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论文编号：	6437
作者编号：	2220120359
上传时间：	2014/6/10 15:51:22
中文题目：	利率市场化条件下交通银行资产负债结构管理研究
英文题目：	Study on the Structure of Assets and Liabilities Management of Bank of Communications under the Condition of Interest Rate Marketization
指导老师：	黄福广
中文关键字：	商业银行；资产负债管理；利率市场化；利率敏感性缺口；久期缺口
英文关键字：	Commercial Bank; Assets and Liabilities Management; Interest Rate Liberalization; interest rate sensitive gap; duration gap
中文摘要：	商业银行是我国金融系统的重要组成部分，商业银行的发展壮大对于我国的金融和经济都影响重大，商业银行要想获得持续健康的发展离不开科学的管理。有效的资产负债管理，是保障商业银行稳定运转的基础。当今利率市场化是我国金融体制改革的重要内容，也是要素市场改革的核心之一，利率市场化对商业银行资产负债管理产生巨大影响。本文通过商业银行资产负债管理历史发展的梳理，以及学界对资产负债管理理论研究的总结，结合目前资产负债管理的技术方法，探讨目前利率市场化条件下商业银行资产负债结构管理问题。并以交通银行为例，分析当前利率市场化条件下交通银行资产负债管理情况；运用利率敏感性缺口管理和久期管理方法，对交通银行2012年的资产负债结构风险进行测量，阐明交通银行存在利率敏感性资产和利率敏感性负债不匹配的情况，以及资产负债久期不匹配的问题；引出交通银行资产负债配置存在的问题，并对利率敏感性缺口和久期缺口的影响因素和特征进行分析。本文最后提出资产负债管理策略，为其他国有商业银行和股份制商业银行提供借鉴。随着我国经济的不断发展以及金融开放步伐的加快，我国商业银行资产负债管理的意识不断深化，能力不断提高，逐渐形成了一整套以比例控制为主的管理体系，但和发达国家相比仍然属于一种比较初级的管理。今后，商业银行需进一步明确资产负债管理的目标和理念，强化资产负债组合管理、定价管理，不断推进金融创新，进一步做好资产负债管理工作。
英文摘要：	Commercial bank is an important part of financial system in China. The development of commercial bank gives a big influence to the finance and economy in China. The continuous and healthy development relies on the scientific management. The effective Assets and Liabilities Management is the base to ensure the stable operation of the commercial bank. The interest rate liberalization is an essential part of the financial system reform in China, which is one of the core elements in the factor market reform. The interest rate liberalization plays an important role on the Assets and Liabilities Management of commercial bank. This paper goes through the development history of the Assets and Liabilities Management in commercial banks and the summarization of the research for the Assets and Liabilities Management theories in academics, and talks about the structure management of the Assets and Liabilities in commercial banks under the interest liberalization with the technical method of Assets and Liabilities Management in nowadays. Analysis the Assets and Liabilities Management situation under the interest liberalization with the example of the Bank of Communications, and use the interest rate sensitive gap management and the duration management method to measure the structure of assets and liabilities risk in Bank of Communications in 2012. Clarify that the Bank of Communications has the problem of interest rate sensitive assets and interest rate sensitive liabilities not match and the duration gap not match; point out the problems in the Bank of Communications, analysis the effect factors and characteristics of the interest rate sensitive gap and duration gap. It gives some Assets and Liabilities Management strategies, and try to be a reference for other state-owned commercial banks and joint-stock commercial banks. With the continuous development of our economy and financial liberalization, the commercial banks in China get a better sense and higher ability on the Asset Liability Management, and gradually formed a complete proportion control oriented management system. However, compared with the developed countries, it still belongs to a kind of primary management. The commercial banks should further clarify the Assets and Liabilities Management goals and ideas in the future; strengthen the Assets and Liabilities portfolio management and the pricing management; keep working on financial innovation, and make the Asset Liability Management work better.
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