利率市场化下我国商业银行的利率风险管理（终稿）(3)

This paper has four chapters. The first chapter is a foreword, introduing the background and the significance, leading out the research topic, and introducing the democratic and foreign research status and my research methods and framework. The second chapter introduces the backgound of interest rate marketization. In this chapter, I will give a retrospect and a remark on the interest rate marketization. In this chapter, I will give an analysis of the current situation of rate risk management, too. In the third chapter, I will build a some full framework for interest rate management, which was comprised of interest rate forecast、rate risk measure and rate risk control. The forth chapter are conclusions and proposals .

KEY WORDS: Interest rate marketization; Commercial banks； Rate risk management.

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西安交通大学本科毕业设计（论文）

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目 录

目 录

1 绪论 ....................................................................................................................................... 1 1.1 研究背景与意义 ........................................................................................................... 1 1.2 文献综述 ....................................................................................................................... 1 1.2.1利率市场化综述 ..................................................................................................... 1 1.2.2商业银行利率风险管理综述 ................................................................................. 2 1.3本文研究方法与框架 .................................................................................................... 4 2 我国商业银行利率风险管理现状 ....................................................................................... 5 2.1 我国利率市场化进程回顾 ........................................................................................... 5 2.2 现阶段我国商业银行利率风险管理的状况 ............................................................... 6 2.2.1利率风险管理动力不足 ......................................................................................... 7 2.2.2利率风险管理能力不足 ......................................................................................... 9 3 利率市场化进程中商业银行利率风险管理体系的构建 ................................................. 12 3.1利率预测 ...................................................................................................................... 12 3.2利率风险衡量 .............................................................................................................. 14 3.2.1利率敏感性缺口模型 ........................................................................................... 14 3.2.2持续期缺口模型 ................................................................................................... 16 3.2.3 VaR模型 ............................................................................................................... 18 3.2.4 压力测试 .............................................................................................................. 19 3.2.5各种方法的比较 ................................................................................................... 19 3.3利率风险控制与经营 .................................................................................................. 20 3.3.1表内管理 ............................................................................................................... 21 3.3.2表外管理 ............................................................................................................... 22 3.2.3其它方法 ............................................................................................................... 24 4 结论与展望 ........................................................................................................................ 26 参考文献 ................................................................................................................................ 30 附录1本文回归分析的详细过程 ........................................................................................ 32 附录2外文文献翻译 ............................................................................................................ 36 致 谢 .................................................................................................................................... 41

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西安交通大学本科毕业设计（论文）

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