A Practical Research On Interest Risk Management Using Off-balance-sheet Instruments In Commercial Bank Of China

This article analyzed the condition which the commercial bank of the developed country used the interest rate derivatives to carry on interest rate risk management, unified our country the actual situation, pointed out the restriction factor that our country commercial bank utilized the interest rate derivatives to carry on the interest rate risk management, and produced some policy . This paper consists of eight parts.First chapter is the introduction, elaborated the research background, significance, technique and frame of this article and the related concept which appears to this article.Chapter two reviewed the interest rate risk management theory as well as the correlation research literature. This chapter elaborated the interest rate risk management property debt table theory and the outside table theory, elaborated theory principle in the commercial bank interest rate risk management. Simultaneously, elaborated the application of the VAR in the commercial bank interest rate risk management and the research situation in our country.Chapter three elaborated utilization of the interest rate derivatives in interest rate risk management, and analyzed the condition which the commercial bank of the developed country used the interest rate derivatives to carry on interest rate risk management.Chapter four reviewed the advancement of our country interest rate market reform and the existence question, elaborated the interest rate risk in our country commercial bank as well as the reason, and analyzed interest rate risk management condition of our country commercial bank at present.Chapter five elaborated the restraint condition in detail which our country commercial bank uses the interest rate derivatives to carry on the interest rate risk management. mainly includes, our country have not an perfect transaction market for interest rate derivatives, so the commercial bank has lacked the enough interest rate derivatives to hedge the interest rate risk; Lack of benchmark interest rate in our country, it is difficult to price for the interest rate derivatives.Chapter six analyzes the choice of the zero-risk interest rates in the calculation of the fair price off-balance-sheet instruments and produces the policy that our country commercial bank uses the interest rate derivatives to carry on the interest rate risk management. Mainly include: the measure of vigorously developing our country interest rate derivatives market and cultivating Treasury bond yield rate as the benchmark interest rate.Chapter seven is the brief conclusion.