【作者】 渠春华；

【导师】 杨宝臣；

【作者基本信息】 天津大学 ， 技术经济及管理， 2006， 硕士

【摘要】 自20世纪70年代以来,随着Bretton Woods体系的崩溃、放松管制的实施、金融市场自由化浪潮的兴起,固定收入证券市场的波动性加剧,利率风险成为国际金融机构防范的主要风险之一。在这种背景下,对利率风险进行测量与管理具有重要的理论意义和实践价值。为此,本论文在深入讨论利率风险衡量及管理的历史演变、应用和局限性以及改进后,努力致力于在中国特殊的货币政策和利率管制环境下,探讨各种利率风险衡量方法的选择和管理策略,探索我国金融机构的利率风险管理。全文共分为5个部分:一、绪论。主要介绍了本问题的理论意义以及实际意义,同时相应的提出了本文研究的主题及选题的意义,并对进行利率风险研究的相关文献进行了综述。二、利率风险的衡量。该部分详细阐述了目前金融机构常用的利率风险衡量工具。三、讨论了度量利率风险暴露的主要方法——久期的运用和局限性,并研究针对其局限性如何做出改进,并提出了利率期限非平行移动情况下的风险对冲策略和模型。四、讨论了VaR模型在度量和管理利率风险中的应用,从考虑债券或组合对利率变化和预期收益率波动性的价格敏感性出发,引入风险价值(VaR)方法,建立债券组合的VaR模型以度量利率风险。五、考察我国金融机构如何度量和管理它们对利率变动的风险暴露。度量和管理利率变动对现金流与公司价值影响的技术各不相同,并且通常用于不同类型的机构。本文将我国金融机构分为商业银行和非银行金融机构,并分别予以讨论,进行了案例分析。更多还原

【Abstract】 Since the early seventies, the breakdown of the Bretton Woods Agreement, coupled with a liberalization of the financial markets and the inflation and oil crisis of the same time, led to increased volatility of interest rates of fixed-income securities. The international financial institutions witnessed operational plight stemming from interest rate risk. Under this background, the significance of the measurement and management of interest rate risk both in theory and practice is distinct for financial institutions. After a discussion on the history, application and improvement of the measurement and management of interest rate risk, this paper is just motivated by the outstanding problems existent in the measurement of interest rate risk management of financial institutions and its application in local market.The essay performed the demonstration and analysis from the five aspects:1. Foreword. The paper first analyzed the problem both in theory and practice. Besides, the introduction outlines the main subjects of interest rate risk and provides an overview of relevant literatures on interest rates studies.2. The measurements of interest rate risk. This part expounds the measurements of interest-rate risk used in financial institutions commonly.3. This part introduced the application of duration, an important measurement of interest rate risk, and its scarcities. Thus, the amelioration is given in the paper. Besides, this part also established the risk hedging strategy under the nonparallel-shift yield curve.4.For this part, Value at Risk(VaR) model in the measurement and management of interest rate risk is proposed. And there is an description about the concepts of key rate duration and key rate convexity.5.Different methods of interest rate risk management should be applied according to different financial institutions. This part tried to find the proper measurement and management of interest rate risk for the financial institutions in China during the transition period of interest rate control. And two case studies are demonstrated in practice.更多还原