| China's treasury bond market was established in the 1990s. After the establishment of inter-bank bond market in 1997, the treasury bond market have had a rapid development and expanding scale. Treasury bonds as government bonds have almost no credit risk, but because China's bond market is not perfect yet, treasury bond interest rates is not the so-called risk-free interest rate. Commercial banks as inter-bank market's main transactors, their transactions have faced interest rate risk. How to understand and control interest rate risk of fixed income securities is a key element. Since 2004, China's inter-bank market interest rate is in the frequent fluctuations, there is urgent need of China's commercial banks to make effective measure to avoid interest rate risk. While in China, interest rate risk of commercial banks did not receive sufficient attentions.This paper aims to learn from foreign advanced theoretical model, based on the combination of China's financial markets, choose the actual choice of these options on the inter-bank bond market interest rate risk to study and analyze the impact of factors, and analyse the characteristics and sources of the interest rate risks. Then, this paper tried to find out the interest rate risk immunization strategies to make some contribution to the stability of our financial markets and risk management research..In this paper, studies relate to literature at home and abroad. At first, I study the development of inter-bank bond market, and then use the western theoretical model of term structure of interest rates to analyse the movement of inter-bank bond market's term structure of interest rates of treasury bonds. Due to the movement is non-parallel, the maturity method only applies to short-term interest rate risk. Further, analyse the sources of commercial bank bonds' interest rate risk, such as macroeconomic conditions, monetary policy. Finally, give different immunization strategies for three kinds of treasury bonds. |
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