本文選題：商業(yè)銀行 + 利率風(fēng)險(xiǎn)　； 參考：《浙江大學(xué)》2015年碩士論文

【摘要】：中國(guó)利率市場(chǎng)化改革已進(jìn)入深水區(qū),利率風(fēng)險(xiǎn)也開(kāi)始成為中國(guó)商業(yè)銀行的主要風(fēng)險(xiǎn)之一。本文以2006～2014年中國(guó)7家上市銀行與中東地區(qū)7家上市銀行為樣本,通過(guò)數(shù)據(jù)處理與分析,運(yùn)用利率敏感性缺口模型中的利率敏感性缺口、利率敏感性缺口率,利率敏感性比率和偏離度這四項(xiàng)指標(biāo)進(jìn)行實(shí)證分析并對(duì)實(shí)證結(jié)果進(jìn)行對(duì)比分析。結(jié)果顯示,中國(guó)商業(yè)銀行存在,中長(zhǎng)期資產(chǎn)負(fù)債匹配不均衡,大型商業(yè)銀行中嚴(yán)重的“短借長(zhǎng)貸”現(xiàn)象,國(guó)有銀行的利率風(fēng)險(xiǎn)管理水平與靈活度普遍要弱于股份制銀行思維重視程度不夠,利率走勢(shì)預(yù)測(cè)技術(shù)缺乏等問(wèn)題。而中東地區(qū)商業(yè)銀行除了存在中國(guó)商業(yè)銀行的問(wèn)題以外,風(fēng)險(xiǎn)戰(zhàn)略較為激進(jìn),對(duì)利率風(fēng)險(xiǎn)管理沒(méi)有合理的戰(zhàn)略規(guī)劃,缺少專業(yè)風(fēng)險(xiǎn)管理人員。筆者認(rèn)為,中國(guó)商業(yè)銀行要防范利率風(fēng)險(xiǎn),一方面,需設(shè)立專門(mén)的資產(chǎn)負(fù)債管理委員會(huì),以加強(qiáng)利率走勢(shì)預(yù)測(cè)能力與人才隊(duì)伍的培養(yǎng),并進(jìn)一步開(kāi)發(fā)利率風(fēng)險(xiǎn)度量模型；另一方面,需要優(yōu)化資產(chǎn)負(fù)債業(yè)務(wù),擴(kuò)大非利息收入占比。對(duì)于中東地區(qū)商業(yè)銀行而言,需要在風(fēng)險(xiǎn)管理和戰(zhàn)略規(guī)劃上做更多努力。
[Abstract]:China's interest rate marketization reform has entered deep water area, and interest rate risk has become one of the main risks of Chinese commercial banks.From 2006 to 2014, seven listed banks in China and seven listed banks in the Middle East are taken as samples. Through data processing and analysis, the interest rate sensitivity gap and the rate of interest rate sensitivity gap in the interest rate sensitivity gap model are used.The four indicators of interest rate sensitivity and deviation are analyzed empirically and the empirical results are compared.The results show that China's commercial banks have mismatched assets and liabilities in the medium and long term, and the phenomenon of "short borrowing and long loan" is serious in large commercial banks.The level and flexibility of interest rate risk management of state-owned banks are generally weaker than those of joint-stock banks.In addition to the problems of Chinese commercial banks in the Middle East, the risk strategy is more radical, there is no reasonable strategic planning for interest rate risk management, lack of professional risk management personnel.The author thinks that in order to guard against interest rate risk, Chinese commercial banks should set up special asset-liability management committee on the one hand, to strengthen the ability of forecasting interest rate trend and the cultivation of qualified personnel, and further develop the interest rate risk measurement model.On the other hand, need to optimize assets and liabilities business, expand the proportion of non-interest income.For commercial banks in the Middle East, more needs to be done on risk management and strategic planning.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類(lèi)號(hào)】：F832.33

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 買(mǎi)建國(guó);持續(xù)期模型與商業(yè)銀行利率風(fēng)險(xiǎn)免疫管理[J];當(dāng)代財(cái)經(jīng);2005年10期

2 朱劍鋒;借鑒國(guó)際銀行經(jīng)驗(yàn) 構(gòu)建我國(guó)銀行業(yè)風(fēng)險(xiǎn)管理體系[J];國(guó)際金融研究;2004年04期

3 白銳鋒;孫恒;;我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)及防范[J];甘肅社會(huì)科學(xué);2009年04期

4 李春紅;董曉亮;;我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)管理的實(shí)證研究[J];華東經(jīng)濟(jì)管理;2012年04期

5 盧慶杰,唐國(guó)興;利率市場(chǎng)化與商業(yè)銀行利率風(fēng)險(xiǎn)管理[J];上海經(jīng)濟(jì)研究;2003年04期

6 劉湘云;呂杏;;商業(yè)銀行利率風(fēng)險(xiǎn)暴露——基于中國(guó)的銀行數(shù)據(jù)的實(shí)證分析[J];廣東金融學(xué)院學(xué)報(bào);2009年03期

7 張莉;杜學(xué)文;;我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)的敏感性分析[J];經(jīng)濟(jì)問(wèn)題;2010年07期

8 黃金老;利率市場(chǎng)化與商業(yè)銀行風(fēng)險(xiǎn)控制[J];經(jīng)濟(jì)研究;2001年01期

9 賀國(guó)生,栗紅宇;商業(yè)銀行利率風(fēng)險(xiǎn)度量的歷史演變及現(xiàn)實(shí)啟示[J];金融理論與實(shí)踐;2005年01期

10 趙同章;我國(guó)商業(yè)銀行利率風(fēng)險(xiǎn)管理探討[J];金融理論與實(shí)踐;2005年02期

，

本文編號(hào)：1750871