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论文编号：	7632
作者编号：	2120132409
上传时间：	2015/6/23 13:01:28
中文题目：	利率巿场化下我国商业银行利率风险管理研究
英文题目：	Research on Commercial Bank Interest Rate Risk Management Under Interest Rate Marketization
指导老师：	齐岳
中文关键字：	利率风险管理；敏感性缺口分析；在险价值法；GARCH模型；广义误差分布
英文关键字：	interest-rate risk management; sensitive gap analysis; Value at Risk; GARCH model
中文摘要：	伴随着我国利率市场化进程越来越快，近两年央行屡屡扩大存贷款利率浮动上下限，意味着我国利率市场化改革已经走到了最紧要关头。2015年3月的人大会议上，央行行长周小川对记者表示，2015年完成利率市场化已是大概率事件。利率市场化的完成，一方面意味着市场的资源得到更优化配置，效率得到最大化提高，带动实体经济的发展；另一方面则给金融系统运行的风险提出了挑战，特别是增加了商业银行利率风险管理的难度。在我国商业银行的运行及管理机制中，利率风险的管理和预防的重要性应得到越来越多的重视。除了应对利率市场化的挑战，还要应对人民币的国际化带来的国外资本的入侵，国内的银行业即将迎来群雄割据，市场竞争空前激烈的阶段。对商业银行利率风险管理的研究，已经是商业银行应面对的一大重大课题。在利率巿场化的大背景下，对商业银行如何加强风险防范，提高风险管理能力进行研究是具有深刻的时代性和实践性意义的。本文先对利率市场化的概念做出简要介绍，并梳理了我国自上世纪末开启至今的利率市场化进程，然后概括了利率风险的四种表现形式：再定价风险、结构风险、收益率曲线风险以及内嵌选择权风险。然后对利率市场化带来的风险影响进行了理论分析。在对利率风险测定的三种方法：敏感性缺口分析法、持续期缺口分析法和VAR在险价值法简要介绍的基础上，概括了每种方法的公式、核心原理，并且比较了这三种方法的优缺点，得出敏感性缺口分析法简单易懂，但是只能对历史数据进行分析，而VAR在险价值法深刻全面，而且能结合过去和未来对资产组合的风险进行度量的结论。本文重点部分在于对商业银行利率风险的实证研究，通过利率风险管理中的两个关键点，资产负债结构和基准利率预测，分别用不同的方法进行了定量分析。对于第一点，考虑到资本市场流动性较强的特点，在对5家上市银行2010-2013年年报进行统计分析后，本文选择了3个月作为考察期限，对它们进行横向比较，随后以招商银行为例，对它进行了利率敏感性缺口分析。对于第二点，本文以SHIBOR（上海同业隔夜拆借利率）作为研究对象，先对时间序列进行了对数化处理，然后在对时间序列进行了正态性、平稳性、自相关性检验后，在综合比较残差分布的几种模型拟合情况后选择了广义误差分布的GARCH(1,1)模型，计算确定了时间序列的标准差，进而计算得出招商银行在当前利率敏感性缺口下每日利率波动带来的在险价值。本文结尾对商业银行风险管理问题提出了建议，与实证部分相呼应，从组织和法规的角度对结论进行了进一步补充。对于前者，应加快业务转型升级，大力发展中间业务；对于后者，应推进完善商业银行的风险管理体制，抓人才、搞建设，建立有效的利率风险管理机制，积极规避利率风险。
英文摘要：	As the marketization degree of China’s financial markets continues to improve, the interest-rate market displays its according growth. On June 8,2012, PBC decided to expand the the upper and lower limits of floating range in terms of both deposit and lending rates of financial institutions indicating that China’s interest-rate market-oriented reform has taken the key step. The interest-rate market can optimize resource allocation of the capital market, improve the efficiency of financial systemand promote the economic development. Nevertheless, it inevitably increases the difficulty of the interest-rate risk management of commercial banks. On this point, nowadays,Chinese commercial banks suffer from obvious shortcomings such as the underestimated interest-rate risk management, unitary management mode and defective regulatory system. Thus research on this object is of profound significance . Utilizing risk measurement method, this paper focuses on the study of interest-rate riskissues of commercial banks. Firstly it generalizes three main interest-rate determination ways：sensitive gap analysis, duration gap analysis and Value at Risk. By briefing the principle of each method of calculation formula, and comparing the advantages and disadvantages of each mothed, I conclude that the sensitive gap method is understandable, the duration gap analysis is intuitive and visual to compare the interest-rate of the portfolio, and the Value at Risk functions well in comprehensively measuring the interest-rate risk . In the following empirical study, this paper firstly summarizes two key points in interest-rate risk management: the structure of assets and liabilities; prediction of the benchmark interest rate. I respectively adopt two different approaches to make quantitative analysis of these two points. For the first point, I select the three-month study period after the statistical analysis of five listed banks in 2011-2013 annual financial statements and compare them horizontally. Then I take CMBC for an example, and make a detailed analysis of the main component of its interest-rate sensitive gap. For the second point, this paper selects the Shanghai Interbank Overnight Lending Rate as a research object. I plot the data on a logarithmic scale, and test its stationarity, self-correlation andnormality, finding this time series is stationary with 2 order autocorrelation, non-normal distribution and heteroscedasticity effect. After a comprehensive comparison of several residual distribution models, this paper chooses residual conform Generalized Error Distribution distribution of GARCH(1,1) model. Through the model we elicit the daily fluctuations in interest rates of CMBC at the current interest-rate sensitivity gap,then a matching VaR value can be figured out. In the end, this paper presents recommendations on the risk management of commercial banks from perspectives of asset-liability management and interest-rate forecasts, and relevant organization and regulation make further supplement to my point.. For the former, it is necessary to accelerate the business transformation and boost intermediate business operation. For the latter, it is essential toimprove the commercial bank interest-rate risk management system which should be proceeded with personnel training, establish effective interest-rate risk management mechanism, strengthen the capacity of predicting interest-rate variation, and finally hedge interest-rate risk actively.
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