【作者】 孙静；

【导师】 余江；

【作者基本信息】 西南交通大学 ， 产业经济学， 2004， 硕士

【摘要】 目前，无论是中央银行还是商业银行，对金融风险管理都主要集中于信贷风险的管理，对利率风险的管理问题，尤其是对利率变动对国内商业银行经营的影响问题很少论及。随着我国利率市场化的推进，商业银行面临的利率风险将日益凸现，如何有效地衡量和管理商业银行的利率风险是我国商业银行为迎接WTO挑战，求得生存和发展而亟待解决的一项重要研究课题和一个不可回避的现实问题。 本论文以我国商业银行利率风险管理研究为主线。在对我国商业银行面临的利率风险进行深入分析的基础上，借鉴国外成熟的利率风险管理经验，研究了我国商业银行利率风险衡量模型、利率风险管理的策略和现实措施，并结合中国实际对构筑我国商业银行利率风险管理体系进行了初步探讨。 首先，识别商业银行利率风险，通过对利率风险概念、表现形式和产生的原因的进一步认识，阐述了利率风险对商业银行的影响。其次研究商业银行利率风险衡量模型，在介绍西方商业银行利率风险衡量模型的基础上，分析了这些模型在我国的适用性。接下来分析我国商业银行利率风险管理有待加强的原因，提出了资产负债表内、表外管理策略和一些现实措施来对我国商业银行的利率风险进行有效管理。文章最后初步探讨了如何建立我国商业银行利率风险管理体系。希望所提出的有关利率风险的思想方法能对改善商业银行的利率风险管理工作提供一些有益的参考价值。更多还原

【Abstract】 These days, not only Center but also Commercial Bank in china has paid much attention to credit-loan risk management. The interest-rate risk .especially the influence to commercial bank’s profit under the changeful interest rate , draws little attention. Therefore, how to avoid the interest-rate risk of China’s commercial bank , and search for a more safe way to solve the problem is very urgent.This thesis is focused on how to manage the interest-rate risk of China’s commercial bank .On the basis of study in the form and reason of interest-rate risk China’s commercial bank, it is to study how to measure and manage the interest-rate risk by analyzing the applicability of those methods by western commercial bank .At last, it puts forward some suggestions on how to construct the interest-rate risk management system in China.First, to recognize the interest-rate risk . The article describes the concepts, the form and the reason of interest-rate risk , and analyses the types of interest-rate risk in the commercial banks face in China. Secondly the article focuses on how to establishing the model to measure the interest-rate risk.Then, it puts up assets and liabilities management by adjust the interest-sensitive gap and duration gap. Another way develops the intermediate business and derivatives to offset the net interest income when the interest rate fluctuates. Last the article concentrates on the effective risk management system of interest-rate risk, including organizationg system, function system and risk management to ensure the risk management measure can be actually implemented.I expected that above-mentioned ideas and methods will produce positive influence to the risk management of interest rate.更多还原