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论文编号：	2813
作者编号：	2120082460
上传时间：	2010/12/6 10:34:39
中文题目：	敏感性缺口模型在我国商业银行利率风险管理中的应用研究
英文题目：	A Study on the Application of IRSG Model in Our Commercial Banks’Interest Rate Risk Management
指导老师：	余娟
中文关键字：	商业银行;利率风险;敏感性缺口模型;风险管理
英文关键字：	Commercial bank;Interest rate risk;IRSG Model;Risk Management
中文摘要：	随着利率市场化的不断推进，利率的形成将遵循市场价值规律，波动幅度将加大，波动频率也将加剧，不可预测性大幅提高，作为金融市场经济主体的商业银行将因此在经营中受到极大的影响。利率风险越来越成为金融机构面临的主要风险之一。长期以来，由于我国一直实行利率管制政策，无论在理论界还是实务界，利率风险管理还非常薄弱。这一方面是因为在我国金融市场还没有形成一个较完善的金融衍生品市场，我国商业银行无法仿照西方国家提供此类衍生金融工具对冲利率风险；另一方面是因为银行自身的利率风险管理机制并未形成，利率风险管理水平与利率市场化程度相脱节。这些问题凸显出我国在利率风险管理理论和方法上与国际先进水平相差甚远，已经无法满足我国金融体制改革与发展的需要。为此，如何有效的识别、衡量和控制商业银行利率风险，通过借鉴西方国家商业银行在利率风险管理上的理论和方法，并结合我国现状，来建立完善我国商业银行利率风险管理机制，已经成为我国商业银行在金融市场全球化下提高竞争优势的一个迫切重要的课题，对此课题的研究具有重要的理论价值和实践意义。 利率风险管理包括风险识别、风险度量、风险控制和有效性评价。而风险度量是对风险水平的分析和估量，是风险管理的基础和关键，直接决定了风险管理的效果。目前，我国商业银行利率风险度量水平还处于起步阶段，观念、组织体系、量化监测、计量系统等方面都存在很多薄弱环节。我国商业银行应本着尊重自身业务管理特点的去对选择利率风险度量方法。在利率市场化渐进式改革的初期阶段，宜采用相对简单的风险度量模型。一是由于国内商业银行资产负债结构还处于相对单一的状态下，金融产品和金融业务创新力度尚待进一步开发，成本收益比方面考虑，采用相对简单的利率风险度量模型将会占有一定的优势；二是在使用过程中应进一步加强商业银行利率风险管理意识，积累相关业务经验，努力加强信息基础数据的采集，以便为日后应用相对复杂的利率风险度量模型做准备。利率敏性缺口模型是现阶段最适合我国商业银行使用的利率风险度量方法并被广泛使用。它是从会计账面价值的角度进行现金流量分析的模型。它所分析的主要内容是在某一个时间段内由利率敏感性资产(RSA)所产生的利息收入，与利率敏感性负债(RSL)所产生的利息支出之间的缺口。这种方法成本相对较低，操作比较简单，有利于商业银行快速确定利率缺口，便于采取相应措施对风险予以控制。 本文从理论到实际对利率敏感性缺口模型在我国商业银行利率风险管理中的实际应用进行分析研究。选取在2009年金融危机背景下某商业银行地方分行利率风险管理的案例进行深入分析。依据分析时点样本银行所持有的资产负债期限与数量缺口，量度利率风险中的缺口风险。通过缺口分析，提示样本银行在短期市场利率风险中的期限错配风险，以及市场利率变化对样本银行预期盈利的影响方向。根据分析结果，指出目前我国商业银行在利率风险防范时所存在的问题，进而提出了加强我国商业银行利率风险管理的建议，希望能够对我国商业银行提高抵御利率风险的能力有所帮助。首先，应当制定利率风险管理的基本目标，即根据我国商业银行风险管理水平和风险偏好，在可承受的利率风险容忍度范围以内，最小化利率变动引起的净利息收入降低额，保证盈利的稳定增长和资本结构的稳定。其次，需要建立一套高效的商业银行业务管理运行机制。包括：利率风险识别，这是银行对利率风险进行定性判断的实际过程，也是银行实施利率风险管理的前提条件；打造利率风险衡量系统，即借助现代科技与信息技术来建立一套高效灵活的利率风险信息管理系统；巩固和完善资产负债管理核心机制，于商业银行内部建立资产负债管理部门，管控资金流向，完善银行产品（资金）定价，分析利率水平与期限配比等；在完善上述几项基础工作后，结合商业银行业务规模与发展现状对利率风险实施决策管理。最后，采取多样化的利率风险监测和规避方法。主要包括：利率风险限额，指在既定情景下可承受的利率风险容忍度范围；全额资金计价，它改变了原有分支行经营主体自行匹配资金来源和运用，承担利率风险的模式，使得绝大部分利率风险从分行剥离，归集到全行层面进行管理，避免了分行层面不必要的表内匹配和由于利率波动对分行利润造成的大幅波动；风险定价，保证全行利润目标实现，并培养利率市场化后商业银行自主定价能力；对冲，分为表内和表外对冲，是商业银行主动调整利率风险敞口水平的重要调整手段。 全文共分为七部分：第一部分引言，探讨论题的提出与选题意义，分析本文的框架和研究方法。第二部分为文献综述，分别对利率风险理论概念和利率风险管理的国内外相关文献进行综述回顾。第三部分对主要的利率风险度量方法进行比较研究，指出利率敏感性缺口模型为现阶段最适合我国商业银行使用的度量方法。第四部分为评述我国商业银行利率风险管理现状及存在问题。第五部分为商业银行利率风险管理的案例分析。运用利率敏感性缺口模型对某商业银行利率风险进行度量，并从管理角度进行分析，指出问题所在。第六部分提出提高我国商业银行利率风险管理水平的政策性建议。第七部分为结论。
英文摘要：	As continuous progress of the interest rate liberalization reform，uncertainty of interest rate becomes more and more uncertain, which will seriously affect the earnings of our commercial banks. Interest rate risk is increasingly becoming one of the major risks that the financial institutions face with. But for a long time, our commercial banks in general are lack of management experience of interest rate risk under the interest rate deregulation policy. Not only in theory but also in practice, interest rate risk management is still very weak. This is because we have not formed a more sound financial derivatives market, the managing experience of commercial banks in Western countries cannot be modeled to hedge interest rate risk in such situation; on the other hand, the bank's own interest rate risk management mechanism has not been formed, as a result of which, the level of management and development of market-oriented interest rates do not match. These problems highlight the distance between our country's interest rate risk management level and the international advanced level. The recent management level is unable to meet the request of our financial system reform and development. How to identify effectively, measure and control the interest rate risk, how to establish and improve our commercial banks’ administrative mechanisms by drawing on methods of Western banks as well as combining with our status quo has become an important issue to strengthen advantages of our commercial banks in the globalization financial competition. The research of this has important theoretical and practical significance. Interest rate risk management includes: risk identification, risk measurement, risk control and evaluation of the effectiveness, among which, risk measurement is the foundation and key to risk management. It analyzes and assesses the risk level that directly determines the effectiveness of risk management. At present, the level of interest rate risk management in our country is still at an elementary stage. There are many weaknesses existing in the fields of idea, organization, quantitative monitoring, measurement system and etc. Our country's commercial banks should choose the suitable measurement of interest rate risk on the basis of considering the characteristics of their business. In the early stages of reform, simple risk measurement models should be chosen because of following reasons: firstly, the structure of assets and liabilities of domestic commercial banks is still in homogeneous state, and also the innovation of financial products and services need further development. According to cost-benefit ratio considerations, the use of relatively simple model of interest rate risk measure will have an edge; secondly, during the practice process, our commercial banks should continuously strengthen the awareness of interest rate risk management, accumulate relevant business experience, do efforts on collection of basic information data in order to prepare for the use of more complicated measurement model in the future. Interest Rate Sensitive Gap Model ( short form: IRSG Model ) , because of its fitness to the current condition in China, is recognized as the most practical interest rate risk measuring method in our commercial banks, which is widely used. The model analyses cash flow from the perspective of the accounting book value. The main content of analysis is the gap between interest income created by rate-sensitive assess(RSA) and interest expense caused by rate-sensitive liabilities (RSL) in a certain period of time. This method is relatively low cost, simple operation, both of which are beneficial for commercial banks to identify the gap quickly and take corresponding measures to control risk as soon as possible. The paper intends to study systematically interest rate risk management not only in theory but also in practice and analyses the application of IRSG Model in our commercial banks. The paper selects the interest rate risk management case of a commercial bank’s local branch for depth analysis under t background of the global financial crisis in 2009. It measures the gap risk based on the analysis of duration and number gaps of the assets and liabilities held by the sample bank in the selected time point. Then, the paper gives suggestions on short-term maturity mismatch risks as well as the influential direction of expected profits of the sample bank caused by the changes of market interest rate. Based on the analyzed results, it points out the problems existing in risk control and raises some useful suggestions to enhance managing abilities in withstanding rate risks. In the first place, we should develop the basic management objective, that is to minimize the reduced amount of net interest income caused by changes of interest rate and to ensure the stability of earnings growth and capital structure within the tolerance to withstand interest rate risk based on the level and risk preferences of commercial banks’ risk management. In the second place, we need to establish a set of highly efficient operation mechanism in commercial banking. It Includes: interest rate risk identification, which is not only the actual process of risk qualitative determination but also risk management prerequisite; creation of interest rate risk measurement system, that is, with modern technology and information technology to establish a highly efficient and flexible interest rates risk information management system; consolidation and improvement of asset liability management mechanism as the core, that is establishing assets and liabilities management department within the bank taking the responsibility of controlling capital flows, improving products (funds) pricing, analyzing the ratio of interest rates and terms, etc.; and afterwards, making decisions on how to control rate risk combining commercial banks’ business size with development status. In the last place, we could take diverse interest rate risk monitoring and avoidance methods. It mainly Includes: setting interest rate risk limits, which means risk tolerance range under certain situation; full funding valuation, which changes the original pattern on funds acquisition and application matching as well as bearing of risks by branches of business entities their own, and also avoid unnecessary fluctuations in profit by the way of concentrating interest rate risk as a whole to management; risk pricing, that ensures the achievement of bank’s profit target and develops commercial banks’ independent pricing ability as continuous progress of the interest rate liberalization reform; hedge, into and outside, which is one of the important means of actively adjusting risk exposure level. The paper consists of seven parts：the first chapter is the introduction，which explains the reasons of choosing this subject, analyses the frame and research methods used in the paper. The second chapter is literature reviews, which summarize the present research on interest rate risk and interest rate risk management both inside and outside our country. In the third chapter, the paper compares merit and demerit of different interest rate risk measuring methods and points out that IRSG Model is the most suitable measuring method in our commercial banks in current condition. In the fourth chapter, it mainly analyses the situation and the problem in the measurement of interest rate risk. In the fifth chapter, it analyses the application of IRSG Model in our commercial banks’ risk management with practical data. In the sixth chapter, it gives some suggestion on how to construct interest rate risk management of China’s commercial bank. The last chapter is summary.
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