利率至今千年历史。它即是一定时期内利息额与借贷资金额的比率，也决定 企业资金成本高低、企业筹资、投资能力。因此在经营活动中起着十分重要的作 用。利率风险是现今所有商业银行、金融企业所面临的风险。由于我国长久之前 利率是由中央银行管控，银行业对于利率敏感性不高。但是 2015 年底我国利率 市场化正式完成，银行业对于利率风险的测度、管控、防范都迫在眉睫。通过查 询中国建设银行年报发现自 2013 年后，我国银行业已经面临着利差逐年收窄， 利润下降，经营困难的现状。利率风险在利率市场化进程中主要面临包括借贷金 额期限错配和基差风险等风险，市场化后还面临着期权风险、收益率风险等影响 其经营能力的风险。引用创新的利率风险管理方式已经成为银行业克服利率风 险，从容面对未来利率大幅波动的解决方式。国债期货早已在发达国家成为管理 利率风险的常用衍生工具，但是由于我国失败的试点惨痛经历，关于国债期货的 研究仍凤毛菱角依然停留在总结失败的经验教训上。随着利率市场化深入推进， 人民币国际化下商业银行不得不开放资本交易账户等前提下，逐步放开的国债期 货产品也为商业银行提供有效的管理利率风险工具。本文在这样的大背景下进行 分析和探究。 全文的构思如下：通过查阅文献，发现并学习国内外已有的详尽利率风险管 理理论、利率衍生品运用实践。运用梳理出的利率风险管理方法，国债期货风险 对冲方法，创新运用国债期货管理银行利率风险。其具体过程是首先整理归纳国 内外关于利率风险、利率风险管理、利率衍生品国债期货等相关详细文献。其次 是通过利率期限理论模拟出未来的利率期限结构，为之后实证模拟过程中准确度 量利率风险打下基础。通过验证国债期货与国债现货之间的相关性，为计算国债 期货“久期、凸度”寻找替代品。做出必要的假设前提后，紧接着根据商业银行 资产负债久期管理理论，模拟其运用国债期货的交易活动主动调节资产负债久 期。采用定性与定量结合的方式来观测商业银行可以通过国债期货管理利率风险 的效果。最后根据之前实践模拟操作的结果，详细分析我国商业银行开展国债期 货业务的优势，面对过程中的不足和缺点提出了自己的观点。 关键词：利率风险管理；国债期货；F-W 久期；凸度II Abstract The interest rate has been a thousand years old. It is the ratio of the amount of interest to the amount of borrowed funds in a certain period of time, and it also determines the cost of capital, the ability of enterprises to raise funds, and invest. Therefore, it plays a very important role in business activities. Interest rate risk is the risk faced by all commercial banks and financial companies today. Since China’s long-term interest rate was controlled by the central bank, the banking industry is not sensitive to interest rates. However, at the end of 2015, China's interest rate marketization was officially completed, and the banking industry's measurement, control and prevention of interest rate risk are extremely urgent. After consulting China Construction Bank's annual report, it is found that since 2013, China's banking industry has faced the current situation of narrowing spreads, falling profits and difficult operations. In the process of interest rate marketization, interest rate risk mainly faces risks such as maturity of borrowing amount maturity and basis risk. After marketization, it also faces the risk of affecting its operating ability, such as option risk and yield risk. The reference and innovative interest rate risk management approach has become a solution for the banking industry to overcome interest rate risk and calmly face large fluctuations in future interest rates. Treasury bond futures have long been a common derivative of interest rate risk in developed countries, but due to the painful experience of China's failed pilots, the research on treasury bonds futures still stays in the lessons of failure. With the deepening of interest rate marketization, under the premise of the internationalization of the RMB, commercial banks have to open their capital trading accounts, and the gradual liberalization of treasury futures products also provides commercial banks with effective tools for managing interest rate risk. This article analyzes and explores in this context. The full text is conceived as follows: Through reviewing the literature, we find and learn the detailed interest rate risk management theory and the practice of interest rate derivatives. The use of the interest rate risk management method, the treasury bond futures risk hedging method, and the innovative use of treasury bonds futures to manage the bank interest rate risk. The specific process is to first sort out relevant domestic and foreign related detailed literature on interest rate risk, interest rate risk management, and interest rate derivatives government bond futures. The second is to simulate the future term structure of interest rates through the term theory of interest rates, and lay the foundation for accurate measurement of interest rate risk in the empirical simulation process. By verifying the correlation between treasury bond futures and the spot of national debt, we are looking for alternatives for calculating the“long-term and convexity”of treasury bonds futures.After making the necessary assumptions, it is based on the commercial bank's asset-liability management theory to simulate the trading activities of treasury bonds and actively adjust the duration of assets and liabilities. The combination of qualitative and quantitative methods is used to observe the effect of commercial banks on managing interest rate risk through treasury bonds. Finally, according to the results of the previous practice of simulation, the paper analyzes the advantages of China's commercial banks in the development ofIII treasury bonds futures business, and puts forward their own views in the face of the shortcomings and shortcomings in the process. Keywords: interest rate risk management; Treasury futures; F-W duration; convexity目 录 摘要.............................................................. Ⅰ ABSTRACT.......................................................... Ⅱ 第 1 章 引 言...................................................... 1 1.1 选题背景 ....................................................1 1.1.1 利率市场化改革.........................................1 1.1.2 国债期货的再次推出.....................................1 1.1.3 商业银行在债券市场占主体...............................1 1.2 研究意义 ....................................................2 1.1.2 理论意义...............................................2 1.2.2 现实意义...............................................2 1.3 国内外研究现状 ..............................................3 1.3.1 国外文献综述...........................................3 1.3.2 国内研究现状 ...........................................4 1.4 研究方法 ....................................................6 1.5 研究创新点 ..................................................7 第 2 章 商业银行利率风险管理的相关方法.............................. 8 2.1 利率风险分类 ................................................8 2.1.1 重新定价风险...........................................8 2.1.2 基差风险...............................................8 2.1.3 收益率曲线风险.........................................8 2.1.4 期权性风险.............................................8 2.2 利率期限结构理论.............................................9 2.2.1 预期理论...............................................9 2.2.2 分割市场理论...........................................9 2.2.3 流动性溢价理论.........................................9 2.2.4 期限优先理论..........................................10 2.3 商业银行利率管理理论 .......................................10 2.3.1 债券久期与凸性........................................10 2.3.2 利率敏感性缺口分析....................................12 2.3.3 久期和凸度缺口分析....................................13 2.4 国债期货套期保值法 .........................................13 2.4.1 国债期货的现货—最便宜可交易债券（CTD）...............13 2.4.2 修正久期法............................................14 2.4.3 基点价值法............................................14 第 3 章 我国商业银行运用国债期货管理利率风险现状分析 ............... 15 3.1 我国国债期货发展状况与美国对比 .............................15 3.1.1 国债期货在我国的落实情况 ..............................15 3.1.2 国债期货在美国发展应用情况............................153.2 国债期货管理利率风险现状 ...................................15 3.2.1 商业银行利率风险及成因分析............................15 3.2.2 商业银行运用衍生产品现状..............................18 3.3 商业银行参与国债期货市场的思量 .............................19 3.3.1 中国商业银行使用利率衍生品的必要性....................19 3.3.2 中国商业银行参与国债期货市场的优势....................20 第 4 章 国债期货价格对利率敏感性实证分析........................... 21 4.1 国债期货价格与 CTD 价格相关性研究 ...........................21 4.2 实证过程 ...................................................21 4.2.1 实证分析说明..........................................21 4.2.2 描述性统计............................................21 4.2.3 单位根检验............................................22 4.2.4 协整检验..............................................22 4.2.5 格兰杰因果检验........................................23 4.2.6 模型修正..............................................24 第 5 章 运用国债期货管理银行利率风险实证分析 ....................... 25 5.1 息票剥离法确定利率期限结构 .................................25 5.2 模拟商业银行对冲利率风险的实证研究 .........................29 5.2.1 实证分析说明..........................................29 5.2.2 计算资产负债 F-W 久期缺口和凸度缺口....................31 5.2.3 运用国债期货资产负债久期与凸度缺口调节为 0 ............35 5.3 实证结果分析 ...............................................36 第 6 章 对策建议................................................... 37 6.1 适度扩大国债期货交易参与范围 ...............................37 6.2 改善国债期货的交易机制 .....................................37 6.3 构建有效的国债期货市场 .....................................38 6.4 建立完善的利率风险管理模型及利率衍生品定价机制 .............39 6.5 建立大数据平台，为利率风险管理模型提供数据和信息支持 .......40