A Study On Interest Rate Risk Management Of Commercial Banks Under Interest Rate Marketization

With the deepening of Chinese economic system reform and financial system reform, interest rate marketization has been pushed forward with an accelerating speed. However, under the conditions of interest rate marketization, the level of interest rate shows a greater volatility and uncertainty, has the influence on the market main body inevitably, as the financial market microscopic main body, commercial banks face the interest rate marketization challenge more directly, the interest rate risk thus will become the major risk for most Chinese commercial banks gradually, has the influence on commercial bank's management income and the market value. Therefore, interest rate marketization has brought the new task for the commercial banks.Because China's long-term practice of interest rates, commercial banks interest rate risk management awareness, although the interest rate risk management obtained a certain degree value of commercial banks, a lack of corresponding interest rate risk measurement tools and means, commercial banks for interest rate risk management capability and experience lag far, compared to the advanced western commercial banks. Therefore, how to manage interest rate risk effectively will become main difficult problem which our country commercial banks will face. This article is under such condition, attempts to carry on the systematic research to the commercial banks interest rate risk management, under the model international advanced commercial banks interest rate risk management foundation, using the methods of the qualitative analysis and the quantitative analysis, the theoretical analysis and the real diagnosis analysis, distinguish interest rate risk which our country commercial banks face under the conditions of interest rate marketization, discuss the reason which interest rate risk produces, the interest rate risk which commercial banks face and its resistance risk ability carry on the real diagnosis analysis, analyze our country rate risk management present situation, promulgate its current interest rate risk management existence flaw and question, finally propose reinforcing the countermeasure and suggestion of our country commercial banks interest rate risk management, thus establish a set of current our country commercial banks suitable to carry out interest rate risk management system.The full text is divided into five parts altogether. PartⅠis the first chapter,a preface, proposes the title needing to study as well as research significance, studies the survey relevant subject, reviews the course which the domestic and international research on commercial banks interest rate risk management, ascertains the research content and makes clear the research target. PartⅡalso is the second chapter interest rate risk outline, introduces the theory related interest rate risk management, including asset liability management theory, off balance sheet management, the interest rate risk management theory, as well as interest rate risk management historical evolution, makes the theory upholstery for the behind research. PartⅢalso is the third chapter, the interest rate marketization and its influence on our country commercial banks, including defines the interest rate marketization, elaborates the advancement of our country interest rate marketization, analyses the influence which produces on commercial banks under the interest rate marketization, the interest rate risk becomes the main content of commercial banks gradually. PartⅣresearches the commercial banks interest rate risk management, from the fourth chapter to the seventh chapter. The fourth chapter explains our country commercial banks interest rate risk present situation, including interest rate risk recognition and origin, analyzes the influence of interest rate risk on our commercial banks; the fifth chapter introduces interest rate risk measurement technology, including interest rate sensitivity gap analysis, duration gap analysis, VaR model analysis and dynamic analysis of the model, the interest rate risk which commercial banks face and the resistance risk ability carry on the real diagnosis analysis; the sixth chapter under the interest rate risk in effective measurement foundation, carries on the interest rate risk control, divides the west commercial banks interest rate risk control strategy into the balance sheet and off balance sheet management strategy, analyzes its utilization specifically with the case of the Quaker National Bank, China Everbright Bank; the seventh chapter analyzes our country commercial banks interest rate risk management present situation, according to the interest rate risk management principle, proposes some countermeasures and suggestions in view of the interest rate risk management existence questions and the barriers. PartⅤis a conclusion, summarizes this article, the interest rate risk becomes the commercial banks the main risk gradually under the interest rate marketization, but our country commercial banks at present the interest rate risk management have some problems and the barriers, correspondingly, should establish an entire set of perfect interest rate risk management system from macroscopic and microscopic aspect. Simultaneously points out the insufficiency that the article studies on interest rate forecast really few.This article summarizes our country interest rate marketization newest advancement, analyzes interest rate risk which our country commercial banks the present face as well as resistance risk ability, and has conducted the real diagnosis research with the most recent data to it; moreover, specifically explains the interest rate risk management strategy, including the balance sheet and off balance sheet management strategy, analyzes its utilization with the case of the Quaker National Bank interest rate risk management, China Everbright Bank has used the interest rate exchange to guard interest rate risk.