【作者】 李亮；

【导师】 赵何敏；

【作者基本信息】 武汉大学 ， 金融学， 2004， 硕士

【摘要】 利率自由化理论在一定程度上促进了发展中国家的经济发展，但是在此过程中发展中国家的经济和金融也出现了一些不稳定甚至是危险的现象，尤其是对商业银行而言，利率风险的急剧增加加大了商业银行亏损或倒闭的可能性，而利率自由化理论对此既不能做出合理的解释也提不出有效的解决方法。针对利率自由化理论的缺陷，发展中国家在进行利率自由化的同时必须用资产负债管理理论主要是利率风险管理理论来加强对商业银行的管理，只有将两种理论综合起来运用，才能使一国经济健康地发展。通过相关案例的比较分析，发现发展中国家的商业银行在利率自由化过程中遭受了较大的利差损失，而发达国家的商业银行在利率自由化过程中则表现得较好，这主要是由于发达国家商业银行通过适当的利率风险管理技术和管理工具减小了其承担的利率风险，说明了利率风险管理对于商业银行的重要性。对我国商业银行的研究表明，目前我国商业银行存在较大的利率风险，必须尽快加强和完善我国商业银行的利率风险管理。 商业银行利率风险管理的技术主要有利率敏感性缺口管理、持续期缺口管理和凸度缺口管理等，其中，利率敏感性缺口管理属于当前收益法，强调的是利率波动对利息收入的影响，是一种短期利率风险管理方法；而持续期缺口管理和凸度缺口管理则属于市场价值法，强调的是利率波动的风险对商业银行市场价值或股东权益的影响，是一种长期的利率风险管理方法。商业银行应该同时使用这两种技术方法对利率风险进行管理。有时由于通过直接调整表内资产负债项目管理利率风险是很困难的，这时就必须借助表外的利率风险管理工具来管理利率风险，主要的利率风险管理工具有远期利率协议、利率期货、利率互换、利率期权以及抵押贷款证券等。我国商业银行利率风险管理技术应该使用利率敏感性缺口管理方法和持续期缺口管理方法，实证研究表明这两种技术方法都可以对我国商业银行利率风险进行有效的管理。我国还应积极研究国债期货和住房抵押贷款证券这两种利率风险管理工具在我国商业银行利率风险管理中的运用可能性。 VaR模型作为商业银行利率风险管理的最先进的技术方法，可以有效度量商业银行基于利率风险的资本要求，从而成为商业银行利率风险管理的最后一道防线。我国商业银行目前可以尝试对交易账簿的利率风险用VaR模型来管理，以后逐渐过渡到用VaR模型对银行账簿的利率风险进行管理。 全文内容共分为四章。第一章首先对利率自由化理论及其缺陷进行了分析，指出必须用利率风险管理理论对其进行补充，然后对商业银行在利率自由化过程中的利率风险表现进行了分析，指出有效的利率风险管理可以显著降低所承担的利率风险，我国商业银行必须加强利率风险管理。第二章则对商业银行利率风险管理的理论进行了分析，具体是从利率风险管理的历史发展、理论基础、主要内容以及管理对象这四个方面展开分析的。第三章对我国商业银行利率风险管理现状以及利率风险管理技术和工具进行了分析，通过实证研究说明利率敏感性缺口管理以及持续期缺口管理可以对我国商业银行利率风险进行有效管理，同时对国债期货和住房抵押贷款证券在我国商业银行的运用进行了分析。第四章则对利率风险管理的最先进的方法VaR模型进行了研究，指出可以在我国尝试用该模型对交易账簿进行利率风险的管理。 本文写作的新意在于以下几点:(1)把商业银行利率风险管理理论与利率自由化理论相结合，从商业银行利率风险管理理论是利率自由化理论的必要补充和完善这个角度对商业银行的利率风险及管理进行了分析。(2)用实证研究的方法对我国商业银行利率风险管理技术进行了研究，同时对利率风险管理工具在我国商业银行的应用也进行了分析。(3)对商业银行利率风险管理的最新技术即VaR模型及其在我国商业银行中的应用进行了研究。更多还原

【Abstract】 The theory of interest rate liberalization accelerates the economies of developing nations to a certain extent, but instability and risk of economy and finance also emerge during the process. Especially for commercial bank, the rapid increase of interest rate risk enhances the possibility of losing and bankruptcy. But the theory of interest rate liberalization can’t explain these phenomena and resolve these problems, so developing nations must employ the theory of asset and liability management especially the theory of interest rate risk management to offset the shortcoming of interest rate liberalization. Through analyzing cases, we can find that the commercial banks in developing nations suffered from a lot of losing in earnings during the process of interest rate liberalization, but the commercial banks in developed countries exhibited great power of risk-resistance, which could be owed to interest rate risk management that they have employed. In our country, commercial banks are also faced with interest rate risk, so we should make use of effective technologies and instruments to manage the interest rate risk in banking.The interest rate risk management technologies in commercial bank include interest rate sensitivity gap management duration gap management convexity gap management and so on. The interest rate sensitivity gap management belongs to the current earnings approach, which emphasize interest rate risk having an effect on earnings from interest, so it is a short-term interest rate risk management approach. The duration gap management and the convexity gap management all belong to the market value approach, which emphasize that interest rate risk have an effect on market value of commercial bank, so they are long-term interest rate risk management technologies. Commercial bank should employ the two approaches at the same time to management short-term and long-term interest rate risk. Sometimes it is difficult to directly adjust balance sheet for interest rate risk management, so commercial bankmust employ some instruments which is beyond the balance sheet to hedge interestrate risk in balance sheet. These instruments include forward-rate agreement interest rate futures interest rate swap interest rate option mortagages-backed securities and so on. The demonstration in this thesis indicates that our commercial banks could employ interest rate sensitivity gap and duration gap to manage interest rate risk in balance sheet. And our commercial banks also should study the possibility of employing interest rate futures and mortagages-backed securities to hedge interest rate risk in balance sheet.The VaR model is the advanced approach up to the minute to manage interest rate risk in commercial bank, which could measure and manage the capital at interest rate risk, so it is the last line of defence for interest rate risk. Firstly, our commercial bank should try to employ VaR to measure and manage the interest rate risk in the trade account, and then gradually to manage the interest rate risk in the banking account.The article includes four chapters.The first chapter firstly analyses the theory of interest rate liberalization and the limitation of this theory, indicates that the theory of interest rate risk management is the indispensable complementarity for the theory of interest rate liberalization. Secondly the first chapter analyses the interest rate risk in commercial bank during interest rate liberalization, and indicates that effective interest rate risk management could decrease the interest rate risk exposures, so our commercial banks should employ technologies and instruments to manage interest rate risk.The second chapter is a theoretical analysis for the management of interest rate risk in commercial bank, including the history of interest rate risk managements the basic theory of interest rate risk management the contents of interest rate risk management and the objects of interest rate risk management.The third chapter includes a demonstration about interest rate risk management in o更多还原