【作者】 欧阳欣；

【导师】 杨荣；

【作者基本信息】 江西财经大学 ， 金融， 2022， 硕士

【摘要】 利率市场化推动经济建设是有目共睹的,但是银行利率风险也在增加,尤其是股份制银行。目前的研究大多集中于利率市场化对我国银行业这一宏观层面利率风险的影响。本文以微观研究为主,从LPR改革着手,探讨这一改革对招商银行利率风险的影响,以及如何应对LPR改革所产生的利率风险,为股份制银行的风险管理提供参考。本文将招商银行作为研究对象,宏观上定性和微观上定量两种方法相结合,对其进行案例分析,提出对策建议。首先,概括股份制银行利率风险的特点,发现利率风险与信用风险是相互影响的,并且政策变动对其影响也比较大。紧接着,本文分析了LPR改革为股份制银行带来的影响,有利有弊,在营造良好的外部营商环境的同时也对传统业务造成了冲击,信贷结构的调整也面临着压力。本文的主体部分,是以招商银行为例,分析LPR改革对该行的影响。招商银行不仅作为LPR的报价行,推进利率市场化的进行,而且在股份制银行中极具代表性和参考价值。而后,从利息业务、非利息业务等方面入手,通过对招商银行利率风险管理现状的分析,归纳该行面临的利率风险。造成招商银行利率风险的外部原因主要是受到利率市场化政策频繁调整的影响,内部原因是资产负债的期限结构不合理,内外因素共同作用。从定量分析的角度,计算出招商银行利率敏感性缺口,发现近年来该行的利率敏感性一直保持正缺口,结合LPR导致的利率下行,利率风险增大。分析招商银行利率风险管理的现状,发现其主要存在的问题有资产管理能力不足、FTP机制不健全以及中间业务发展不稳定。在分析出招商银行存在的问题后,结合利率风险管理相关理论知识和招商银行自身不足,提出适合其利率风险管理的优化建议。同时给其他股份制银行提高利率风险管理能力提供参考,这样可以创造更好的金融环境,并且提高我国股份制银行的自身实力和竞争能力,从而全面提高我国银行业的利率风险管理水平。招商银行应该加强资产负债管理、完善内部管理体系、发展金融创新业务以及健全利率风险管理系统,做到全方位应对利率风险的发生。本文最后总结LPR机制的改革对我国股份制银行利率风险管理的影响,并对我国银行业未来的发展寄予期望,希望在LPR改革后,各银行能制定利率风险应对措施,降低银行业风险,促使银行业稳健发展。更多还原

【Abstract】 It is obvious to all that interest rate liberalization promotes economic construction,but the interest rate risk of banks is also increasing,especially for joint-stock banks.Most of the present research concentrate on the impact of interest rate liberalization on interest rate risk at the macro level of the country’s banking industry.This thesis focuses on microscopic research,starting from the LPR reform,to discuss the impact of this reform on the interest rate risk of China Merchants Bank,and how to tackle with the interest rate risk produced by the LPR reform,so as to provide a reference for the risk management of joint-stock banks.This thesis takes China Merchants Bank as the research object,combines two methods of macro qualitative and micro quantitative,carries out case analysis and puts forward countermeasures and suggestions.First,generalizes the features of interest rate risk of commercial banks in the country,and finds that interest rate risk and credit risk are mutually influenced,and policy changes have a relatively large impact on it.Then,this thesis analyzes the impact of the LPR reform on commercial banks.There are advantages and disadvantages.While creating a good external business environment,it also has an impact on traditional businesses,and the change of credit framework is also under pressure.The major part of this thesis takes China Merchants Bank as an instance to analyze the effect of LPR reform on the bank.China Merchants Bank not only acts as an LPR quotation bank to promote the marketization of interest rates,but also has great representativeness and reference value among commercial banks.Then,through the explain of the present situation of interest rate risk management of China Merchants Bank from both interest business and non-interest business,it can be seen that China Merchants Bank is currently facing four types of interest rate risks.The external cause of China Merchants Bank’s interest rate risk is mainly due to the frequent adjustment of interest rate market-oriented policies,and the inside reason is the unreasonable term framework of assets and debts and the combined effect of inside and outside factors.From the point of quantitative research,the interest rate sensitivity breach of China Merchants Bank is calculated,and it is discovered that the bank’s interest rate sensitivity has maintained a positive gap in recent years.Combined with the interest rate decline caused by LPR,the interest rate risk increases.Analyzing the present situation of China Merchants Bank,it is found that its main problems are insufficient asset management capability,imperfect FTP mechanism and unstable development of intermediary business.After analyzing the existing problems of China Merchants Bank,combined with the relevant theory of interest rate risk management and China Merchants Bank’s own shortcomings,it proposes optimization suggestions suitable for its interest rate risk management.Meanwhile,it supplies a reference for other joint-stock banks to improve their interest rate risk management capabilities,which can supply a better financial circumstance,and enhance the own strong points and competitiveness of joint-stock banks,and thus to comprehensively enhance the level of interest rate risk management.China Merchants Bank should strengthen asset and liability management,improve internal management system,develop financial innovation business and ameliorate interest rate risk management system,to deal with the occurrence of interest rate risk in an all-round way.Finally,this thesis summarizes the influence of the reform of the LPR mechanism on my country’s joint-stock banks,then places expectations on the future development of my country’s banking industry.It is hoped that after the LPR reform,banks will formulate measures to increase interest rate risk and reduce banking industry risks,and the banking industry developed steadily.更多还原