【作者】 刘文敏；

【导师】 刘紫云；

【作者基本信息】 江西财经大学 ， 金融学， 2004， 硕士

【摘要】 20世纪70年代初以来，以西方国家为代表的众多国家掀起了一股金融自由化的浪潮，利率市场化是这股浪潮的重要内容之一。这些国家延续多年的利率市场化变革，在提高金融市场资金配置效率的同时，也造就了多变的市场利率环境，给利率市场化的主要参与者—商业银行带来了很大的利率风险。为此，西方商业银行的理论和实务工作者进行了大量的研究，设计和使用了多种利率风险管理模型和金融工具，以避免银行的经营收益或市场价值遭受损失。现今，利率风险管理已成为西方商业银行日常经营管理的重要内容。 我国于1996年实质性启动了利率市场化改革，这是我国金融体制改革的一项重要举措。近年来，利率市场化改革正在稳步推进，在此进程中，商业银行有了更多的利率自主权，但是利率风险问题也开始在经营中显现。利率市场化进程在我国已是不可逆转，商业银行利率风险的日益加大亦是必然。因而，研究我国商业银行的利率风险管理问题，对提高我国商业银行的利率风险管理水平，进而提升整个商业银行业的经营效益，具有重要的理论意义和指导价值，本文的写作目的也在于此。 本文在研究中坚持规范分析与实证分析相结合，历史与逻辑相统一，力求论证层层推进。文章首先对利率风险及管理作了总的概述，接着，分析和探讨了国外商业银行主要利率风险管理方法的基本原理、实际运用及它们在运用中的局限性，随后重点研究了我国商业银行利率风险管理问题，包括分析我国商业银行的经营状况、存在的利率风险以及各类利率风险对商业银行的影响度，并指出现阶段我国商业银行实施利率风险管理的障碍。最后，文章在综合考虑商业银行内、外两方面因素的基础上，提出了推进我国商业银行利率风险管理的总体建议。 全文共分五个部分。导论部分首先介绍了本文的选题缘由，接着对国内外利率风险的研究状况进行了综述，最后对本文的研究方法和研究思路作了说明。 第二部分是商业银行利率风险管理概述，共分为3小节，这部分是后几部分研究内容的铺垫。第1节在分析相关概念的基础上，对利率风险概念作了界定，第2节阐述了利率风险的几种主要形式，第3节概括了商业银行利率风险管理的主要内容。 第三部分是国外商业银行利率风险管理及其借鉴，起着承前启后的作用。首先，第1节对国外商业银行利率风险管理的发展变化过程进行了分析。第2节对国外商业银行利率风险管理的四种主要方法，包括利率敏感性缺口法、持续期管理方法、动态模拟技术和VaR方法进行了分析，分别指出这些方法的运用原理、运用情形与使用中的局限性，并探讨了上述方法相继被使用的缘由，第3节较详细地分析了金融衍生产品在利率风险管理中的应用以及这些产品风险管理功能的比较，最后1节，就国外利率风险管理方法对我国商业银行的借鉴提出了几点看法。 第四部分是我国商业银行利率环境、利率风险与管理障碍分析。在前面几部分内容的基础上，本部分开始研究我国商业银行利率风险及管理的具体情况。在第1节，首先对我国商业银行所处的总体利率环境进行了分析，以认识我国商业银行经营业务中所涉及的种类繁多的利率，为进一步了解上述利率的特性，第2节简单回顾了我国利率市场化的进程，第3节中具体分析了我国商业银行遭遇过的或可能面临的利率风险种类和形式，最后，针对我国商业银行利率风险管理存在的障碍进行了分析。 第五部分是推进我国商业银行利率风险管理的总体建议。首先从改进商业银行利率风险管理的外部环境入手，提出要加强中央银行和银监会的管理与利率风险监管职能，然后，从商业银行内部自身建设出发，提出了推进利率风险管理的五方面措施，即健全商业银行法人治理结构和利率风险管理内部机制、完善和改进商业银行资产负债管理、大力进行商业银行中间业务创新、加快利率风险管理的数据系统建设和积极发展利率敏感性缺口管理技术。更多还原

【Abstract】 Since the early 1970s, many countries have been initiating a wave of financial liberalization, one of the important contents in this wave is the market-based interest rate reform. The reform continuing for many years in those countries improved the efficiency of fund allocation on financial market and made diverse interest rate circumstances, which also brought a lots of interest rate risk to the main reform participator- commercial banks. Considering the risk, the theorist and practitioner of western commercial banks have made plenty of research work and devised many risk managerial models as well as products in order to avoid the loss in earnings or economic value of commercial banks. Nowadays, the management of interest rate risk of western commercial banks is the important task in daily managements .In 1996, China essentially initiated the market-based interest rate reform, which is an important procedure in China’s financial system reform. In recent years, the market-based interest rate reform has been steadily advancing. During this process, China’s commercial banks have more self- determination rights of interest rate, whereas the matter of interest rate risk emerged from bank business. Unable to be turned back for the process of market-based interest rate reform in our country, it is certain that the interest rate risk of China’s commercial banks will be deepen gradually. Therefore, researching on the issue of interest rate risk management of China’s commercial banks has importantly academic significance and instructive value in respect of heightening the earnings and managerial level of our country’s commercial banks, which is also the purpose of writing this paper.This paper combines empirical analysis with normative analysis ,using historical and logic methods, and gradually deepens its contents during the process of discussion. Firstly, the article outlines the interest rate risk management and discusses the principles, cases and limitations of those main methods used by western commercial banks to manage interest rate risk. Subsequently, this paper makes researches into the operating situation, interest rate risk of China’s commercial banks as well as its impacting extent to banks, and points out the obstacles to interest rate risk management for China’s commercial banks at present. At the end of this paper, general proposals for advancing the management of interest rate risk are put forward from the angle of improving internal and external factors of China’s commercial banks.This paper consists of five parts. In the part of introduction, the reasons for3selecting this topic are presented, the following is summarization of related literature home and abroad, and methods of the study and track of thought are introduced at the end of introduction.The second part consisting of three sections is the outline of interest rate risk management. This part makes provision for the following parts. Section one defines the concept of interest rate risk on the basis of analyzing related concepts, Section two describe primary forms of interest rate risk. In section three, the contents of interest rate risk management is analyzed.The third part analyzes the methods of interest rate risk management used by commercial banks abroad and its enlightenment on China’s commercial banks. In the first section, the development trail of interest rate risk management about western commercial banks is analyzed. In section two, four typical methods that had been using to manage interest rate risk, such as the technique of rate-sensitive gap management, the method of Duration management, dynamic simulation approach and the method of Value-at-Risk are respectively introduced and analyzed, including their principles, applied situations and limitations. Moreover, the reason why these methods had been using in succession is discussed. Section three introduces in detail the applications of financial derivative instruments and also makes comparison in function between them. The final section discusses some enlightenments to Chi更多还原