兰州大学机构库 >数学与统计学院
徽商银行利率风险度量与免疫策略研究
Alternative TitleThe Research in Interest Rate Risk Measurement
田程荣
Thesis Advisor马雪彬
2012-05-26
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword徽商银行 利率风险 度量 免疫策略
Abstract本文共分为五个部分。第一部分阐述了论文的研究背景和意义、研究思路及利率风险度量与免疫的相关研究综述;第二部分概述了商业银行利率风险相关理论,即利率敏感性缺口分析理论和持续期缺口分析理论,为后文的研究分析奠定理论基础;第三部分从业务和经营绩效两个角度概述了徽商银行的发展慨况,为后文的实证分析奠定基础;第四部分运用利率敏感性缺口分析法和持续期缺口分析法对徽商银行的利率风险进行了度量,结论都表明徽商银行存在较大的由资产负债结构不匹配而产生的利率风险;第五部分运用广义组合的持续期和凸度缺口免疫模型得到了徽商银行的利率风险免疫方案,据此提出了具体的免疫方案和策略建议。
Other AbstractThis article is divided into five parts. The first part describes the research background, research significance and ideas and the review of interest rate risk measurement and immunology theory; The second part provides an overview of the interest rate risk theory of commercial banks, that are interest rate sensitivity gap analysis theory and the duration of the gap theory,the theoretical basis for later analysis; With two aspects of the business of the assets and liabilities and operating profit , the third part outlines the development generous conditions of the huishang bank, laying the foundation for the later empirical analysis; the fourth part uses interest rate sensitivity gap analysis and duration gap analysis to measure interest rate risk of the huishang bank, concluding that the huishang bank existing the structure of assets and liabilities not matching due to the interest rate risk arising; The part V uses generalized portfolio interest rate risk immunization programs duration and convexity gap immunization model, and demonstrate their effective control of the interest rate risk of huishang bank.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225281
Collection数学与统计学院
Recommended Citation
GB/T 7714
田程荣. 徽商银行利率风险度量与免疫策略研究[D]. 兰州. 兰州大学,2012.
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