利率市场化背景下我国商业银行利率风险管理研究

摘要根据麦金农和肖的“金融抑制论”和“金融深化论”，利率管制导致了低效率的资金配置和使用，不利于经济金融的发展。由此，他们提倡放开利率管制，让利率由市场决定。1992年，我国开始涉足利率市场化。不过，由于我国长期实行的是利率管制政策，利率的制定由中央银行决策，商业银行没有制定利率的决定权，缺乏管理利率风险的经验。而当利率完全放开交由市场决定后，利率的波动幅度势必会增大且频繁。如果不对此加以防范，将给商业银行带来巨大损失。21788
因此，本文立足于我国实际情况，通过对利率风险的论述，结合西方商业银行利率风险的度量和管理方法，对我国利率放开后商业银行如何进行利率风险管理提出了意见和建议，具有重要的现实意义。
关键词利率市场化商业银行利率风险
毕业论文外文摘要
Title   Interest Rate Risk Management of Commercial Banks of China in Interest rate marketization background
Abstract
According to McKinnon and Shaw's "financial repression theory" and "financial deepening" theory, interest rate controls led to inefficient capital allocation and use, and is not conducive to economic and financial development. Thus, they advocate liberalization of interest rate controls, allowing interest rates to be determined by the market. In 1992, China began to get involved in the interest rate market. However, due to our long-term interest rate control policy is implemented, the interest rate set by the central bank decision-making, commercial banks do not develop the interest rate decision, the lack of experience in managing interest rate risk. And when fully liberalized by the market to determine interest rates, volatility in interest rates is bound to increase and frequent. If you do not guard against this, the commercial banks will bring huge losses.
Therefore, this article is based on the actual situation of our country, through the discussion of interest rate risk, combined with measurement and management of interest rate risk in the western commercial banks, after China's interest rate liberalization how commercial banks interest rate risk management put forward opinions and suggestions, and has important the practical significance.
Keywords Interest rate marketization Commercial bank Interest rate risk
目次
1 引言 1
1.1问题的提出 1
1.2相关文献综述 1
1.3本文研究的意义 2
1.4研究方法与研究内容 3
2 利率市场化和利率风险的基本理论 5
2.1利率市场化定义 5
2.2我国利率市场化进程及利率制度现状 5
2.3利率风险管理定义 6
2.4利率市场化与利率风险管理 6
3我国商业银行的利率风险分析    7
3.1阶段性风险 7
3.2恒久性风险    7
4 利率风险度量方法   10
4.1利率敏感性缺口分析   10
4.2持续期缺口分析 10
4.3 VAR模型分析 12
4.4模拟分析 12
5.利率敏感性缺口实证分析 14
5.1数据的选取 14
5.2编制利率敏感性缺口分析报告 14
6商业银行利率风险管理存在的问题及对策   17
6.1我国商业银行利率风险管理存在的问题   17
6.2商业银行加强利率风险管理的对策   18
结论   22
致谢   23
参考文献   24
1 引言
1．1 问题的提出
当今世界经济正以经济一体化、金融自由化为特征快速发展。利率市场化是金融自由化的必然产物，它的主要特征是利率价格决定权由政府转移到市场，这个过程大大提高了资金的使用效率,然而也使得利率变得难以预测，加剧了商业银行的经营风险。利率市场化背景下我国商业银行利率风险管理研究:http://www.751com.cn/jingji/lunwen_14149.html