【作者】 陈勇；

【导师】 赵惠芳；

【作者基本信息】 合肥工业大学 ， 行政管理与电子政务， 2013， 硕士

【摘要】 20世纪70年代全球开始兴起以利率市场化为代表的金融自由化浪潮，世界多国实行利率市场化政策后发现：利率水平显著上升并且利率的波动性加剧，对商业银行的盈利能力和风险控制造成了巨大影响。这些现实问题引起了学术界的广泛讨论。在这样背景下，研究我国商业银行的利率风险暴露的程度以及如何加强对利率风险的管理，具有重要意义。本文在借鉴国内外研究成果的基础上，首先回顾了我国利率市场化改革的具体历程，通过吸收国外率先进行市场化改革国家（以美国、德国、日本和韩国为例）的经验教训，阐述了对我国改革的指导意义。随后在介绍利率市场化改革初期和完成后商业银行遭受风险的基础上，针对中国商业银行风险管理的实践，分析了各种度量利率风险的模型在国内银行业的实用性。实证部分以截至2012年6月30日我国已上市的16家商业银行作为研究样本，主要运用敏感性缺口分析法检验各银行的利率风险暴露程度，包括利率敏感性缺口趋势分析和现阶段节点分析两个方面，为建立现代利率风险管理体系提供参考。最后主要从加快金融产品创新和经营转型、完善金融产品定价机制、吸收先进的利率风险管理经验和加快利率风险管理人才的培养四个方面来对我国上市商业银行应对利率风险的提出对策建议。更多还原

【Abstract】 From1970s,it began to rise the wave of financial liberalization represented byinterest rate liberalization. After the implementation of interest rate liberalizationpolicy,many countries have found that: a significant increase in the level of interestrates and increased volatility of interest rates, had a massive impact on the profitabilityand risk control of commercial banks. These practical problems caused an extensivediscussion on academic community. In such a context, the study of China’s commercialbanks degree of interest rate risk exposure, and how to strengthen the management ofinterest rate risk is of great significance.On the basis of the research of chinese and abroad,it firstly review the specificinterest rate liberalization reform history of China,by absorbing experiences and lessonsof reformed countries (including United States, Germany, Japan and Korea), then explainthe significance of China’s reform. Subsequently introduce the risk of commercialbanks,against Chinese commercial bank risk management practices, the practicality ofvarious model to measure the interest rate risk in the domestic banking sector. Onempirical part, the paper use sensitivity gap analysis test bank’s interest rate risk exposurelevels, including trend analysis and the current node analysis. Finally, from four aspectsgive suggestions,including accelerate financial product innovation and businesstransformation,improve the financial products pricing mechanism, absorb advancedinterest rate risk management experience and speed up the interest rate risk managementtalents.更多还原