【作者】 杨沁；

【导师】 殷仲民；

【作者基本信息】 西安理工大学 ， 企业管理， 2002， 硕士

【摘要】 以“货币管理当局放松和消除利率管制，由市场资金供求自主决定利率水平”为特征的利率市场化改革是我国当前金融改革中探讨的焦点议题，也是推动金融体制改革的力措之一。这一改革举措将价格竞争机制全方位引入金融业，以期推动金融深化，提高金融配置资源的效率，促进经济发展。金融自由化理论和国外改革的实践均验证了利率市场化改革的有效性。但同时，利率市场化改革也蕴藏着巨大的金融风险，尤其是利率管理和利率决定机制的变革，对专门从事资金借贷业务的商业银行带来巨大的冲击和挑战。商业银行要在激烈的价格竞争中获胜，取决于利率背后的资金成本、管理成本，取决于银行对现代利率定价和利率风险管理技术的掌握和运用。我国长期的利率管制，使商业银行的利率管理无论是在理论知识还是在经验积累上，都处于较低的水平，绝大多数银行没有建立起有效的利率定价机制、风险防范与管理机制、利率预测评估体系。按照世界各国的经验，强化和提高商业银行的风险管理水平，成为利率市场化进程中我国商业银行所面临的最大课题。 本文在分析我国利率市场化改革的必要性和利率市场化改革带来的关联影响的基础上，对我国商业银行利率风险的管理，按一般风险管理理论的“风险识别、风险衡量、风险控制”三个层面进行了重点研究。 西安理工大学硕士学位论文首先，结合利率市场化改革的进程将商业银行面临的利率风险分成阶段性风险和恒久性风险两种类型。阶段性风险产生于改革转轨时期，具有阶段性和系统性的特点：恒久性风险存在于商业银行市场化利率经营的始终，是利率风险管理的重点。其次，借鉴西方成熟的利率管理技术和理论，提出了我国商业银行利率风险测度的主要方法和风险管理策略。指出：（1）客观环境决定了缺日管理为我国商业银行当前主要的利率风险管理技术；（2）我国商业银行应建立内部控制来管理利率风险，包括：专门的风险管理组织机构；明确的利率风险管理机制：建立利率的预测和衡量、控制系统。最后，以西安市工商银行为例，进行了实证研究，提出了适合该行特点并具有较强操作性的管理策略。指出：（l）西安市工行将主要面临缺口风险、基差风险和贷款选择权风险。门）从基础工作、利用利率缺口管理模型、积极发展中间业务等方而进行利率风险管理。更多还原

【Abstract】 It has been the focus of financial reforms in our nation that determining interest rate by market which are characterized by determining the interest rate through the demanding and supplying of the fund freely in the condition that the monetary authority has released or canceled the restriction with interest rate . This reform brings the price-competition mechanism to finance with the anticipation of deepen financial, enhancing the efficiency of marshaling financial resources and pushing economy forward. The theory and practice of financial deregulation verify the validity of interest rate marketing. Meanwhile there may have great financial risk in carrying out this reform especially to the commercial banks, whose major business are borrowing and lending currency, to which it may mean huge challenge and concussion in the condition of changing operation and determination interest rate mechanism. It depends on the financial cost ,managerial cost and the mastering and using of managerial bank’s interest rate pricing as well as interest risk management technique for it to win the fury pricing competition. For the long period of interest rate restriction in our nation, the management of interest rate to the commercial bank are at a disadvantage position not only in theory but also in accumulation of experience which lead to the lack of effective interest rate pricing mechanism, anti-risk management mechanism and interest rate anticipation evaluation system. According to the experience abroad, strengthening and enhancing the management of interest rate risk to commercial banks has been the major taskto the commercial bank of our nation in the process of interest rate marketing.This thesis focus its study in the three lays of risk distinguishing, risk measuring and risk control according to general risk management theory. Above analysis are foundered on the necessary consideration of interest rate marketing and the correlative influence derived from the reform of interest rate pricing. Firstly, it classifies the interest rate risk in commercial banks into periodic risk and unvarying risk based on the reform process of interest rate marketing. The periodic risk derived from the reform period and have the characteristic of periodic as well as systemic; unvarying risk is the key point of interest risk management and exists in the general process of commercial bank’ interest rate operation. Secondly, it submits the major method of interest rate measurement and management strategy for the commercial bank in our nation using the western mature interest rate management technique and theory for reference. It presents: (1) Gap management is the major interest rate risk management technique for the commercial banks in our nation for the reason of impersonality environment; (2) The commercial banks in our nation should set up internal control for the management of interest rate risk including professional agent for interest rate risk management, specific interest rate risk management mechanism, establishing interest rate measuring, forecasting and control system. Lastly, it carries out demonstration research with the background of Xi’an Industrial and Commercial Bank and presents much operational managerial policy. It presents: (1) The main risk the Xi’an Industrial and Commercial Bank confront are maturity-mismatch risk, basis risk and embedded option risk; (2) To carry out interest rate risk management through fundamental work, using interest-rate gap managerial model and developing midterm business.更多还原