毕业答辩论文姚珉毕业论文学 院 金融学院 班 级 081 金融工程 2 班 学 号 姓 名 姚珉 题 目 我国商业银行利率风险讨论指导老师(姓名及职称) 韩扬 讲师 我国商业银行利率风险讨论金融学院金融工程专业 08 级 2 班 姚珉 指导老师:韩扬 讲师内容摘要:随着我国利率市场化逐步推动,利率风险将成为我国商业银行主要风险之一。因此,如何管理我国商业银行的利率风险将是摆在我国金融监管当局和商业银行面前的一个非常现实的问题。为此,本文采纳理论描述和实证讨论相结合的方法,立足于我国现实国情,借鉴国外先进的理论和经验,系统地讨论我国商业银行利率风险存在的程度及其管理状况。对我国商业银行的利率风险进行分析,并分析了我国商业银行利率风险的成因。本文利用利率敏感性缺口模型和我国 14 家上市银行两年的报告数据,用利率敏感性缺口,利率敏感性比率及其偏离度和缺口率四个指标对我国商业银行利率风险进行实证分析并得出结论。并对我国商业银行利率风险管理中存在的问题提出一些建议。关键字:利率风险,商业银行,利率敏感性,风险管理China commercial bank interestrate risk researchAbstract : With the advance of the liberalization of interest rate,interest rate risk will become one of important risks to commercial banks in our ,how to manage interest rate risk will be a practical task for financial authority and commercial banks in our country. Based on the situation of our country and foreign advanced theories and experience,the paper systematically researches the magnitude of interest rate risk of the commercial banks in our country and its management state with combining theory description and empirical paper analyzed China’s commercial banks interest rate risk,and then had analysis of China’s commercial banks of the causes of interest rate risk. The paper chooses interest rate sensitive in two years to analyze the magnitude of interest rate risk with interest rate sensitive gap,interest rate sensitive ratio and its deviation and gap ratio,at last draw a...