利率市场化与我国商业银行利率风险管理研究

山西财经大学硕士学位论文利率市场化与我国商业银行利率风险管理研究姓名：常宏申请学位级别：硕士专业：金融学指导教师：杨有振2006-09-30IIIAbstractInterestratesarethepriceofmoneyandatthecoreoffinancialfactors.Withtheconstantdeepeningofthemarket-orientedreformofinterestrates,theinterestratesformationmechanismareundergoingfundamentalchanges.Theincreasingdegreeofliberalizationaboutinterestratesisgoingupdaybydayandinterestratefluctuationsisobviouslystronger.Studyingthecourseofthemarket-orientedinterestratesreform,wecanfindoutthattheliberationofinterestratesofcommercialbanksarisesofrisk.Thehealthyandstabledevelopmentofcommercialbanksinthemarket-orientedinterestratesreformenvironmentcannotleavetheeffectiveinterest-rateriskmanagement.WithChina'ssustainedandstabledeveloping,themarket-orientedinterestratereforminChinawillhaveanall-roundimpactoncommercialbanksofmanagement.Inthecourseofmarket-orientedinterestratesenvironment,ourinterestrateriskhighlighted.China'scommercialbanksalongwiththedevelopmentofthemarket-orientedinterestratereform,interest-rateriskmanagementispaidmoreattention.Tostudytheriskofinterest-rateandthemanagementofinterestraterisk,toexploretheinterest-rateriskmanagementtechniqueswhichissuitableforChinese,tostrengthenthecommercialbanks'sinterest-rateriskmanagement,andtoactivelyadapttothemarket-orientedinterest-rateenvironmentareimportanttoacertainextent.Thisthesisanalysesthereformofmarket-orientedinterestrates,introducesthecontentsandthetheoryofthemarket-orientedinterest-rates,andpointsoutthatthemarket-orientedinterest-rateIIIreformforChina'scommercialbanksisnotonlyanopportunitybutalsoachallenge.Thethesisoutlinesthemarket-orientedinterestratereformandanalysestheinterest-rateriskandinterestrateriskmanagementofthecommercialbank.Studyingtheactualmanagementofinterest-rateriskshowsinadequateofChina'scommercialbanks.Theinterestrate-riskManagementinWesterncountrieshasmorethan30years'developmenthistoryandtheinterestrateriskmanagementtheoryandtechniquesareadvanced.Referringtothemanagementofinterest-rateriskofforeigncountriesandcombiningwiththeactualsituationofthereformofinterest-rateinChina,toselecttheappropriateriskmanagementtechniques.Inviewoftheprocessofmarket-orientedinterestratesofthenear-term,medium-termandlong-termstage,thethesisgivesdifferentstrategies.Keywordsliberalizationofinterestratesinterestrateriskthemanagementofinterest-rateriskcommercialbank121liberalizationofinterestrates(),deregulationofinterestrates()2199834567MVPT81991199699;10123111980451198219863519853198719912002501980198012234131986201997(1)200020059.232%270%95%20-30%30%20%70%20041415.62%()()1999620031230%50%15()(199620063.1)200221619963.12004200517200420053.21019962003199619971998402468101214181123119003.3A=/B=/199920012080()2122802320708090VAR[()()==/:111;;4.1244.10101=0=1193811(1) (1)nttnnttntprDpr==⋅+=+∑∑1Dtp25PV1PV=(1)ntttpr=+∑211(1)nttttpdPVdrr+=-⋅=+∑31311(1)1ntttpdPVDdrrr==-××++∑4241dPVdrDPVr=-⋅+55dPVPV1drr+D:2()12112233...AAAAAAAAAnnDXDXDXDXD=⋅+⋅+⋅++⋅112233...LLLLLLLLLnnDXDXDXDXD=⋅+⋅+⋅++⋅26ADLD5.1AAAPVrDPVrΔΔ=-+6.1LLLPVrDPVrΔΔ=-+7APVLPV67A1LLALAAPVPVPVrDDPVPVr⎛⎞Δ-ΔΔ=--⋅⎜⎟+⎝⎠8ALPVPVNWΔ-Δ=ΔLALAPVDDPV-GD81GANWrDPVrΔΔ=-⋅+994.24.2==0=27()()1pptVARaΔΔ=-()ptΔΔtΔaVAR1a-uaaaVARE(X)E(S)(2)VARYOXf(x)28a:b29302()GDLALAPVDDPV-ADLDAPVLPV()()3132()/3601/360NSAdMSd×-×=+×:MNSAdSASA,(3)4.2AB33APmP0BPmPmCDP0P0PmYOXP0BYOXDPmYOXCYOXP0A34903536373839VAR40414243100444546344720002103108484920052