商业银行利率风险管理研究
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摘要
利率风险是商业银行风险的重要来源,在经济全球化、金融自由化和金融创新不断发展的情况下,利率风险尤其突出。过去的二十年里,金融部门努力创造各种利率风险管理方法,增强利率风险管理能力,包括运用多种利率经济模型和相关的信用风险模型来进行管理。
目前我国利率市场化已经开始实施,在全面市场化之后,利率的迅速上升将会导致利率的多变性和不稳定性增加,进而严重影响到商业银行的成本和收益,而我国的商业银行并没有重视这个问题。因而在学习西方先进管理的基础上选择适合自己的管理方法,建立有效的利率风险管理系统迫在眉睫。
本论文通过研究西方商业银行的管理方法,分析了如何识别、测量、控制利率风险,进而对我国商业银行进行有效的管理。
第一章是全文的基础。首先定义了利率风险,指由于利率波动所带来的银行风险资产价值的变动。巴塞尔委员会将利率风险严格的划分为四个种类:重新定价风险、收益曲线风险、基本点风险和选择权风险。本文分析了引发利率风险的内因和外因,内因是源于资产负债结构性变动所导致的利率风险,如资产负债不匹配风险等,而外因则包括宏观经济风险和政治变化带来的风险等。
第二章主要介绍了如何估测和量度利率风险管理的工具,如持续期缺口。持续期用来衡量由于利率变化所带来的现金流价值变化的敏感度。利息的收入和支出可以准确的反映银行资产和负债的变动,所以我们可以从利息收入支出的变化来获得持续期缺口。
Interest rate risk (IRR) has always been an important source of risks to commercial banks, especially under the conditions of the global economic integration, the financial liberalization and innovation. Over the past 20 years, financial institutions have made significant efforts to establish and improve their procedures for interest rate risk management, including using economic models of interest rate and related models of credit risk.In China, liberalization reform of interest rate is ongoing. After free-upping interest rate, volatility and uncertainty of interest will seriously affect costs and earnings of commercial banks. Yet the issue has been paid little attention by China's commercial banks. It is urgent that those banks should choose management methods fitting their own and establish efficient interest rate risk management based on actual conditions by learning advanced management techniques of IRR.This thesis focuses on how to manage the IRR of China's commercial banks by studying the methods on how to recognize, measure, and control the IRR.The first chapter is the basis of this thesis. It defines the concept of IRR which is the change in a bank's portfolio value due to interest rate fluctuations. IRR can be roughly decomposed into four categories: repricing risk, yield curve risk, basis risk, and optionality (see Basel Committee on Banking Supervision (BCBS) 2003). I
analyze the reasons for producing IRR coming from internal and external banks. Internal reasons mean differences caused by the structure of assets and liabilities, such as asset-liability mismatch. External reasons include macro-economy and political changes, etc.The second chapter mainly introduces the tools, especially Duration GAP, on how to measure and evaluate IRR. Duration is a tool of approximating the sensitivity of the change in value of a set of cash flows with respect to changes in the interest rate. Since the price changes in assets and liabilities in banks are accurately reflected in interest revenues and expenses, we may obtain the duration GAP using interest revenues and expense changes instead.The third chapter analyzes the strategies of IRR management: Positive strategy and negative strategy. The former means that the bankers take some positive measures adjusting the quantity of assets and liabilities in order to change the Interest Sensitive GAP or Duration GAP to increase profits. The latter is an immunization strategy whose aim is to make a zero GAP to avoid IRR.The forth chapter mainly discusses the control of IRR. Balance management includes merger, acquisition, loan-security, short-term borrowing and long-term borrowing. Off-balance management includes forward, future, swap, option, cap, floor, collar, etc. The management can also use interest insurance to decrease the loss.The last chapter of this thesis uses some data to do empirical analysis. Based on the data from 1995 to 2002 on assets and liabilities for the top 7 largest commercial banks in China, I analyze the IRR these banks exposed by using Interest Sensitive Gap and Duration Gap Analysis, draw a conclusion that these banks confront a large amount of IRR, and then put forward some suggestions on how to construct the interest rate risk management system in China.
目前我国利率市场化已经开始实施,在全面市场化之后,利率的迅速上升将会导致利率的多变性和不稳定性增加,进而严重影响到商业银行的成本和收益,而我国的商业银行并没有重视这个问题。因而在学习西方先进管理的基础上选择适合自己的管理方法,建立有效的利率风险管理系统迫在眉睫。
本论文通过研究西方商业银行的管理方法,分析了如何识别、测量、控制利率风险,进而对我国商业银行进行有效的管理。
第一章是全文的基础。首先定义了利率风险,指由于利率波动所带来的银行风险资产价值的变动。巴塞尔委员会将利率风险严格的划分为四个种类:重新定价风险、收益曲线风险、基本点风险和选择权风险。本文分析了引发利率风险的内因和外因,内因是源于资产负债结构性变动所导致的利率风险,如资产负债不匹配风险等,而外因则包括宏观经济风险和政治变化带来的风险等。
第二章主要介绍了如何估测和量度利率风险管理的工具,如持续期缺口。持续期用来衡量由于利率变化所带来的现金流价值变化的敏感度。利息的收入和支出可以准确的反映银行资产和负债的变动,所以我们可以从利息收入支出的变化来获得持续期缺口。
Interest rate risk (IRR) has always been an important source of risks to commercial banks, especially under the conditions of the global economic integration, the financial liberalization and innovation. Over the past 20 years, financial institutions have made significant efforts to establish and improve their procedures for interest rate risk management, including using economic models of interest rate and related models of credit risk.In China, liberalization reform of interest rate is ongoing. After free-upping interest rate, volatility and uncertainty of interest will seriously affect costs and earnings of commercial banks. Yet the issue has been paid little attention by China's commercial banks. It is urgent that those banks should choose management methods fitting their own and establish efficient interest rate risk management based on actual conditions by learning advanced management techniques of IRR.This thesis focuses on how to manage the IRR of China's commercial banks by studying the methods on how to recognize, measure, and control the IRR.The first chapter is the basis of this thesis. It defines the concept of IRR which is the change in a bank's portfolio value due to interest rate fluctuations. IRR can be roughly decomposed into four categories: repricing risk, yield curve risk, basis risk, and optionality (see Basel Committee on Banking Supervision (BCBS) 2003). I
analyze the reasons for producing IRR coming from internal and external banks. Internal reasons mean differences caused by the structure of assets and liabilities, such as asset-liability mismatch. External reasons include macro-economy and political changes, etc.The second chapter mainly introduces the tools, especially Duration GAP, on how to measure and evaluate IRR. Duration is a tool of approximating the sensitivity of the change in value of a set of cash flows with respect to changes in the interest rate. Since the price changes in assets and liabilities in banks are accurately reflected in interest revenues and expenses, we may obtain the duration GAP using interest revenues and expense changes instead.The third chapter analyzes the strategies of IRR management: Positive strategy and negative strategy. The former means that the bankers take some positive measures adjusting the quantity of assets and liabilities in order to change the Interest Sensitive GAP or Duration GAP to increase profits. The latter is an immunization strategy whose aim is to make a zero GAP to avoid IRR.The forth chapter mainly discusses the control of IRR. Balance management includes merger, acquisition, loan-security, short-term borrowing and long-term borrowing. Off-balance management includes forward, future, swap, option, cap, floor, collar, etc. The management can also use interest insurance to decrease the loss.The last chapter of this thesis uses some data to do empirical analysis. Based on the data from 1995 to 2002 on assets and liabilities for the top 7 largest commercial banks in China, I analyze the IRR these banks exposed by using Interest Sensitive Gap and Duration Gap Analysis, draw a conclusion that these banks confront a large amount of IRR, and then put forward some suggestions on how to construct the interest rate risk management system in China.
引文
1.洛伦兹·格利茨(唐旭等译):《金融工程学》,经济科学出版社1998,(10)
2.(美)彼得·S·罗斯:《商业银行管理》,经济科学出版社,1999
3.孟龙,杨柳:《巴塞尔委员会<利率风险管理原则>述要》,《中国金融》1998年第1期
4.安东尼·G·科因、罗伯特·A·克兰、杰斯·莱德曼:《利率风险的控制与管理》,经济科学出版社,1999,(3)第一版
5.赵彦云主编:《金融统计分析》,中国金融出版社,2000
6.宋逢明:《现代商业银行管理》,清华大学出版社,1996
7.杨德勇:《金融效率论》,中国金融出版社,1999
8.葛奇:《商业银行利率风险管理》,中国银行纽约分行,2000
9.黄建锋:《利率市场化与商业银行利率管理》,机械工业出版社,2001
10.陈小平:《国际金融衍生市场》,中国金融出版社,1998
11.赵小菊:《银行风险管理》,上海财经大学出版社,1999,(11)
12.陈世炬、高材林:《金融工程原理》,中国金融出版社,2000,(10)
13.王芳,张宗梁:《银行业风险与防范》,经济科学出版社,1998
14.王卫东:《现代银行全面风险管理》,中国经济出版社,2001
15.胡维能:《利率理论与政策》,上海财经人学出版社,2001
16.刘义圣:《中国利率市场化改革论纲》,北京大学出版社,2002,(9)
17.谈世中:《中国金融开放的战略抉择》,经济科学文献出版社,2002,(2)
18.武剑:利率市场化与利率风险管理.《海南金融》2003(3)21-26
19.穆海权,余雪红,田怀姝:商业银行的利率风险管理.《现代商业银行》1999
20.曲士英,郭福春:利率市场化后我国商业银行利率风险分析,《企业经济》2003(:3)157-158
21.张磊:利率市场化与商业银行利率风险管理,《西安财经学院学报》2003(6)23-25
22. Giliberto. S Michael and Thomas G. Thibodear, Modeling Conventional Residential Mortgage Reginancings. Journal of Real Estate Finance and Economics. 1989
23. Laretsky, Michael. Generation of a Smooth Curve for US Treasuries. Journal of Fixed Income. 1995
24. Sorense, Eric H. and Thierry E Bollier. Pricing Interest Rate Swap Default Risk. In John D, Finnerty and Mnrtin S. Fridson, eds. The Yearbook of Fixed Income Investing. 1995
25. James C. Van Home. Financial Market Rates and Flows, Fifth Edition. Prentice Hall, Inc., 1998
26. Anthony G Cornyn, Robert A. Klein, Jess Ledennan. Controlling & Managing Interest-Rate Risk. NYIF Corp. 1997
27. Fisher, I. and Weil, R.L. (1971) "Coping with the Risk of Interest Rate Fluctuations." Journal of Business 44:408-431.
28. McGuire, William C, and Richard G. Sheehan. Assessment of Non-Maturity Deposit Behavior, Conceptual and Practical Issues. Irwin Professional Publishing. 1996
29. Principles for the Management and Supervision of Interest Rate Risk. Basel Committee on Banking Supervision. BIS website (publication) version. September, 1997
30. Principles for the Management and Supervision of Interest Rate Risk, Consultative Document, Supporting Document to the New Basel Capital Accord. Basel Committee on Banking Supervision. January, 2001. BIS website (publication) version.
31. Gerald A. Hanweck, Bernard Shull, Bernard, 1931 Shull. Interest Rate Volatility." Understanding, Analyzing, and Managing Interest Rate Risk and Risk-Based Capital. McGraw-Hill Trade. February 1, 1996
32. Gerald. O. Bierwag. Duration Analysis Managing Interest Rate Risk. Ballinger Publishing Co., 1987
33. John C. Hull. Options, Futures, and Other Derivative Securities. Third Edition. Prentice-Hall, Inc., 1997
34. Joel Bessis. Risk Management in Banking. Second Edition. John Wiley & Sons, 2002
35. Anthony M. Santomero, David F. Babbel. Financial Markets, Instruments, and Institutions. McGraw-Hill Higher Education, 1996
2.(美)彼得·S·罗斯:《商业银行管理》,经济科学出版社,1999
3.孟龙,杨柳:《巴塞尔委员会<利率风险管理原则>述要》,《中国金融》1998年第1期
4.安东尼·G·科因、罗伯特·A·克兰、杰斯·莱德曼:《利率风险的控制与管理》,经济科学出版社,1999,(3)第一版
5.赵彦云主编:《金融统计分析》,中国金融出版社,2000
6.宋逢明:《现代商业银行管理》,清华大学出版社,1996
7.杨德勇:《金融效率论》,中国金融出版社,1999
8.葛奇:《商业银行利率风险管理》,中国银行纽约分行,2000
9.黄建锋:《利率市场化与商业银行利率管理》,机械工业出版社,2001
10.陈小平:《国际金融衍生市场》,中国金融出版社,1998
11.赵小菊:《银行风险管理》,上海财经大学出版社,1999,(11)
12.陈世炬、高材林:《金融工程原理》,中国金融出版社,2000,(10)
13.王芳,张宗梁:《银行业风险与防范》,经济科学出版社,1998
14.王卫东:《现代银行全面风险管理》,中国经济出版社,2001
15.胡维能:《利率理论与政策》,上海财经人学出版社,2001
16.刘义圣:《中国利率市场化改革论纲》,北京大学出版社,2002,(9)
17.谈世中:《中国金融开放的战略抉择》,经济科学文献出版社,2002,(2)
18.武剑:利率市场化与利率风险管理.《海南金融》2003(3)21-26
19.穆海权,余雪红,田怀姝:商业银行的利率风险管理.《现代商业银行》1999
20.曲士英,郭福春:利率市场化后我国商业银行利率风险分析,《企业经济》2003(:3)157-158
21.张磊:利率市场化与商业银行利率风险管理,《西安财经学院学报》2003(6)23-25
22. Giliberto. S Michael and Thomas G. Thibodear, Modeling Conventional Residential Mortgage Reginancings. Journal of Real Estate Finance and Economics. 1989
23. Laretsky, Michael. Generation of a Smooth Curve for US Treasuries. Journal of Fixed Income. 1995
24. Sorense, Eric H. and Thierry E Bollier. Pricing Interest Rate Swap Default Risk. In John D, Finnerty and Mnrtin S. Fridson, eds. The Yearbook of Fixed Income Investing. 1995
25. James C. Van Home. Financial Market Rates and Flows, Fifth Edition. Prentice Hall, Inc., 1998
26. Anthony G Cornyn, Robert A. Klein, Jess Ledennan. Controlling & Managing Interest-Rate Risk. NYIF Corp. 1997
27. Fisher, I. and Weil, R.L. (1971) "Coping with the Risk of Interest Rate Fluctuations." Journal of Business 44:408-431.
28. McGuire, William C, and Richard G. Sheehan. Assessment of Non-Maturity Deposit Behavior, Conceptual and Practical Issues. Irwin Professional Publishing. 1996
29. Principles for the Management and Supervision of Interest Rate Risk. Basel Committee on Banking Supervision. BIS website (publication) version. September, 1997
30. Principles for the Management and Supervision of Interest Rate Risk, Consultative Document, Supporting Document to the New Basel Capital Accord. Basel Committee on Banking Supervision. January, 2001. BIS website (publication) version.
31. Gerald A. Hanweck, Bernard Shull, Bernard, 1931 Shull. Interest Rate Volatility." Understanding, Analyzing, and Managing Interest Rate Risk and Risk-Based Capital. McGraw-Hill Trade. February 1, 1996
32. Gerald. O. Bierwag. Duration Analysis Managing Interest Rate Risk. Ballinger Publishing Co., 1987
33. John C. Hull. Options, Futures, and Other Derivative Securities. Third Edition. Prentice-Hall, Inc., 1997
34. Joel Bessis. Risk Management in Banking. Second Edition. John Wiley & Sons, 2002
35. Anthony M. Santomero, David F. Babbel. Financial Markets, Instruments, and Institutions. McGraw-Hill Higher Education, 1996