【作者】 马蒙蒙；

【导师】 王元月；

【作者基本信息】 中国海洋大学 ， 金融学， 2003， 硕士

【摘要】 80年代以来，受经济一体化和金融自由化、金融创新与技术进步等因素的影响，全球金融市场发生了基础性和结构性的变化，规模迅猛扩大、效率显著提高。与此同时，金融市场的波动性和系统风险也大为加剧，在诸多类型的金融风险中，利率风险成为最重要的风险之一。各国商业银行纷纷设立了利率风险管理机构，研发先进的管理技术和方法，以实现对利率风险的规避和自身效益的提高。其间，诸多卓有成效，并被广泛应用的方法不断涌现，缺口管理、持续期管理等现在仍是利率风险管理的主流技术。我国由于长期实行利率管制，商业银行普遍缺乏利率风险意识，利率风险管理的技术和方法大大落后于世界先进水平，在实现利率市场化后，银行业必将遇到巨大的挑战。介绍当今世界银行业先进的利率风险管理技术和方法，并使用它们对我国银行的利率风险进行分析和研究，发现问题、找出对策，是本文写作的主要目的。 本文共分为四个部分。第1部分介绍了商业银行利率风险管理的概念、过程，及其演进历史，同时对利率风险进行了分类，总结了商业银行利率风险管理的原则；文章的第2部分将现有的利率风险管理技术进行了归类，以利率风险表内管理技术，表外管理技术和综合管理技术为主线，分别介绍了早期的差额管理，搭配记账管理，以及现在十分流行的缺口管理和持久期管理，同时对远期利率，利率期货等表外技术，及证券化等综合管理技术作了简单的介绍。第3部分是实证研究部分，结合我国商业银行的资产负债状况，本文尝试使用缺口技术和持续期技术分析其利率风险状况，结果也证实了我国商业银行利率风险管理落后的结论。针对这种情况，借鉴国外先进经验，本文在第4部分中提出了加强我国商业银行利率风险管理的对策和建议。本文的重点和核心内容是第2部分和第3部分。更多还原

【Abstract】 Since 1980’ s, because of the proximity of global economy, liberty of finance, financial innovation and technical progress, the financial market in the world has changed fundamentally and structurally, with its scale expanding and its efficiency enhancing. At the same time, the Volatility and systematic risk become more notable, in which the interest rate risk is the main kind. The commercial banks in many countries set up different institutes of IRR management researching and developing the techniques and methods, in order to avoid the risks and increase the benefits. In the while, lots of efficient and popular methods are coming forth, such as Gap Model and Duration Model being the primary even now. However in China interest rate is restricted, most of commercial banks lack the consciousness of IRR management, and the techniques and methods are behind the world. After the marketability of interest rate, they will meet big challenges. So the aim of this thesis is to introduce advanced techniques and methods of IRR, then to use them analyzing our commercial banks, finally to find the problems and solutions.This paper consists of four sections. The first section is the base of the whole thesis, including the conception of IRR management, its procedure, and history. What’ s more, it classifies IRR and sum principles of its management; the three kind techniques of IRR management are the thread of the second section. It expounds different kinds of techniques, such as Gap Model, Duration Model,FRAs, Future and Option; with the Gap Model and Duration Model, the third section use the balance sheet of our commercial banks to reveal the IRR conditions of them; on the basis of experiences of leading banks in the world, the paper puts forward several suggestions in the last section.更多还原