【作者】 张丽萍；

【导师】 陈立文；

【作者基本信息】 河北工业大学 ， 技术经济及管理， 2005， 硕士

【摘要】 本论文的研究受到河北省教育厅人文社会科学研究计划项目“基于久期模型的商业银行利率风险管理研究”的资助(项目编号:S040416)。 随着市场经济的发展,金融成为了现代经济的核心,利率在市场中的作用日益加大,成为调节国民经济的重要杠杆之一。经过20多年的改革,我国的金融体系已经发生了重大的结构转变,作为我国第一大融资主体的商业银行,对整个社会经济活动影响显著。目前,我国的金融改革已进入关键时期,利率市场化已成必然趋势,利率风险逐步上升为商业银行的主要风险,加强对利率风险的分析与研究变得十分重要。 本论文在对目前利率风险管理现有模型进行深入分析的基础上,构建了商业银行利率风险完全免疫模型,为商业银行提供更为有效的利率风险管理工具。本论文的主要内容包括:1.商业银行利率风险管理理论概述。介绍了利率、利率风险的概念,以及商业银行利率风险管理的两大理论等;2.利率风险度量模型比较研究。对利率敏感性缺口模型和久期模型进行了比较分析,评述了其优势与不足;3.利率风险完全免疫模型的构建。在久期——凸度利率风险免疫模型的基础上进行了有效的改进,分别探讨了利率期限结构扁平条件下和随机变动过程中的完全免疫模型和原理,对其可操作性和在我国的适用性进行了深入分析;4.利率风险完全免疫模型的实证分析。选用某日上交所的20多个国债为样本做利率期限结构的实证拟合,结合商业银行资产负债表数据,分析了完全免疫模型的应用效果。 本论文研究的利率风险完全免疫模型,不是对传统免疫方法的简单否定,而是在传统免疫模型基础上,突破其局限性,提高了利率风险管理的实际效果。本论文的研究,为我国商业银行的利率风险管理提供了科学的依据及有价值的参考。更多还原

【Abstract】 This dissertation is supported by Humanities-Society Scientific Research Program of Hebei Province Education Department (Research on Interest Rate Risk Management of Commercial Bank Based on Duration. Grant No: S040412).With the development of market economy, Finance turns into the kernel of contemporary economy. The function of Interest Rate becomes important increasingly. Interest Rate is one of important lever that adjusts national economy. Through 20 years’ reformation, an important structural change has happened in the financial system of China. As the maximal financing main body, Commercial Bank has remarkable influence on social economic activity. At present, the innovation on finance has reached a pivotal period in China. The innovation on Interest Rate marketlized has become an inevitable trend. IRR will become primary risk in Commercial Bank. It will become extraordinary importance that we should strengthen the analysis and research on IRR.The dissertation constructs completely immune model against IRR for Commercial Bank, based on existing model. It will provide an effective tool for IRR management. This paper mainly includes: 1. The postulate of IRR management, it introduces the conception of IR and IRR, two theory of IRR management for Commercial Bank. 2. The compare of measurement model, this chapter analyses Interest Sensitive GAP model and Duration model. Moreover, the advantage and shortage are indicated. 3. Construct IRR completely immune model, this chapter improves on Duration-Convexity model, discusses the completely immune model and principle on the condition of flat and stochastic process’s Term Structure of Interest Rate, analyses the maneuverability and adaptability of this model. 4. The application analysis of the model, this part obtains TMIR curve by the national bonds have existed in Shanghai bourse, based of which this chapter analyses effect of completely immune model.Completely immune model in this dissertation is not a simple deny but an improvement to the traditional immune method. It enhances the practical effect of IRRM. The research in this paper will provide decision-making with scientific base and valuable reference.更多还原