【作者】 王玲；

【导师】 邓春玲；

【作者基本信息】 东北财经大学 ， 西方经济学， 2016， 硕士

【摘要】 2015随着利率市场化改革步伐加速,利率的调整频率增加,浮动范围放宽,利率风险逐渐显现,并取代信用风险开始成为商业银行的主要风险。商业银行作为金融市场的微观主体,更是将直接面临利率市场化的挑战—利差收窄,利率风险加大。虽然近些年来各商业银行的中间业务比重均有所增加,但各大银行仍在很大程度上依赖于利息收入。同时,银行自身在资产负债管理上存在着以“短存长贷”为主要问题的资产负债期限不匹配问题,2012-2015年,随着基准利率的不断降低,存贷款利率浮动范围也达到了前所未有的力度,随着存款利率浮动区间上限的上升和贷款利率浮动区间下限的下调,存贷利差进一步缩小。2008年金融危机以来央行对基准利率的调整次数、频率的增加也加剧了商行的利率风险。央行利率政策的多变性,不稳定性和银行自身资产负债的匹配问题严重加剧了商业银行的利率风险。内外部因素的相互作用会商行的净利息收入产生极大的影响,利率风险管理应受到商业银行更多的重视。利率市场化不可避免的对基准利率产生了影响,作为资金的价格一利率其频繁波动会对银行净利息收入产生巨大的影响。本文前三章阐述了我国利率市场化的基本理论,回顾了我国利率市场化改革过程,比较了国外利率市场化改革及利率风险的控制方法,提出了对我国利率市场化及利率风险控制的宝贵经验。第四章进行了利率市场化下商业银行的利率风险实证分析,第一部分运用利率敏感性缺口模型分析了招商银行面临的重新定价风险。第二部分分析了基差风险对招商银行的净利息收益率影响。最后结合招商银行实际情况提出了我国银行应对利率市场化及管理利率风险的建议。本文的创新之处在于利率风险的实证分析。运用利率敏感性缺口模型具体分析了招商银行的利率风险,并以净利息收益率为考察点,分析了利率市场化以来银行营业利润结构的变化：利息收入比重下降,中间业务比重上升。这对我国商业银行规避利率风险,进行金融创新提出了新的思考点。更多还原

【Abstract】 As the pace of the interest rate liberalization reform gradually accelerates, the interest rate will face greater variability and uncertainty. Interest rate risk has become the main risks of commercial banks by gradually replacing the credit risk. As the microscopic main body of financial markets, commercial banks will directly face the challenge of interest rate marketization—the spreads narrows, and the interest risks increase.Although the proportion of the off-balance-sheet income has increased among the commercial bank, but the interest income is still the main source of income. In assets and liabilities management, the "remaining short and lending long" has been the main problem among the commercial banks which means the period of validity of assets and liabilities doesn’t match. From 2012 to 2015, as the benchmark interest rate decrease, deposit and lending interest rate floating range has reached unprecedented strength.The adjustment of deposit interest rate floating range has been 1.3 times of the benchmark interest rate. While the adjustment of loan interest rate floating range has been 0.7 times of the benchmark interest rate, the spreads of the interest rate further narrowed. The increase of the adjustment frequency of central bank’s benchmark interest rate also contributed to the interest rate risk of the commercial banks.The instability of the central bank interest rate policy and the bank’s own assets and liabilities matching problem aggravated the interest rate risk of commercial banks.The interaction of internal and external factors has great impact on net interest income of the commercial banks, we should pay more attention to the management of the interest rate risk.The interest rate liberalization has a direct influence on the benchmark interest rate.As the price of the money, the changes of the interest rate have huge impacts on the bank’s net income. Under the condition of the marketization of interest rate, in order to explore the interest rate risk management issues of commercial banks, in my paper, First three chapters expounds the basic theory of interest rate marketization in our country, reviews the market-oriented interest rate reform process in our country, compares interest rate marketization reform and interest rate risk control methods of the foreign countries, puts forward the precious experience of interest rate risk control.The fourth chapter makes empirical analysis of the interest rate risk under the marketization of interest rate.The first part uses the interest rate sensitivity gap (ISG) model to analyze the repricing risk of China Merchants Bank.The second part analyzes the influences of the basic risk on the net interest margin of China merchants bank. Finally, in combination with the practical situation of China merchants bank, suggestions have been proposed to tackle the market-oriented interest rate reform and manage the risk of the interest rate.The innovation of this article is the empirical analysis of the interest rate risk. The interest rate sensitive gap model was used to analyze the interest rate risk of China merchants bank. We analyzed the changes of the operating profit structure: Interest income decreases, while the proportion of intermediary business increases.,which puts forward a novel thinking for financial innovation to avoid the risk of the interest rate for the commercial bank in our country.更多还原