利率市场化条件下我国中小商业银行的利率风险管理.doc

摘要：利率市场化是我国建立社会主义市场经济体制的重要环节，是我国金融改革的重要内容。中国的利率市场化的总体思路是先货币市场和债券市场利率市场化，后存贷款利率市场化。2013年金融机构贷款利率管制的全面放开，标志着我国利率市场化改革进入了一个新的阶段。利率全面放开在给我国商业银行带来自主定价权和众多机遇的同时，也会带来诸多风险和挑战。由于我国中小商业银行，其利率风险管理意识不强，存贷款期限失衡相对较为严重。随着利率逐步市场化，利率风险将逐渐成为最主要的风险，这必然将对中小商业银行的经营收益和净市场价值形成极大的冲击。本文以利率市场化为背景，分析了我国中小商业银行面临的风险，对国际上先进的利率风险度量模型进行了全面的优劣比较分析，并对它们在我国中小商业银行利率风险管理中的适用性进行了讨论，最终提出了完善中小银行利率风险管理的合理建议。

关键词:商业银行 利率风险 利率敏感性缺口 持续期缺口 VAR 

Abstract: Interest rate liberalization is an important link in the process of building socialist market economic system and it is an important content of China’s financial reform. The overall plan of China's interest rate marketization is the money market and bond market interest rate marketization first,then the deposit and lending interest rate marketization. In 2013, the full liberalization of financial institutions lending rate control marks that China's market-oriented interest rate reform has entered into a new stage. At the same time, we should realize the full liberalization brings to commercial banks independence in pricing interest rate and a large number of opportunities ,but brings a lot of risks and challenges. Because imbalance between lending and deposit deadline is relatively serious in our country’s small and medium-sized commercial banks.The interest rate risk management consciousness is not strong.As the liberalization of interest rate, the interest rate risk will gradually become the main risk. Interest rate risk is bound to affect operating income and net market value of small and medium-sized commercial banks. Under the background of interest rate liberalization,the paper analyzed the risks that the small and medium-sized commercial banks are faced with and compared three main interest rate risk measuring models and finally concluded which is the 

best choice of China’s interest rate risk management at present. At last, the article gave some corresponding suggestions.

Key words: Commercial banks  Interest rate risk  Interest rate sensitivity gap   Duration gap  VAR