Research On Interest Rate Derivatives And Interest Rate Risk Management Of Commercial Banks

From the era of agricultural seed lending to the industry civilization bond credit,interest rate has a history of several thousand years.The interest rate plays an important role in the business activities.The interest rate risk management is an enduring topic.Interest rate risk is one of the main market risks faced by banks and enterprises all over the world.With the completion of China's interest rate marketization at the end of 2015,banks are more sensitive to interest rate changes.The prevention and control of interest rate risk has become the top priority of bank risk management.According to classification of interest rate risk by the Basel Committee,the banking industry is faced with the repricing risk,basis risk,yield curve risk and option risk.In the process of marketization of interest rates,China's banking industry is facing the focus on repricing risk and basis risk.After the interest rate marketization,option risk and yield curve risk will gradually emerge,as banks have to pay attention to the risk factors.Since 2006,China's interest rate marketization has entered the medium term,China's banking industry has been faced with the spread narrowed year by year,profits decline,operating difficulties,increased interest rate risk situation.Seeking to transform the operating structure and successfully deal with the future of the frequent interest rate fluctuations in the financial market,and the introduction of advanced interest rate risk management technology have become one of the important tasks that China's banking industry to deal with interest rate risk.The specific process of interest rate risk management mainly includes selecting the market benchmark interest rate,constructing the appropriate interest rate term structure to forecast the interest rate,measuring the interest rate risk,measuring and evaluating the bank's interest rate risk exposure.At last either by means of the adjusting the balance sheet to control the exposure,or using interest rate derivatives to hedge for positions that are more difficult to adjust or difficult to measure.Interest rate derivatives have already been widely used in the international banking and other enterprises as the risk of hedging instruments.Innovation,convenience and low cost are why the interest rate derivatives as the preferred means of commercial bank interest rate risk management.China's banking industry has long enjoyed the dividend brought by interest rate control,so the interest rate risk management techniques and methods of China's banking industry have a large gap with the developed countries.The current interest rate risk sensitivity gap is still the main means to measure interest rate risk in China's banking industry.For the duration gap model,VaR model,scenario analysis and stress test are just unsatisfactory in terms of technology and application,and do not meet the concept of modern bank management.From the perspective of hedging of interest rate derivatives,there is still limited for the commercial banks which have no more choice to choose the interest rate derivatives.Interest rate swap is the most important derivative of our current transactions,other derivatives trading volume is small and the transaction is not active,and have too much control.So interest rate derivatives can not meet the hedging needs of banks and enterprises.In the case of China's financial market is not yet mature,the development of interest rate derivatives is relatively in slow pace.The interest rate marketization process and the development of interest rate derivatives failed to achieve the perfect fit.The two steps are inconsistent.However,this situation is not undesirable,relative to other interest rate marketization countries,China at least in the interest rate marketization process did not cause a large number of banking failures,financial turmoil and interest rate derivatives chaos and difficult to control.Cautious attitude makes banks and interest rate derivatives market developed very well in a more peaceful environment.Throughout the other interest rate marketization countries,after the completion of the marketization of interest rates,the interest rate derivatives market development has been relatively mature,from the trading system construction,derivatives selection,legal and regulatory constraints have formed a mature system.These are urgent tasks need to be achieved in China.This paper is based on the increasing interest rate risk caused by the interest rate marketization.Firstly measured the current interest rate risk factor of China's commercial banks,the cultivation of the market benchmark interest rate of SHIBOR were investigated,and conduct empirical analysis on the use of interest rate derivatives on banks' interest rates risk hedging effect,performance and interest rate risk exposure.These researches are also the main innovation and contribution of this article.Based on the above analysis,this paper studies the following topics:First,a comprehensive review on related literature of the banking industry interest rate risk management has been done,sorting out the commonly used method of interest rate risk management in international banking.Using the interest rate derivatives hedging as a perspective to explore the impact of interest rate derivatives on banks.This paper analyzes the present situation of interest rate risk measurement,evaluation and supervision of commercial banks in China,also analyzes the principle of hedging of interest rate derivative products,At last summarizes the current situation of interest rate derivatives market in China,and the risk management of China's banking interest rate and the future development trend of interest rate derivatives market are discussed.Second,based on 2006 to 2015 years' data of banks and empirical analysis model commonly used abroad,the regression values of the interest rate coefficient of China's listed banks are obtained.The current benchmark interest rate of SHIBOR is verified.The relationship between the use of derivatives and the risk factor is studied,and the holding derivatives on hedging effects are also examined.Third,according to the theory of value premium of corporate finance,this paper discusses the influence of interest rate derivatives on hedge the interest rate risk of the bank,and whether it has an impact on the value of the listed banks.The empirical results show that the interest rate derivatives can improve the market value of the banking industry.So use the interest rate derivatives not only can hedge the risk,but also can improve the performance of the market value of banks in the current situation where the interest rate fluctuates frequently,the interest rate risk increases largely and the spread is seriously narrowed.However,these empirical results still need to be further studied and have more comprehensive consideration in the future.Fourth,the interest rate sensitivity gap has been the most important and simple interest rate risk measure in the banking industry.In this paper,we give a derivation of the interest rate sensitivity optimal gap model,so that the banking industry can refer to it.Gaps management by using methods of adjusting balance sheet has higher costs.Using interest rate derivatives to hedge the bank's interest rate sensitivity gap is the bank's preferred choice.This paper verifies the relationship between interest rate derivatives and interest rate sensitivity gap,so as to provide comparative analysis and reference for further research.It also provides policy recommendations on the use of interest rate derivatives to hedge interest rate risk gap.Finally,this paper summarizes the development of interest rate risk management and interest rate derivative market of commercial banks,and puts forward the idea of cultivating SHIBOR to become the market benchmark reference rate.Improving the interest rate risk management system of commercial banks,improving the varieties and development mechanism of interest rate derivatives,the construction of laws and regulations,government financial supervision and other aspects of the measures are also proposed.