利率市场化条件下的商业银行利率风险管理研究资料.docVIP

摘要 利率市场化是渐进性的过程，.而我国商业银行处于一个复杂的生存环境之 中，一方面金融衍生市场极不发达，许多商业银行可以利用的利率风险管理策略 都受到限制，商业银行总体上连初步的利率风险管理体系都尚未建立。另一方面， 由于利率市场化己经是大势所趋，采用现代意义上的利率风险管理策略是商业银 行最终必然要实现的目标。 本文结合国外利率市场化经验，对我国商业银行面临的阶段性利率风险进行 了深入的理论分析;并从规范和实证的角度，对我国商业银行面临的恒久性风险 进行了分析。在介绍了利率风险衡量技术基本原理的基础上，对其适用性进行了 评价。最后，以发展和动态的思维方式，对我国的商业银行利率风险管理提出以 下三个维度的对策和建议:商业银行即要建立现代化的利率风险管理体系，又要 分阶段采取不同的利率风险管理策略，同时，管理决策层应该配合商业银行内部 体系和策略上的演进，为利率风险管理创造有利的外部环境。 本文的创新之处在于利用必威体育精装版的利率数据对商业银行恒久性风险进行了实 证的研究，并对其成因进行了深入分析;对我国目前所处的升息周期和客观的经 济环境，针对性的提出了在现有条件下(近期)利率风险管理的对策，并且进一 步从中期和远期对我国商业利率风险管理提出了全面的发展策略。并指出了如何 在债券市场现有的基础上，对现货市场和衍生市场进行具体的改进和创新。 关键词:利率市场化;利率风险;利率风险管理 Abstract The process of market-oriented reform of interest rate system is promoted step by step. The commercial banks in China are under a complicated circumstance. On the one hand, the financial derivative market is quite undeveloped, a lot of interest rate risk management strategies cannot be applied and the commercial banks even havent created a primary interest rate risk management system. On the other hand, because the market-oriented reform of interest rate system is irresistible, the adoption of modern interest rate risk management strategies is the final goal which the commercial banks must realize. Combined with experience of market-oriented reform of interest rate system of foreign countries, this paper analyses the temporary interest rate risk theoretically. The permanent risk facing the commercial banks in China is also analyzed in the canonical and empirical perspectives. On the basis of introducing the fundamental interest rate risk measurement technologies, this paper estimates their suitability. Finally, in a developing and dynamic way of thinking, this paper puts forward the following strategies and suggestions from three dimensions: commercial banks should not only create modern interest rate risk management system, but also use different interest rate risk management strategies stage-by-stage. Meanwhile, the supervisor