【作者】 莫燕霞；

【导师】 黄泽民；

【作者基本信息】 华东师范大学 ， 金融学， 2005， 硕士

【摘要】 实现利率市场化,对于深化金融机构改革等方面具有重要意义。近年来,我国一直在确保金融稳定的前提下稳定推进利率市场化改革。然而利率市场化后,利率波动给商业银行带来的风险却是十分巨大的。但是长期以来,由于我国商业银行一直处于利率管制的环境中,利率风险表现不明显,因而利率风险管理没有得到重视。随着利率市场化进程的逐步加快,我国商业银行资产负债经营中面临的利率风险己逐渐凸现,直接影响商业银行的经营效益。商业银行为控制利率风险并维持其净利息收入的稳定增长,加强利率风险管理已经势在必行。商业银行利率风险管理在西方国家已经有二十多年的发展历史,利率风险管理理论和技术,在其利率市场化的实践中也日臻完善。我国商业银行应借鉴国外商业银行利率风险管理的技术方法和实践经验,加强对利率风险的分析、研究,完善利率风险管理。本文正是在利率市场化的新形势下对银行利率风险管理问题进行研究的。围绕利率市场化条件下商业银行利率风险管理这一主题,本文首先介绍了我国利率市场化改革的情况以及实施利率市场化将会给我国商业银行带来的两类利率风险;接着阐述了中国商业银行利率风险的成因及表现形式;继而对西方商业银行度量和管理利率风险的方法进行比较,介绍了利率敏感性缺口分析和持续期分析这两种衡量商业银行利率风险的方法以及各自的局限性;最后通过分析说明我国商业银行利率风险管理的现状,在认真研究了西方利率风险管理方法的基础上,对我国商业银行利率风险的管理对策进行探讨,提出在利率市场化条件下从两个方面完善我国商业银行利率风险管理: (1) 加强商业银行利率风险内部管理;(2) 完善金融法规,加强金融监管机构的宏观监控。更多还原

【Abstract】 It is significant to realize the marketization of interest rate. Recently our country is continuously performing the reform of interest rate marketizaion basing on insuring stabiization of finance. However after interest rate marketization the interest rate risk of commercial bank resulted by fluctutation of interest is greatness. For long time under the circumstance of controlled interest rate system the interest rate risk is not obvious, ommercial banks of our c country did not attach inportance to the management of interest rate risk. But as picking up of interest rate risk reform the interest rate risk on management of asset and liability bring to the commercial bank of our country is emerging and it will directly affect the profit of commercial banks. To controll interest rate risk and maintain their net interest income commercial banks should take action to perfect interest rate risk management.It has been twenties years for development of interest rate risk management in developed country and the theories and technology on it is perfecting. To perfect interest rate risk management commercial bank of our country should use for reference foreign country’ s technology and experience and strengthen analyse and reserch on interest rate risk .The thesis is concerning the subject of managing interest rate risk in commercial bank under the condition of interest rate marketization. First it introduces the status quo of our country’ s interest rate marketization reform and two types of interest rate risk resulting. Then it expatiate the cause of formation and identification of china commercial bank’ s interest rate risk. After that it compares methods in measuring and managing interest rate risks used by commercial banks of developed country and introduce two types of method and their limitation respectively in measuring interest rate risk, namely gap analysis and Duration Analysis. Finally basing on work condition of our country’ s commercial bank and analysis in method of interest rate risk management of developed country the thesis discuss the strategy of our country’ s commercial bank in interest rate risk management and put forward the assume of perfecting interest rate risk management system of ourcountry’ s commercial bank under the condition of interest rate marketization.更多还原