久期模型在我国商业银行利率风险管理中的应用分析——以中国工商银行为例-application analysis of duration model in interest rate risk management of commercial banks in china - taking industrial and commercial bank of china as an example.docx

interest rate risk;gets interest rate risk condition which China’s commercial bank is faced with through empirical analyse and discusses how to actively defend against interest rate risk. At last, to beter use duration model to measure the interest rate risk of commercial bank, this article puts forward corresponding countermeasure proposals.KEYWORDS: duration model, commercial bank, interest rate risk management久期模型在我国商业银行利率风险管理中的应用研究 目录目 录目 录 .................................................................... 4第一章 绪论 .............................................................. 1第一节 选题背景与研究意义 ............................................. 1一、选题背景 ...................................................... 1二、研究意义 ...................................................... 1第二节 国内外研究综述 ................................................. 2一、国外研究综述 .................................................. 2二、国内研究综述 .................................................. 4第三节 研究思路与方法 ................................................. 7一、研究思路与逻辑结构 ............................................ 7二、研究方法 ...................................................... 7第四节 创新和不足 ..................................................... 8一、本文可能的创新之处 ............................................ 8二、本文的不足 .................................................... 8第二章 利率风险相关理论概述及我国商业银行面临的利率风险 .................. 9 第一节 利率期限结构理论 ............................................... 9一、预期理论 ...................................................... 9二、流动性偏好理论 ............................................... 10三、市场分割理论 ................................................. 10四、多项式样条法 ................................................. 10第二节 利率风险的含义与种类 .......................................... 11一、利率风险的含义 ............................................... 11二、利率风险的种类 ............................................... 11第三节 我国商业银行面临的利率风险及成因分析 .......................... 13一、商业银行只能被动地接受政策性利率风险 ......................... 13二、我国商业银行存贷期限结构不匹配 .............