposure levels due to the differences in the management of lending positions. The paper is divided into five parts. Chapter 1 is an introduction. Chapter 2 defines interest rate risk and reviews the domestic and foreign literature on interest rate risk identification and measurement of commercial banks. Chapter 3 qualitatively identifies the interest rate risk faced by Chinese commercial banks. In chapter 4, based on VaR model and GARCH model family theory, the conditional heteroscedasticity model of overnight interest rate return rate in interbank borrowing market is constructed through the test and analysis of sample data to quantitatively measure the interest rate risk faced by commercial banks in China. Chapter 5 is the conclusion and countermeasure.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33;F822.0

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