我国商业银行利用金融衍生工具规避利率风险

【作者】 陈娜；

【导师】 李天德；

【作者基本信息】 四川大学 ， 金融学， 2007， 硕士

【摘要】 随着2006年12月27日我国金融市场的全面开放，我国的货币政策受国际货币政策的影响将越来越大，利率变动与国际市场利率变动的互动性将大大增加。与此同时，我国也加快了利率市场化的进程，因而，我国各市场主体尤其是商业银行所面临的利率风险将大大增加。传统上对于利率风险进行管理的方法由于假设条件的限制，其可操作性和有效性已经大大降低。为了有效地管理利率风险，我国有必要研究作为国际金融市场主要避险工具的金融衍生工具在利率风险管理中的应用。利率市场化是金融改革的有机组成部分，在我国加入WTO后，利率市场化更具紧迫性和重要性。利率市场化的过程本质上是一个创造利率市场化条件的过程，也是一个风险控制的过程。本文的研究从风险的认识入手，指出利率风险管理在银行经营管理的重要地位。通过应用商业银行利率风险管理的原理，对我国利率管理进行考察，通过剖析我国商业银行利率风险表现及成因，分析管理中存在的问题。出于这一想法，本文研究了金融衍生工具的特性以及套期保值功能在利率风险管理中的应用。全文分为六章：第一章介绍了我国利率市场化的进程，界定了利率风险的概念，说明了其成因、表现形式。第二章是对国外商业银行利率风险衡量和控制技术介绍和评价，介绍国外利率风险管理的发展历史和我国商业银行利率风险管理的现状。第三章介绍了金融衍生工具的定义、特性和功能，以及价格发现功能在利率风险管理中的应用。第四章介绍了金融衍生工具的套期保值功能在利率风险管理中的作用，阐述了几种主要金融衍生工具在利率风险管理中的应用，其主要包括：远期利率协议、利率期货、利率互换与利率期权。同时，与实际相结合，对金融衍生工具的实际运用进行了初步的分析。第五章从我国利用衍生工具当前市场环境和法律环境出发，介绍了我国商业银行利用衍生工具规避利率风险的策略分析。第六章为结论，是对我国利用衍生工具管理利率风险的思考。通过中外金融衍生市场的发展路径比较，给出了发展我国金融衍生市场的总体思路。并结合我国实际，提出现阶段我国应该首先发展国债期货。更多还原

【Abstract】 With the overall opening of our country’s financial market on Dec.27^th 2007, our country’s monetary policy is increasingly influenced by international monetary policy. And interest fluctuation tends to converge with the fluctuation in the international market. At the same time, our country accelerated the process of interest rate liberalization. Therefore, the market entities in our country especially commercial banks inevitably face bigger interest risk. Due to the limitations of the supposition, the operation and validity of the traditional management methods regarding the interest rate risk have already been greatly reduced. In order to manage interest risk, it is imperative to explore the application of financial derivatives as the primary risk-avoiding instruments in international financial market in the interest risk management.The interest rate liberalization is an organic part of the financial reform. With China’s accession to WTO, the interest rate liberalization will be growing more urgent and more important. The process of the interest rate liberalization is actually a process of creating conditions for the interest rate liberalization, as well as a process of controlling risks. Begin with the awareness of risk, the paper points out the important role of the interest rate risk management in banking administration. It also gives observations on China’s interest rate management through applications on theory of interest rate risk management to commercial banks: dissecting the appearance and reason of interest rate risk in China’s commercial bank and the existing problems during management, exploring the measurement for the risk, and bringing forward the practical measures to bring down the risk and strengthen the management.Due to the idea, this dissertation researches the application of characteristics and hedging functions of financial derivatives in interest rate risk management. Firstly, this dissertation consists of six chapters.The first chapter defines the conception and explains contributing factors, and the forms of interest rate risk, as well as the process of interest rate liberalization of our country.The second chapter explains the methods of interest risk management in foreign commercial banks, the history and development of the interest rate risk management and the present situation of interest rate risk management in china’s commercial bank.The third chapter defines the conception of financial derivatives and analyses the characteristics of the financial derivatives and the price of derivatives.The forth chapter analyses the basic thought of hedging as well as the effect in the risk management on interest rate by the financial derivatives. These financial derivatives are: Forward Rate Agreements, Interest Rate Futures, Interest Rate Swaps, and Interest Rate Options. At the same time, we primarily show two quantitative analysis methods on The choice of hedging method.The fifth chapter according to the legal and market environment of the development of our country’s derivative financial Instrument analysis how to manage interest rate risk in china’s commercial bank by derivatives transaction.The sixth chapter introduces the paper’s conclusion. Through the compare of our country’s financial derivatives market and other country, we elicit the total idea of the development of our country’s financial derivatives market. And propose that China should develop the treasury bonds futures firstly.更多还原