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摘要近年来，受到政府政策导向、不断调整的利率、愈演愈烈的金融创新导致的“金融脱媒”现象增强、银行内部效益的考核和贷款需求结构的调整等诸多因素的影响，商业银行普遍存在着期限错配现象。随着利率市场化的逐步完成，我国利率波动频率和幅度都将加大，商业银行期限错配意着更多的头寸暴露在利率变动的风险中，影响未来收益，大大增加了银行面临的利率风险。本文以利率市场化为背景，分析我国商业银行存贷期限错配现状，产生原因及发展趋势，并运用久期模型验证存贷期限错配将加剧银行的利率风险。通过分析和计算得出以下结论：商业银行存款活期化、贷款长期化趋势明显导致存贷期限结构的不匹配，利率市场化下利率期限结构的水平化导致的利差缩小、会使得银行在利率的不确定波动下产生更大的利率风险，通过久期计算能更为准确地度量市场利率的变动对银行市场价值和经营效益的影响。28828
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关键字：期限错配 利率市场化 利率风险 久期
毕业论文外文摘要
Title The analysis of deposit-loan duration mismatch’s influences on interest
rate’s risk during its liberalization process
Abstract
Recent years, the deposit-loan maturity mismatch of commercial banks is ubiquitous due to government policy-oriented, continuous adjustment of interest rates, “financial disintermediation” enhanced by financial innovation, bank performance assessment, and loan demand structure. As the interest rate liberalization is gradually completed, the frequency and amplitude of fluctuations in interest rate increase, the maturity mismatch means that commercial banks have more cashes exposed in interest change risk, which makes it uncertain for future earnings and greatly increases interest risk confronted by commercial bank. Based on the interest rate liberalization, this paper will analyze the current situation and tendencies of commercial bank' s deposit-loan maturity mismatch and utilize the duration model to prove that the deposit-loan maturity mismatch will deeper the interest risk. The results show that: both the narrowness of interest spread and more current deposits and long-term loans caused by complanation of interest rate term structure lead to mismatch of deposit-loan maturity structure, which results in greater interest risk of banks because of uncertain interest fluctuation;changes of market interest more accurately estimated by duration have a positive effect on the market value and operation performance of banks.
Keywords maturity mismatch；interest rate liberalization；interest rate risk；duration
目 次
1 绪论2
1.1 研究背景及意义2 1.2 相关文献综述2
1.3 本文研究思路及方法4
2 我国商业银行存贷期限错配现状及原因分析6
2.1 我国商业银行存贷期限错配基本特征6
2.2 我国商业银行存款期限结构问题6
2.3 我国商业银行贷款期限结构问题8
2.4 我国商业银行存贷期限错配原因分析10
3 利率市场化下商业银行存贷期限错配产生的利率风险11
3.1 利率市场化介绍11
3.2 商业银行期限错配产生的利率风险11
4 久期模型在商业银行存贷期限错配下产生的利率风险分析14
4.1 久期模型的选择14
4.2 中国工商银行期限错配产生的利率风险15
5 针对存贷期限错配问题提出的解决方案18
5.1 拓展我国商业银行长期资金来源18