The Study Of Interest Rate Risk Management Of Commercial Bank Based On Duration Theory

We took Market Oriented Interest Rate Reform ten years ago. Under the station, our commercial bank should enhance interest rate risk management which was the weak process of our bank management. In west commercial bank the theory of interest rate risk management generated precise system based on accumulation during decade years. The theory system offered a good example for us. However we should pay attention to the difference between our bank and the west bank. Then it decided how to select theory and model in terms of our practice. The article will analyse our bank's interest rate risk management based on duration theory.Four parts are included in this thesis:Part One: the analysis of the mechanism of how our commercial bank's interest rate risk generated. Then it offers some pieces of advice about technique construction and institution construction;Part Two: the analysis of the problems about inner risk management and external supervision. Then it gives suggestion in light of the practical station;Part Three: the meaning and limitation in applying duration theory to interest rate risk management. Based on the analysis, it takes modification;Part Four: some policy suggestion to enhance the risk management level. It points that the level of market oriented and competition is the most initial condition.The article would have three conclusions: one, our commercial bank face huge interest rate risk because our inner management and external mechanism arrangement; two, the most important factor is the irrationality of asset scheme; three, apply the duration model to confirm the point and give some suggestions, which include strength the technique construction, regulate asset scheme and reform bank's management system.