【作者】 黄兰迪；

【导师】 黄绥彪；

【作者基本信息】 广西大学 ， 金融学， 2007， 硕士

【摘要】 利率风险是商业银行面临的主要市场风险之一，利率风险管理在商业银行经营管理中占有十分重要的地位。我国商业银行在利率市场化进程中面临日益严重的利率风险，必须着力加强利率风险管理。商业银行进行利率风险管理的具体方法主要有两大类：一类是传统的表内管理方法，即资产负债管理；另一类是表外管理方法，即通过利率衍生工具管理利率风险。传统的资产负债管理法无法满足利率市场化下商业银行利率风险管理的需要。虽然利率衍生工具能够有效地化解商业银行利率风险，但由于我国金融衍生产品市场还处于刚刚起步阶段，目前商业银行还无法大量借助衍生工具规避利率风险。但随着我国利率市场化进程的加快和金融市场的发展，金融衍生工具将成为商业银行规避利率风险的重要手段。本文从金融衍生产品的风险管理功能出发，分析了在利率市场化条件下我国商业银行运用金融衍生产品管理利率风险的必要性，探讨了基本利率衍生工具在商业银行利率风险管理中的运用，并根据我国商业银行运用金融衍生产品管理利率风险的现状及阻碍因素，从微观和宏观两个层面分别提出强化我国商业银行运用金融衍生产品管理利率风险的对策。更多还原

【Abstract】 Interest rate risk is one of the major market risk of the commercial banks, interest rate risk management plays an very important part in the management of commercial banks. In the marketization of interest rate, China’s commercial banks is facing increasingly serious interest rate risk, we must focus on strengthening the management of interest rate risk.The methods of Commercial bank management of interest rate risk are divided into two major categories: one category is the traditional list management methods, that is, asset-liability management; the other category is sheet management, that is, through interest rate derivatives to manage interest rate risk .Traditional asset-liability management methods could not satisfy the interest rate risk management of Commercial bank under the marketization of interest rate. Although the interest rate derivatives can resolve Commercial bank’s interest rate risk effectively, however, as China’s financial derivatives market is still at a nascent stage started, Commercial banks are unable to use a large number of interest rate derivatives to avoid interest rate risk. But as the acceleration of China’s marketization of interest rate and the development of the financial market, financial derivatives will become an important tool of the commercial banks to avoid interest rate risk.This paper starts off the risk management function of the financial derivative products, analysis of the need of China’s commercial banks using financial derivative products to manage interest rate risk under the marketization of interest rate, exploring the applications of the basic interest rate derivatives in commercial bank’s interest rate risk management, according to the status and the main impediments complication of the China’s commercial banks use of financial derivatives for interest rate risk management, from the micro and macro point of view , are raised to measures to strengthening our commercial banks using of financial derivative products in the interest rate risk management.更多还原