Research On Interest Rate Risk Management Of China's Commercial Bank

Under the influence of many factors, such as the interest rate marketability, the global financial crisis, the frequency adjustments of central bank deposit reserve rate, as well as the many changes in central bank monetary policy, the commercial banks faced increasingly serious interest rate risk. From January 2006 to June 2008, People's Bank raised the deposit reserve ratio 17 times. In the context of frequent Interest rate adjustments, the commercial banks will be exposed to significant interest rate risk in the absence of effective interest rate risk management tools,This paper first analyzed the reasons for interest rate risk in the deposit and loan for the Western commercial banks such as Citibank and China's commercial banks. Next this paper analyzed China's commercial banks interest rate risk faced by the qualitative and quantitative analysis, and then had an analysis of China's commercial banks of the causes of interest rate risk. Regarding Commercial banks interest rate risk management methods, the traditional interest rate risk management methods include management of interest rate sensitivity gap and duration gap management. As the actual impact of various factors in making the interest rate can not be accurately forecast and measure, which created the limitations of interest rate risk management techniques of balance sheet. In addition, even in the case of accurate predictions for interest rates, commercial banks maybe pay high cost. Therefore, this paper introduced our existing interest rate risk management tools of out-of-balance sheet and used learning from international experience in financial derivatives to guide commercial banks to manage interest rate risk. Finally, this paper had an empirical analysis for interest rate risk management of the Industrial and Commercial Bank. Then this paper analyzed the limitations of interest rate risk management and made recommendations to the interest rate risk management the Industrial and Commercial Bank.