金融开放条件下我国商业银行利率风险管理研究
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摘要
我国利率市场化改革开始于二十世纪九十年代初，利率作为资金价格将逐步由市场决定。1996年开始，利率作为中央银行调节宏观经济的杠杆，变动愈加频繁，为建国以来所罕见。利率水平的多变性和不确定性，已经严重影响了以利差作为主要利润来源的我国商业银行的经营效益。更为严重的是，由于历史的原因，我国商业银行一贯不重视对利率风险的管理，致使我国商业银行大多对利率风险缺乏足够的认识，管理技术手段落后。因此，研究分析利率风险、完善利率风险管理体系成为我国商业银行目前所面临的主要任务之一。正是出于这种考虑，本文不仅对当今最先进的利率风险管理方法和策略进行了综合性论述，而且也结合当前我国商业银行所处的特殊环境，对如何提高我国商业银行的利率风险管理水平进行了有针对性的探讨，具有极其重要的现实意义。
本文共有五个部分。第一部分主要讨论如何度量商业银行的利率风险。利率风险管理是否有效很大程度上取决于利率风险度量的准确性，因此，这部分是本文的核心内容之一。该部分重点研究了敏感性缺口模型、有效持续期缺口模型和动态模拟法这三种商业银行利率风险的度量管理技术及其应用。第二部分主要讨论了在成熟市场经济条件下，商业银行进行利率风险管理的方法、策略和工具，并对这些基本方法、策略和工具的优缺点进行了较为深入的比较分析。第三部分主要对当前我国商业银行面临的利率风险种类、成因和风险水平进行了详细研究。第四部分主要从系统组织、机构设置等方面对我国商业银行利率风险管理进行探讨，并对当前我国短期利率走势进行了预测。第五部分给出了研究结论，并提出了加强我国商业银行利率风险管理的政策建议。
China's liberalization reform of interest rates has been carried out since the beginning of 1990s. Interest rate, the price of capital, will be decided by market gradually. Since 1996, interest rate, which was used by the central bank of China as lever to adjust and control the economy, fluctuates so frequently that it has no parallel in the history since the foundation of P.R.C. With the more and more frequent adjustments, Interest Rate Risk (IRR) of the commercial banks is getting more and more serious. Uncertainty of net interest income will do harm to the benefit of commercial banks of China. More seriously, due to the historical reason, IRR management is always neglected by the commercial banks of China, which makes most of the commercial banks almost have no idea of interest rate risks. Measuring and managing techniques on IRR are poor and laggard. Therefore, studies and analysis of IRR, improving the level of IRR management become the most important and urgent tasks confronted with the commercial bank
s. Under such background, this thesis not only comprehensively introduced the most advanced IRR management methods and tactics in the western world, but also thoroughly discussed the questions that the domestic commercial banks are facing at present. It is of great importance to the commercial banks.
There are five parts in this thesis. The first part mainly discussed about how to measure the IRR of commercial bank. Whether the IRR management is effective or not is decided by the preciseness of the measurement of IRR, therefore, this chapter is one of the core contents in this thesis. Theory and application of interest sensitive gap analysis, duration gap analysis and dynamic simulation analysis are studied in this part. The second part mainly discussed about the basic methods, tactics and tools for the commercial banks to manage its IRR under the condition of mature market economy. It also made deep analyses on the advantages and disadvantages of the basic methods, tactics and tools. The third part mainly discussed types, causes and state of IRR of today's commercial banks of China. The forth part discussed the IRR management from the point of system and organization construction. Conclusions and advices on IRR
management are given at the last part.
Zou Li-ming( Finance)
Directed by Piao Ming-gen Dong-fan
本文共有五个部分。第一部分主要讨论如何度量商业银行的利率风险。利率风险管理是否有效很大程度上取决于利率风险度量的准确性，因此，这部分是本文的核心内容之一。该部分重点研究了敏感性缺口模型、有效持续期缺口模型和动态模拟法这三种商业银行利率风险的度量管理技术及其应用。第二部分主要讨论了在成熟市场经济条件下，商业银行进行利率风险管理的方法、策略和工具，并对这些基本方法、策略和工具的优缺点进行了较为深入的比较分析。第三部分主要对当前我国商业银行面临的利率风险种类、成因和风险水平进行了详细研究。第四部分主要从系统组织、机构设置等方面对我国商业银行利率风险管理进行探讨，并对当前我国短期利率走势进行了预测。第五部分给出了研究结论，并提出了加强我国商业银行利率风险管理的政策建议。
China's liberalization reform of interest rates has been carried out since the beginning of 1990s. Interest rate, the price of capital, will be decided by market gradually. Since 1996, interest rate, which was used by the central bank of China as lever to adjust and control the economy, fluctuates so frequently that it has no parallel in the history since the foundation of P.R.C. With the more and more frequent adjustments, Interest Rate Risk (IRR) of the commercial banks is getting more and more serious. Uncertainty of net interest income will do harm to the benefit of commercial banks of China. More seriously, due to the historical reason, IRR management is always neglected by the commercial banks of China, which makes most of the commercial banks almost have no idea of interest rate risks. Measuring and managing techniques on IRR are poor and laggard. Therefore, studies and analysis of IRR, improving the level of IRR management become the most important and urgent tasks confronted with the commercial bank
s. Under such background, this thesis not only comprehensively introduced the most advanced IRR management methods and tactics in the western world, but also thoroughly discussed the questions that the domestic commercial banks are facing at present. It is of great importance to the commercial banks.
There are five parts in this thesis. The first part mainly discussed about how to measure the IRR of commercial bank. Whether the IRR management is effective or not is decided by the preciseness of the measurement of IRR, therefore, this chapter is one of the core contents in this thesis. Theory and application of interest sensitive gap analysis, duration gap analysis and dynamic simulation analysis are studied in this part. The second part mainly discussed about the basic methods, tactics and tools for the commercial banks to manage its IRR under the condition of mature market economy. It also made deep analyses on the advantages and disadvantages of the basic methods, tactics and tools. The third part mainly discussed types, causes and state of IRR of today's commercial banks of China. The forth part discussed the IRR management from the point of system and organization construction. Conclusions and advices on IRR
management are given at the last part.
Zou Li-ming( Finance)
Directed by Piao Ming-gen Dong-fan
引文
1. Peter·Rose .Commercial Bank Management .McGraw-Hill.Inc .1996.112-134
2. Federal Reserve System .Loan Analysis and Risk Management .Omega Performance Corporation ,1997.223-256
3. Peter·Rose ,Casper·G·de·Vries .Commercial Bank Management .Technology Industry Press. 1998.178-200
4. R·A·Myers .Principle of Corporate Finance .Forth-edition .McGraw-Hill Inc .1991.56-99
5. S·G·Kellison .The Theory of Interest .Richard·D.Irwin.Inc .1991
6. Basel Committee on Banking Supervision .Amendment to the capital accord to incorporate market risks .basel .bank for international Settlements .1996.34-45
7. Anthony·G·C ,Jess·L .Controlling & Managing Interest Rate Risk .New York Institute of Finance Corp. 1996
8. Froot·Kenneth·A ,ect .A Framwork for Risk Management .Harward Business Review. Nov-Dec. 1994.91-102
9. 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 web site version.
10. Joel Bessis .Risk Management in Banking .John Wiley& Sons Ltd .1998.218-233
11．朱晓黄．商业银行风险管理．中国金融出版社．1995．77-98
12．巴塞尔银行监管委员会．核心原则评价方法．中国金融出版社．2000．78-101
13．宋逢明．现代商业银行管理．清华大学出版社．1996．78-121
14．詹姆斯·范霍恩．金融市场利率流量．赵智文，余良译．东北财经大学出版社．2000
15．吕耀明、林升．商业银行利率风险管理研究．经济研究[J]．1999．5．34-37
16．Box．时间序列分析预测与控制．顾岚主译．中国统计出版社．1997．45-76
17．王春峰．金融市场风险管理．天津大学出版社．2001．67-156
18．刘锡良．金融机构风险管理．西南财经大学出版社．1999
19．孙富．金融定量分析基础．中国金融出版社．1999
20．黄建锋．利率市场化与商业银行利率管理．机械工业出版社．2001．139-207
21．[美]安东尼·G·科因、罗伯特·A·克兰．利率风险的控制与管理．唐旭译．经济科学出版社．1999．281-298
22．[英]特伦斯·C·米尔斯．金融时间序列的经济计量学模型．俞卓菁．经济科学出
版社．2002
23．杨力．商业银行风险管理．上海财经大学出版社．1998
24．武捷思．中国国有商业银行行为研究．中国金融出版社．1997
25．曹德云．加强利率监管维护利率秩序稳定．中国金融[J]．1999．5
26．刘锡良．金融机构风险管理．西南财经大学出版社．1999
27．戴相龙主编．商业银行经营管理．中国金融出版社．1998
28．李焰．我国商业银行的利率风险及管理研究．财贸经济[J]．2000．9
29．洛伦兹·格利．金融工程学．经济科学出版社．1998
30．周荣芳．中央银行利率体系的形成和发展．中国金融[J]．2000．9-17
31．张海宁．利率市场化对商业银行营运的影响及其对策．中国金融[J]．2000．31-33
32．郑木清．论我国商业银行的利率风险管理战略抉择．世界经济研究[J]．2002(1)．81-85
33．王春峰．金融市场风险管理．天津大学出版社．2001．67-156
34．任建军．我国商业银行利率风险管理机制的构建．武汉金融[J]．2003(4)．27-29
35．吴世农，陈斌．风险度量方法与金融资产配置模型的理论和实证研究．经济研究[J]．1999(9)．26-31
36．弗兰克·J·法伯兹，等．金融市场与机构通论．康卫华译．东北财经大学出版社．2000．214-260
37．李社环．利率自由化．上海财经大学出版社．2000
38．陈忠阳．金融风险分析与管理研究．中国人民大学出版社．2001
39．扬子强．金融风险控制与管理．中国金融出版社．2001
40．胡维熊．利率理论与政策．上海财经大学出版社2001
41．周载群．利率政策运用与风险管理．新华出版社2000
42．陈英顺．试论利率连续下调后我国商业银行的利率风险及其防范．南开经济研究[J]．1999(6)
43．穆海权．商业银行利率风险管理：从敏感性缺口分析利率风险暴露及其后果．现代商业银行[J]．1999(2)
44．莫慧琴，王忠等．银行利率风险测度技术．当代经济科学[J]．1998(6)
2. Federal Reserve System .Loan Analysis and Risk Management .Omega Performance Corporation ,1997.223-256
3. Peter·Rose ,Casper·G·de·Vries .Commercial Bank Management .Technology Industry Press. 1998.178-200
4. R·A·Myers .Principle of Corporate Finance .Forth-edition .McGraw-Hill Inc .1991.56-99
5. S·G·Kellison .The Theory of Interest .Richard·D.Irwin.Inc .1991
6. Basel Committee on Banking Supervision .Amendment to the capital accord to incorporate market risks .basel .bank for international Settlements .1996.34-45
7. Anthony·G·C ,Jess·L .Controlling & Managing Interest Rate Risk .New York Institute of Finance Corp. 1996
8. Froot·Kenneth·A ,ect .A Framwork for Risk Management .Harward Business Review. Nov-Dec. 1994.91-102
9. 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 web site version.
10. Joel Bessis .Risk Management in Banking .John Wiley& Sons Ltd .1998.218-233
11．朱晓黄．商业银行风险管理．中国金融出版社．1995．77-98
12．巴塞尔银行监管委员会．核心原则评价方法．中国金融出版社．2000．78-101
13．宋逢明．现代商业银行管理．清华大学出版社．1996．78-121
14．詹姆斯·范霍恩．金融市场利率流量．赵智文，余良译．东北财经大学出版社．2000
15．吕耀明、林升．商业银行利率风险管理研究．经济研究[J]．1999．5．34-37
16．Box．时间序列分析预测与控制．顾岚主译．中国统计出版社．1997．45-76
17．王春峰．金融市场风险管理．天津大学出版社．2001．67-156
18．刘锡良．金融机构风险管理．西南财经大学出版社．1999
19．孙富．金融定量分析基础．中国金融出版社．1999
20．黄建锋．利率市场化与商业银行利率管理．机械工业出版社．2001．139-207
21．[美]安东尼·G·科因、罗伯特·A·克兰．利率风险的控制与管理．唐旭译．经济科学出版社．1999．281-298
22．[英]特伦斯·C·米尔斯．金融时间序列的经济计量学模型．俞卓菁．经济科学出
版社．2002
23．杨力．商业银行风险管理．上海财经大学出版社．1998
24．武捷思．中国国有商业银行行为研究．中国金融出版社．1997
25．曹德云．加强利率监管维护利率秩序稳定．中国金融[J]．1999．5
26．刘锡良．金融机构风险管理．西南财经大学出版社．1999
27．戴相龙主编．商业银行经营管理．中国金融出版社．1998
28．李焰．我国商业银行的利率风险及管理研究．财贸经济[J]．2000．9
29．洛伦兹·格利．金融工程学．经济科学出版社．1998
30．周荣芳．中央银行利率体系的形成和发展．中国金融[J]．2000．9-17
31．张海宁．利率市场化对商业银行营运的影响及其对策．中国金融[J]．2000．31-33
32．郑木清．论我国商业银行的利率风险管理战略抉择．世界经济研究[J]．2002(1)．81-85
33．王春峰．金融市场风险管理．天津大学出版社．2001．67-156
34．任建军．我国商业银行利率风险管理机制的构建．武汉金融[J]．2003(4)．27-29
35．吴世农，陈斌．风险度量方法与金融资产配置模型的理论和实证研究．经济研究[J]．1999(9)．26-31
36．弗兰克·J·法伯兹，等．金融市场与机构通论．康卫华译．东北财经大学出版社．2000．214-260
37．李社环．利率自由化．上海财经大学出版社．2000
38．陈忠阳．金融风险分析与管理研究．中国人民大学出版社．2001
39．扬子强．金融风险控制与管理．中国金融出版社．2001
40．胡维熊．利率理论与政策．上海财经大学出版社2001
41．周载群．利率政策运用与风险管理．新华出版社2000
42．陈英顺．试论利率连续下调后我国商业银行的利率风险及其防范．南开经济研究[J]．1999(6)
43．穆海权．商业银行利率风险管理：从敏感性缺口分析利率风险暴露及其后果．现代商业银行[J]．1999(2)
44．莫慧琴，王忠等．银行利率风险测度技术．当代经济科学[J]．1998(6)