【作者】 邹立明；

【导师】 朴明根； 董藩；

【作者基本信息】 青岛大学 ， 金融学， 2004， 硕士

【摘要】 我国利率市场化改革开始于二十世纪九十年代初，利率作为资金价格将逐步由市场决定。1996年开始，利率作为中央银行调节宏观经济的杠杆，变动愈加频繁，为建国以来所罕见。利率水平的多变性和不确定性，已经严重影响了以利差作为主要利润来源的我国商业银行的经营效益。更为严重的是，由于历史的原因，我国商业银行一贯不重视对利率风险的管理，致使我国商业银行大多对利率风险缺乏足够的认识，管理技术手段落后。因此，研究分析利率风险、完善利率风险管理体系成为我国商业银行目前所面临的主要任务之一。正是出于这种考虑，本文不仅对当今最先进的利率风险管理方法和策略进行了综合性论述，而且也结合当前我国商业银行所处的特殊环境，对如何提高我国商业银行的利率风险管理水平进行了有针对性的探讨，具有极其重要的现实意义。 本文共有五个部分。第一部分主要讨论如何度量商业银行的利率风险。利率风险管理是否有效很大程度上取决于利率风险度量的准确性，因此，这部分是本文的核心内容之一。该部分重点研究了敏感性缺口模型、有效持续期缺口模型和动态模拟法这三种商业银行利率风险的度量管理技术及其应用。第二部分主要讨论了在成熟市场经济条件下，商业银行进行利率风险管理的方法、策略和工具，并对这些基本方法、策略和工具的优缺点进行了较为深入的比较分析。第三部分主要对当前我国商业银行面临的利率风险种类、成因和风险水平进行了详细研究。第四部分主要从系统组织、机构设置等方面对我国商业银行利率风险管理进行探讨，并对当前我国短期利率走势进行了预测。第五部分给出了研究结论，并提出了加强我国商业银行利率风险管理的政策建议。更多还原

【Abstract】 China’s liberalization reform of interest rates has been carried out since the beginning of 1990s. Interest rate, the price of capital, will be decided by market gradually. Since 1996, interest rate, which was used by the central bank of China as lever to adjust and control the economy, fluctuates so frequently that it has no parallel in the history since the foundation of P.R.C. With the more and more frequent adjustments, Interest Rate Risk (IRR) of the commercial banks is getting more and more serious. Uncertainty of net interest income will do harm to the benefit of commercial banks of China. More seriously, due to the historical reason, IRR management is always neglected by the commercial banks of China, which makes most of the commercial banks almost have no idea of interest rate risks. Measuring and managing techniques on IRR are poor and laggard. Therefore, studies and analysis of IRR, improving the level of IRR management become the most important and urgent tasks confronted with the commercial banks. Under such background, this thesis not only comprehensively introduced the most advanced IRR management methods and tactics in the western world, but also thoroughly discussed the questions that the domestic commercial banks are facing at present. It is of great importance to the commercial banks.There are five parts in this thesis. The first part mainly discussed about how to measure the IRR of commercial bank. Whether the IRR management is effective or not is decided by the preciseness of the measurement of IRR, therefore, this chapter is one of the core contents in this thesis. Theory and application of interest sensitive gap analysis, duration gap analysis and dynamic simulation analysis are studied in this part. The second part mainly discussed about the basic methods, tactics and tools for the commercial banks to manage its IRR under the condition of mature market economy. It also made deep analyses on the advantages and disadvantages of the basic methods, tactics and tools. The third part mainly discussed types, causes and state of IRR of today’s commercial banks of China. The forth part discussed the IRR management from the point of system and organization construction. Conclusions and advices on IRRmanagement are given at the last part.Zou Li-ming( Finance)Directed by Piao Ming-gen Dong-fan更多还原