Research On Interest Rate Risk Management Of Chinese Commercial Bank

With the deepening of Chinese economic system reform and financial system reform, interest rate marketization has been pushed forward with an accelerating speed. According to foreign countries' experience, the interest rate will rise greatly and become more fluctuating after their interest rate reformation. The interest rate risk thus will become the major risk for most commercial banks. However due to the long-existing interest rate controlling policy, China's commercial banks haven't paid much attention to the interest rate management, which still stays at a lower level comparing to their foreign competitors. Facing this fact, the paper analyzes the potential interest rate risk the commercial banks may encounter during the course of interest rate reform. After analyzing some methods and tools often used by banks in west developed countries in interest risk management area, the paper makes a empirical analysis on the real management conditions of Chinese commercial banks, including some existing problems and the causes behind them. In the end, the paper gives some advices on how to enhance the commercial banks' ability in dealing with the interest rate risk.The whole paper is divided into five chapters. Chapter I analyzes the research significance, literature summary, methodology & steps of the whole demonstration research respectively. Chapter II discusses of the interest rate risk arising from the interest rate reformation. Chapter III introduces and appraises the methods of measuring and controlling the interest rate risk including interest sensitive gap analysis, duration analysis and VAR. Chapter IV makes an analysis on the current situation of China's commercial banks' interest rate risk management and gives the reason why their management is not good, following with an empirical analysis of MinSheng bank. Chapter V gives some advices on how to enhance interest rate risk management ability by constructing an internal interest rate risk management system and external supporting methods.