利率市场化条件下我国商业银行利率风险特征及防范分析研究 财务管理专业VIP免费

内容摘要目前我国商业银行还未能把利率风险管理放在日常运营的重要位置，且存在管理方式单一等问题。在利率市场化改革的大环境下，就银行如何提升防范利率风险能力的研究变得很有必要。本文以风险计量模型为基础来展开对商业银行利率风险的论述。文章先讲述利率市场化的观点，之后归纳了利率市场化下面临的风险，并且论述了利率市场化给商业银行带来的机遇与困难。随后在第三节对衡量利率风险的VaR模型作了介绍，并对后面实证部分的数据作了预处理。文章实证研究部分是以VaR模型为核心展开，选取了国内四家股份制银行对SHIBOR的报价利率作为研究对象，通过AR(p)-GARCH(p,q)模型确定了均值、方差方程，得到四家银行受每日利率波动带来的最大风险损失值。并于末尾对全文作了总结并对当前商业银行风险防范提出建议。关键词：商业银行利率市场化利率风险VaR模型AbstractNowChina'scommercialBankshavefailedtoputinterestrateriskmanagementintheimportantpositionofdailyoperation,andthereareproblemssuchassinglemanagementmode.Duringthereformofinterestrateliberalization,itisnecessarytostudyhowBankscanimprovetheirabilitytopreventinterestraterisk.ThispaperdiscussestheinterestrateriskofcommercialBankswiththehelpoftheriskmeasurementmodel.Ifirstlydescribedtheconceptofinterestratemarketization,thensumupthemarketizationofinterestraterisk,andintroducedtheopportunitiesandchallengestheliberalizationofinterestratebringstothecommercialBanks.Inthethirdsection,theVaRmodelofinterestrateriskwasintroduced,andthedataoftheempiricalpartwaspreprocessed.EmpiricalstudyontheessayisbasedontheVaRmodel,Iselectedthefourdomesticjoint-stockBankstoShanghaitradeovernightinterestratesquotationrateastheresearchobject.ThemeanandvarianceequationsweredeterminedthroughtheAR(p)-GARCH(p,q)model,andthemaximumrisklossvalueofthefourBankswasobtainedunderthedailyinterestratefluctuation.Attheendofthearticle,ImadeasummaryandgavesomesuggestionsontheontheriskpreventionofcommercialBanks.Keywords:CommercialBankInterestRateLiberalizationRiskOfInterestRateVaRModel目录一、引言······················································1（一）选题的背景及研究意义····································11.选题背景····················································12.研究意义····················································1（二）理论基础及文献综述······································11.利率市场化的理论根据········································12.利率市场化下商业银行面临的利率风险··························23.国外研究综述················································34.国内研究综述················································3（三）研究内容与研究框架······································41.研究内容····················································42.研究框架····················································4二、利率市场化及利率市场化对银行的影响························5（一）我国的利率市场化的演进进程························...