利率市场化探索与商业银行利率风险测度研究农村区域发展专业论文.docxVIP

福建 福建农林大学农业推广硕士专业学位论文 I I 摘 要 从 20 世纪 70 年代开始，以利率市场化和汇率自由化为核心的金融自由化浪 潮波及全世界，影响了世界经济的发展。利率放开后商业银行的经营和管理受到 利率水平频繁波动的影响越来越明显，金融市场竞争加剧，商业银行的经营和管 理效率需要进一步提高。由于利率的频繁波动，导致商业银行净利息收入和所持 资产负债的市场价值无法确定和衡量，所以利率市场化以后利率风险就成为商业 银行最主要的市场风险之一。 利率市场化要求商业银行对利率风险必须有效的识别和准确的测度，如果商 业银行对利率风险缺少有效的测度，那么利率风险管理就无从谈起，银行的经营 风险就将急剧的放大。西方商业银行经过几十年的发展己经建立起了一套比较完 善的利率风险测度体系。因此，如何借鉴国外先进的银行风险管理经验和方法， 建立具有我国特色的利率风险测度体系，提高我国银行利率风险管理水平显得尤 为重要。 本文首先对我国利率市场化的现状进行评述，深入的分析了利率风险形成的 原因、表现形式以及目前和将来我国商业银行业面临的利率风险。接着再从历史 角度详细比较分析四种利率风险测度方法的基础上,重点对利率敏感性缺口和久 期这两种测度方法进行应用研究。最后通过借鉴西方商业银行的相关经验以及我 国所面临的实际情况，探讨了我国商业银行利率风险测度方法的最优选择问题。 关键词：利率市场化改革；利率风险；利率风险测度 ；久期 II II Abstract From 70s last century, there had been a tide of liberalization of finance in the world economy. And the kernel of the tide is liberalization of interest rate, which increased the competence in financial market; improve the efficiency of management of bank. But the fluctuation of interest rate had brought huge interest rate risk to commercial bank, which had exhibited the uncertainty of net interest income and market value. Interest rate risk had become the main market risk of occident commercial bank. Along with the further development of economic reform and the liberalization of interest rate in our country, our commercial banks have greater independence and flexibility, but the risk of interest rate will gradually becomes one of the major risks of financial market. International experience proves that the rapid increase of interest rate risk has increased the possibility that the commercial bank loses or goes bankrupt. To deal with the negative effect that brings by the liberalization of interest rate, we must strengthen the management of the commercial bank with risk management theory. After the appearance of risk, banker must identify and measure it, which is the foundation of management of interest risk rate. After several decades of development and with the more and more attention to this kind of risk, occident commercial bank had constructe