摘要随着我国利率市场化进程步伐的加快，我国金融市场处于更加自由化的环境之中，商业银行在应对利率波动时也有自主权，但是利率市场化的放开是一把双刃剑，对我国商业银行的发展也带来了相应的风险，其中利率风险带来的冲击是巨大的。本文在分析利率市场化背景下的有关商业银行利率风险管理的理论基础之上，来研究利率市场化对商业银行的双面影响，剖析商业银行利率风险管理的现状。除此之外，本文将对我国商业银行的利率风险做定量研究，选取了上海银行间同业拆借利率作为研究对象，并建立 GARCH 模型进行实证分析,计算不同置信水平下的VAR值，结果表明我国的利率波动受到外部冲击的影响较大，并且具有长期记忆性，利率波动具有持久性，在短期内难以消除。本文从商业银行利率风险管理的内部防范措施和金融市场的外部策略建议这两方面给出我国商业银行利率风险管理对策建议。51343

毕业论文关键词：利率市场化；GARCH模型；VAR；利率风险管理

In the Process of Interest Rate Marketization of Commercial Banks Interest Rate Risk Management

Abstract

With the acceleration the process of interest rate marketization in our country, financial markets are in a more liberal environment, commercial banks when dealing with the interest rate fluctuations also have autonomy. But the liberalization of interest rate marketization is a double-edged sword, it also brings our country commercial banks corresponding risk, and the impact of interest rate risk is huge. Based on the analysis of interest rate marketization of commercial bank interest rate risk management of related theoretical basis, this thesis will study the interest rate marketization of the positive and negative effects of commercial banks, and analyse the current situation of commercial bank interest rate risk management. In addition, in order to make a quantitative study on the interest rate risk of commercial Banks in our country, this article selects the Shanghai interbank offered rate as the research object, and to establish a GARCH model to carry on the empirical analysis, and to calculate VAR value under different confidence level, the results show that our country interest rate fluctuations are greatly influenced by the external shocks, and a long-term memory, interest rate volatility is persistent, in the short term is difficult to eliminate. This article from the commercial bank interest rate risk management measures to prevent the internal and external strategy suggested the two aspects of financial market our country commercial bank interest rate risk management countermeasures and Suggestions are given.

Key Words: Interest rate marketization;  GARCH model;  VAR;  Interest rate risk management

目  录

摘要 Ⅰ

Abstract Ⅱ

目录 Ⅲ

一  引言 1

二  利率市场化和商业银行利率风险的理论分析 1

（一）利率市场化的含义和进程 1

（二）我国利率市场化对商业银行的影响 3

（三）商业银行利率风险管理的度量方法 4

三  我国商业银行利率风险管理的现状 5

（一）认识浅薄，利率风险受忽视 5

（二）制度缺乏，防范机制不完善 5

（三）防范手段匮乏，方法模式化 5

（四）避险工具不足，条件短缺