【作者】 赵丹；

【导师】 李燕燕；

【作者基本信息】 郑州大学 ， 金融学， 2013， 硕士

【摘要】 利率变动不仅影响到银行贷款和证券的收益,还会影响到存款和向其他金融机构借款的成本。不仅如此,利率的变动还会改变银行资产和负债的市值,进而改变银行的净资产,影响到股东的收益。1997年以来我国利率波动更为频繁,商业银行面临的利率风险也越来越大,这给专门从事资金业务的银行带来了巨大的冲击和挑战。商业银行要在竞争中取胜,很重要的方面取决于利率背后的资金成本和收益以及资产运营效益。我国在利率管理的课题上,无论是理论研究还是实践操作都还不完善。本文首先介绍了一般的利率风险管理理论,并在商业银行利率风险管理模型的基础上,研究我国商业银行利率风险管理现状,指出其不足和改进的方法。本文首先研究了利率波动对商业银行经营的风险；其次,介绍了目前国际商业银行成熟的利率风险度量模型；再次,以2009-2012年我国八家上市商业银行的财务数据为数据来源,运用利率敏感性缺口模型和VAR模型对相关的利率风险状况进行实证研究,并由此发现商业银行利率风险管理中存在的问题；最后,得出本文结论,并针对商业银行利率风险度量和防范提出对策建议。通过本文的分析可知,我国商业银行利率风险度量方法有限,要必要结合多种方式度量利率风险水平和研究商业银行利率风险管理状况。商业银行普遍存在资产和负债结构不匹配的问题,面临较大的利率风险。商业银行利率风险防范不够灵活,存在较大的短借长贷现象。面对这些问题,我们从商业银行内部和利率市场环境两个方面提出度量和防范利率风险的对策建议。一方面,商业银行需要提高利率风险防范能力,另一方面,政府要塑造良好的利率市场环境。更多还原

【Abstract】 The interest rate risk of commercial bank is one of the most important risks. The fluctuation of the interest rate not only affect the gains of the loans and securities,but also affect the deposits and the cost of borrowing money from other financial institutions. Interest rate changes will also change the market value of the assets and liabilities of the bank, then will change the bank’s net assets,and affect the returns to shareholders.Since our country relax the control of the interest rates in1997,the fluctuation of interest rate is more frequent,and the risk of interest rate is more and more bigger,which has brought huge impact and challenges to the banks. Capital cost and income and assets operation efficiency behind the interest rate are very important in the competition between banks. Theory reseach and practice is not enough in the management of the interest rate.In the commercial bank interest rate risk management model, this paper first introduces the general theory of interest rate risk management,do present situation research on our country commercial bank interest rate risk management present situation and points out its shortage and improvement methods. First, this paper studies the interest rates of commercial Banks operating risk;second Introduces measurement model of maturity of the international commercial bank interest rate risk;third with seven listed commercial Banks in China in2009-2012financial data for the data source, using the interest rate sensitivity gap model and VAR model,we do research on the situation of the interest rate risk, and thus find problems that exist in the commercial bank interest rate risk management;finally we get conclusion, and putforward suggestions for the improvement of interest rate risk management.Through the analysis of this paper, the commercial bank have problem that assets and liabilities structure does not match and commercial Banks face a greater risk of interest rate. Commercial bank interest rate risk prevention is not flexible, there is a big borrowing short and lending long. Facing these problems, we should take measures to guard against interest rate risk from two aspects of internal commercial Banks and the government. On the one hand, commercial Banks need to raise interest rates risk prevention ability, on the other hand, the government should build good market environment of interest rates.更多还原