發(fā)布時(shí)間：2019-05-30 11:12

【摘要】：隨著中國(guó)利率市場(chǎng)化進(jìn)程的加快，商業(yè)銀行的風(fēng)險(xiǎn)管理重點(diǎn)也逐漸從信貸風(fēng)險(xiǎn)向利率風(fēng)險(xiǎn)轉(zhuǎn)移，利率風(fēng)險(xiǎn)將成為商業(yè)銀行今后一段時(shí)期所面對(duì)的主要風(fēng)險(xiǎn)之一。但受市場(chǎng)環(huán)境、認(rèn)知水平和人員素質(zhì)等條件限制，地方中小金融機(jī)構(gòu)對(duì)利率風(fēng)險(xiǎn)的認(rèn)識(shí)還處于混沌狀態(tài)。如何讓地方中小金融機(jī)構(gòu)認(rèn)識(shí)利率風(fēng)險(xiǎn)、管理利率風(fēng)險(xiǎn)，在激烈的市場(chǎng)競(jìng)爭(zhēng)中立穩(wěn)腳跟顯得尤為重要。 本文首先介紹了利率風(fēng)險(xiǎn)管理的相關(guān)理論，包括利率風(fēng)險(xiǎn)的概念、利率風(fēng)險(xiǎn)的種類、利率風(fēng)險(xiǎn)的計(jì)量方法及其控制；在此基礎(chǔ)上對(duì)DY商業(yè)銀行在利率風(fēng)險(xiǎn)管理方面的現(xiàn)狀進(jìn)行了系統(tǒng)分析，指出該行在利率風(fēng)險(xiǎn)管理方面所存在的問(wèn)題，并進(jìn)一步分析造成上述問(wèn)題的主要原因；接著，結(jié)合DY商業(yè)銀行自身特點(diǎn)，對(duì)其利率風(fēng)險(xiǎn)管理體系進(jìn)行了重新構(gòu)建，明確利率風(fēng)險(xiǎn)管理目標(biāo)，建立管理組織架構(gòu)，進(jìn)行風(fēng)險(xiǎn)識(shí)別、檢測(cè)及預(yù)警、計(jì)量與控制，并建設(shè)利率定價(jià)機(jī)制；最后對(duì)關(guān)于DY商業(yè)銀行的利率風(fēng)險(xiǎn)管理分析進(jìn)行總結(jié)，，并進(jìn)一步提出改進(jìn)策略，包括明確利率風(fēng)險(xiǎn)管理目標(biāo)，建設(shè)利率風(fēng)險(xiǎn)管理的組織架構(gòu)，對(duì)利率風(fēng)險(xiǎn)指標(biāo)的識(shí)別、監(jiān)測(cè)及預(yù)警，以及利率風(fēng)險(xiǎn)的計(jì)量與控制等管理策略。 通過(guò)對(duì)DY商業(yè)銀行利率風(fēng)險(xiǎn)管理現(xiàn)狀的分析，不僅有利于探明我國(guó)商業(yè)銀行尤其是地方性中小銀行在利率風(fēng)險(xiǎn)管理方面存在的不足，也對(duì)商業(yè)銀行利率風(fēng)險(xiǎn)管理的案例分析提供了框架借鑒，無(wú)論是從理論上還是從實(shí)踐上對(duì)于提升我國(guó)商業(yè)銀行的利率風(fēng)險(xiǎn)管理能力和防范利率風(fēng)險(xiǎn)都具有積極的意義。
[Abstract]:With the acceleration of the process of interest rate marketization in China, the focus of risk management of commercial banks has gradually shifted from credit risk to interest rate risk, and interest rate risk will become one of the main risks faced by commercial banks in the future. However, limited by the market environment, cognitive level and personnel quality, the understanding of interest rate risk by local small and medium-sized financial institutions is still in a chaotic state. How to make local small and medium-sized financial institutions understand interest rate risk, manage interest rate risk, in the fierce market competition to maintain a stable foothold is particularly important. This paper first introduces the related theories of interest rate risk management, including the concept of interest rate risk, the types of interest rate risk, the measurement method of interest rate risk and its control. On this basis, this paper makes a systematic analysis of the present situation of DY commercial banks in interest rate risk management, points out the problems existing in interest rate risk management, and further analyzes the main causes of the above problems. Then, combined with the characteristics of DY commercial banks, the interest rate risk management system is rebuilt, the objectives of interest rate risk management are defined, the management organizational structure is established, risk identification, detection and early warning, measurement and control are carried out. And the construction of interest rate pricing mechanism; Finally, the analysis of interest rate risk management of DY commercial banks is summarized, and the improvement strategies are further put forward, including clear interest rate risk management objectives, construction of interest rate risk management organizational structure, identification of interest rate risk indicators. Monitoring and early warning, as well as interest rate risk measurement and control and other management strategies. Through the analysis of the present situation of interest rate risk management of DY commercial banks, it is not only helpful to find out the shortcomings of Chinese commercial banks, especially local small and medium-sized banks, in interest rate risk management. It also provides a framework for the case analysis of interest rate risk management of commercial banks, both in theory and in practice, which is of positive significance to improve the ability of interest rate risk management and prevent interest rate risk of commercial banks in China.
【學(xué)位授予單位】：中國(guó)石油大學(xué)（華東）
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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