The Research Of Commercial Bank Of China Interest Rate Risk Management Under Interest Rate Marketability Reform

On December 11, 2006, the State Council promulgated"Regulation of the People's Republic of China on the Administration of Foreign-funded Banks", symbolizing the opening up of domesitic finance industry will enter a new time. It means that domestic finance industry will melt into the global finance service competition. China`s commercial bank is about to launching direct and face-to-face competition with foreign banks.The western nation has basically realized interest rate marketability reform. The commercial bank has all experienced how to control the interest rate risk following the interest rate marketability reform. From 1996, interest rate marketability reform gradually advanced in China. However, under the conditions of interest rate marketability reform, the level of interest rate shows a greater volatility and uncertainty. Interest rate risk will become the main risk for China`s commercial bank. At present, China`s commercial banks lay far behind foreign banks on the capability and experience of interest rate risk management. If China`s commercial banks are not able to raise the level of interest rate risk management as soon as possible, they will be placed in a disadvantageous position in the competition with foreign banks. It is also not conducive to the stable and healthy development of China`s financial industry. In such a historical and practical background, putting forward suggestions on the interest rate risk management system and management strategies is particularly important for China`s commercial banks.The main points of this dissertation are as follows:First, interest rate marketability reform had a tremendous impact to the internal business activities and external macroeconomic environment for China`s commercial banks. At present, the situation of interest rate risk management is not optimistic in China. Second, Interest rate risk measurement is the key of the interest rate risk management. It directly decides the strategy options of interest rate risk management. Currently, the level of interest rate risk measurement is still at the fledgling stage in China. The author suggests that China`s commercial banks would be able to use duration model to raise the level of interest rate risk measurement on the basis of sensitivity gap analysis. At the same time, they would study the theories of VaR model analysis as well as dynamic model analysis for the practice in right conditions in the future.Third, the author gives constructive suggestions on interest rate risk management strategy and interest rate risk management system, including interest rate trend forecasting system, the system of the interest rate risk measurement, interest rate risk management system. In addition, speeding up the construction of financial markets and the improvement of financial laws and regulations are also important.