【作者】 刘吉；

【导师】 秦凤鸣；

【作者基本信息】 山东大学 ， 金融（专业学位）， 2013， 硕士

【摘要】 20世纪70年代以来,在许多实施利率市场化改革的国家,相继出现了不同程度的银行业危机。究其原因,一方面由于利率市场化加大了利率水平波动的不确定性,另一方面由于商业银行本身对利率风险缺乏有效的防范与管理。随着近年来我国利率市场化改革进程的加快,利率风险也成为我国商业银行经营不可回避的问题。在此背景下,从风险识别的角度探讨我国商业银行所面临的利率风险,并对我国商业银行利率风险暴露的程度进行测度,对我国商业银行在新环境下管理利率风险无疑具有重要的理论和现实意义。本文采用了定性的方法对我国商业银行利率风险进行了识别研究。首先,利率市场化改革从利率水平频繁波动和总体上升两方面给我国商业银行带来了阶段性冲击,前者加大了商业银行收益价值和经济价值的不确定性,后者加大了商业银行资金的使用成本,并诱发信用风险和财政支出转嫁的问题；其次,从利率风险来源本身,我国商业银行“短借长贷”的操作方式、相对单一的资产负债结构以及期权性金融产品的广泛推出,导致其在利率不利变动时面临长期的风险暴露；最后,缺乏相应的利率衍生工具、盈利模式过于单一、利率风险管理体系建设滞后等问题的存在,则进一步加剧了我国商业银行面临的利率风险。同时,本文以我国同业拆借市场作为研究对象,选取2010-2012年隔夜拆借利率与商业银行拆借头寸数据,运用VaR模型度量了利率市场化环境下我国商业银行隔夜拆借资金的利率风险。实证分析表明,将GARCH模型引入VaR的计算中,可以较好的模拟收益率序列的分布特征；而VaR的计算结果表明,在利率频繁且剧烈波动的环境下,商业银行拆借资金总体上面临显著的利率风险,且不同类型商业银行由于拆借头寸水平管理的差异,风险暴露水平也不一致。文章分为五个部分。第1章为导言。第2章定义利率风险,并对商业银行利率风险识别与度量的国内外文献进行回顾。第3章定性识别我国商业银行面临的利率风险。第4章基于VaR模型与GARCH模型族理论,通过样本数据的检验分析,构建同业拆借市场隔夜拆借利率收益率的条件异方差模型,定量测度我国商业银行面临的利率风险。第5章为结论与对策建议。更多还原

【Abstract】 Since the1970s, many countries have suffered from different degrees of banking crisis in or after the reformation of interest rate liberation. The reasons for all those crises, on the one hand, were due to that after interest rate liberation, the level of interest rate was getting more fluctuated and unpredictable, and on the other hand, were because of the lack of effective prevention and management of interest rate risk in commercial banks. As in recent years, with the acceleration of the process of China’s interest rate liberalization, China’s commercial banks also have to face the problem of interest rate risk. Under this background, exploring the types and resources of interest risk from the view of risk identification and researching the degree of interest rate risk exposure from the view of risk measurement are having theoretical and practical significance for China’s commercial banks’future development.The thesis uses a qualitative approach to identify the interest rate risk of commercial banks in China and made the following conclusions. First, the interest rate liberation has led to the frequent fluctuation and the overall increase in the level of interest rates which brought a periodic impact to the commercial banks in China. The frequent fluctuation of interest rate has increased the uncertainty of income and economic value of the commercial banks in China. The rise of interest rates has reduced the commercial banks’interest profits, induced the credit risk and financial expenditure shift. Secondly, based on the point of the sources of interest rate risk, China’s commercial banks used to absorbing short term deposit and lending long term loan, having a single asset and liability structure and widely using option financial products, which made them facing long term interest rate risk exposure to adverse changes in interest rate. Finally, the lack of corresponding interest rate derivatives, single profiting model and lagging interest rate risk management system further exacerbated the interest rate risk of China’s commercial banks.Meanwhile, the thesis makes an empirical analysis of the China’s inter-bank lending market, by selecting the overnight lending rate, commercial banks lending positions data (2010-2012) and using VaR model, in order to measure the interest rate risk exposure of China’s commercial banks under the market-oriented interest rate environment. Empirical analysis indicated that the introduction of GARCH model in the calculation of VaR can better simulate the distribution of the data series characteristics. And also, the relatively high VaR calculation results means China’s commercial banks are facing significant interest rate risk in the frequent interest rate volatility environment, and different types of commercial banks have different risk exposure levels because of the differences roles of lending positions.The thesis has five chapters. Chapter1is the introduction, shows some background information about the thesis. Chapter2defines interest rate risk and reviews the related literature about the commercial bank interest rate risk identification and measurement. Chapter3uses a qualitative approach to identify the interest rate risk faced by china’s commercial banks. Based on VaR model and GARCH model theory, chapter4builds the conditional heteroscedasticity model of the overnight call rate yield via the examination and analysis of the sample data, and measures the interest risk faced by commercial banks in China in a quantitative approach. Chapter5makes the conclusions of the thesis and gives some policy recommendations.更多还原