The Study Of The Risk Management For Interest Rate Of Commercial Bank

Traditional financial theory holds that the financial institutions'vital function is financial intermediation .With the development of modern financial markets and the expansion of financial theory, modern theory considers that financial institutions is the maker of financial products, provision of financial services to help customers share the risks. In that process institutions can effectively manage their risks to make profit. Financial institutions main sources of profit come from risk premium .Commercial bank interest rate risk is the rate changes bring to banks'losses. Since the vast majority of assets held by commercial banks are the financial, changes in interest rates as the basis for factor will directly lead to changes in the value of financial assets, making the continued viability of commercial banks. Therefore, the commercial banks hold the interest rate risk as their focus of risk management system. Various domestic and international financial markets fluctuation made by a number of factors, the development of market-oriented interest rate under the interest rate change has many uncertainties. The classification of interest rate risk can be divided into re-pricing of risk, yield curve risk, basis risk and option risk. With the pace of interest rate market continues to accelerate, interest rates of commercial banks in the process should still have many deficiencies. By re-pricing of risk, yield curve risk, basis risk, option risk, interest rate risk, sensitivity gap model, duration model, VaR value at risk analysis and simulation analysis to study and comparative analysis; Finally, learn from successful international bank to construct the interest rate market interest rate commercial banks in China under the specific risk management measures and recommendations.