Research On The Interest Rate Derivatives Risk Management Of The Commercial Banks In China

The intensification of financial globalization and the deepening of the interest rate marketization reform have accelerated the development of Chinese interest rate derivatives market.The development of interest rate derivatives market is of great significance to Chinese financial system.Chinese commercial banks are as the main body of interest rate derivatives market in China.The use of interest rate derivatives and their risk management will play a vital role in whether they can effectively participate in the competition among the same industry.From the international point of view,The interest rate derivatives markets in developed countries are basically relatively mature after the completion of interest rate marketization and forrm a more rigorous and complete management system.In our country,the banking industry has been enjoying the dividends brought by interest rate control.The motivation of innovative interest rate derivatives is insufficient.The number of transactions is not only small,but also very inactive.At present,the development of interest rate derivatives in Chinese commercial banks is far from the strong hedging demand of commercial banks,and doesn't meet the level of interest rate marketization perfectly.The awareness and means of interest rate derivatives risk management are far from meeting the needs of the development of the financial situation,and there is a lack of a perfect system of interest rate derivatives risk management.The commercial banks are very limited in the development of interest rate derivatives and the construction of basic trading system and the perfection of laws and regulations,etc.The risk management of interest rate derivatives,whether strategy,technology or method,is still behind the maturity and ease of developed countries.Especially the application of VaR and CVaR model is notably unsatisfactory.So how to continuously innovate and develop interest rate derivatives' market,and how to manage their risks scientifically and effectively,and how to establish a mature and complete risk management system of interest rate derivatives have become the problems that Chinese commercial banks must study in depth and urgently need to solve.Comparing,referring to and drawing lessons from international experience,and combining with the research methods of finance,this dissertation studies the characteristics and functional advantages of interest rate derivatives,the formation mechanism and general transmission path of the interest rate derivatives' risk in commercial banks which is based on a macro,multi-level perspective,the theories of interest rate derivatives and their risk management of Chinese commercial banks.It uses financial theory,mathematical statistics,econometric analysis and other means and methods to analyze the VaR and CVaR risks of interest rate derivatives on the market,and the impact of the CVaR risk on the spillover effect to stock return of the commercial banks.It aims at emphasizing the importance of interest rate derivatives risk management of commercial banks in China through theoretical and empirical research on interest rate derivatives risk management of commercial banks in China,and analyzing the main problems which have existed in the interest rate derivatives risk management of commercial banks in China.On this basis,it puts forward the corresponding solutions.The specific research content is divided into seven parts:The first part is the introduction.From the point of view of theoretical reference,it mainly elaborates and explains the background and research purpose of the problem,the research status of relevant literature,the research ideas,methods,object definition,innovation and shortcomings of this dissertation.The second part is to introduce the relevant models and methods of interest rate derivatives risk management.It mainly introduces the VaR,CVaR risk measurement theory model and estimation methods,the vector autoregressive model,the pricing model of interest rate derivatives.It lays the foundation of the model,method basis in this dissertation.The third part is about the development and problems analysis of interest rate derivatives in commercial banks:including the definition,classification,characteristics and function of interest rate derivatives;the development of foreign interest rate derivatives and the experience of interest rate derivatives risk management in commercial banks;the development of domestic interest rate derivatives and the current situation of interest rate derivatives risk management in commercial banks,and the existing problems.The fourth part is the theoretical analysis of the risk management of interest rate derivatives in Chinese commercial banks on the basis of the third part,including the causes and the analysis of the general transmission path in commercial banks' interest rate derivatives risk.It puts forward the basic methods of identifying,estimating,evaluating,managing the market risk,operational risk and credit risk of interest rate derivatives according to the actual situation of the use of interest rate derivatives in Chinese commercial banks.The fifth part is an empirical analysis on the risk of the interest rate swaps which represents interest rate derivatives among Chinese commercial banks,based on the basis of the previous theoretical discussion.It was mainly based on the relevant public data which was collected.Using Matlab software,through VaR and CVAR theoretical models and using a variety of different methods,it estimated the market VaR and CVAR risks generated in the application of interest rate derivatives.It calculated the VaR and CVAR risk values of interest rate derivatives represented by interest rate swaps in the market,carried out back tests and compared the advantages and disadvantages of various methods.It aimed at concluding that Copula-GARCH-EVT-CVaR method model was the most suitable for Chinese commercial banks to establish the market risk measurement,stress testing and optimal asset allocation system of interest rate derivatives.At the same time,it gave the corresponding calculation process of the optimal asset allocation of interest rate derivatives'market risk of commercial banks.It realized the CVaR risk management and maximized the benefit of interest rate derivatives.The sixth part is to import the CVaR risks values of four interest rate swaps into Eviews software.the CVaR risks are calculated by Copula-GARCH-EVT-CVaR method model in the fifth part.This part empirically analysed the overflow effect of CVaR risk of interest rate derivatives on the stock price returns of Chinese commercial banks through vector autoregressive model,and drew the conclusion that CVaR risk of interest rate derivatives is negatively correlated with the stock price returns of commercial banks,that is to say,reducing CVaR risk of interest rate derivatives can increase the stock price returns of commercial banks.It aimed to confirm the practical significance and importance of Chinese commercial banks in managing the risk of interest rate derivatives.The seventh part is the conclusion,countermeasures and research prospects.It mainly summarizes the results of the previous theoretical and empirical analysis.It draws the corresponding conclusion.Finally,by comparing with the international advanced management experience,according to the existing problems and conclusions,the dissertation puts forward the corresponding risk management countermeasures,the establishment of risk management system,and the research prospects.