商业银行市值分析与利率风险管理研究

【作者】 彭洁；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2002， 硕士

【摘要】 根据1997年9月巴塞尔银行监管委员会颁布的《利率风险管理原则》，利率风险是指银行的财务状况在利率出现不利波动时所面临的风险。由于银行的大部分金融工具都是以利率作为定价手段的，因此当利率发生变动时，银行的表内和表外头寸将面临着遭受损失的风险。论文从利率风险管理的角度出发，提出利用市值分析对银行金融工具中所隐藏的利率风险加以鉴别和测量，并通过一定的技术工具将风险控制在银行可承受的范围之内，从而确保银行在波动的市场环境中获得稳定的收入。论文的第一章对利率风险的涵义、种类及产生原因进行了一般理论分析，介绍了利率风险管理的产生与发展的历史，并且提出了市值分析的利率风险管理方法以及其对于利率风险管理的意义。论文在第二章中介绍了市值分析中所用的工具(如持续期、凸度等)，并通过实证分析阐述了这些工具的利用过程。同时，论文针对银行金融创新工具中隐含期权问题，将隐含期权纳入市值分析，增强了市值分析的实用性。论文第三章在分析我国商业银行所面临的利率风险的特点和我国商业银行利率风险管理现状的基础上，探讨了在利率波动和利率市场化的趋势下，我国商业银行所承受的利率风险，由此提出我国商业银行进行市值分析的紧迫性。论文的第四章则结合我国实际，分析了利用市值分析进行利率风险管理的现实障碍，并由此提出了如何有效利用市值分析的建议。更多还原

【Abstract】 According to Principles for the management of Intense Rate Risk, which was enacted by Basel Committee on banking supervision, interest rate risk is what financial condition of bank will confront when interest rate fluctuates unfriendly to the bank. As most of financial instruments in bank are priced by means of interest, so when interest rate changes, the on balance and off balance of bank will confront the risk of receiving loss. In the angle of interest rate risk management, the thesis advanced that the interest rate risk embedded in the financial instruments can be identificated and measured by market value analysis, and the risk can be controlled in sufferable extent of bank by some technology instruments, which will assure the bank will get stable income in the fluctuated market environment.In the first chapter, general theoretical analysis is made about the meaning, the sorts and resulting causes of interest rate risk .The chapter introduces the history of the appearance and development of interest rate risk management, and puts how significant the market value analysis is in the interest rate risk management.In the second chapter, the instruments (for example, duration, convexity ect.) and how to apply these instruments in market value analysis were formulated through examples. At the same time, with the embedded options in the innovative financial instruments, the chapter added the embedded options into market value analysis, which will enhance the practicability of market value analysis.The third chapter analyses the characteristics of interest rate risk in China and the actualities of interest rate risk management in Chinese commercial banks. In addition, the chapter probes into the unfriendly influence resulting from frequent fluctuation of interest rate and the tendency of interest rate , on the basis of which the chapter puts the imminence of market value analysis.Considering practical situation in China, the last chapter analyses the current difficulties of application of market value analysis in interest rate risk management in China, and puts forward how to strengthen bank interest rate risk management by application of market value analysis in aspects of improvement of the behaviors of commercial banks and supervisory authorities in China.更多还原