The Interest Rate Risk Management Model Of Chinese Commercial Banks

The risk management is one core of the modern commercial bank management. It faced by financial institutions during the operations can be roughly summed up as market risk, credit risk and operational risk. As the interest rate is the price of financial products and an important monetary policy tool, the interest rate risk has been the most important component of market risk.Chinese current regulatory interest rate policy has not play a guiding role in optimizing the allocation of funds, which result in risk-return asymmetry in the banks, the lack of fair competition in the financial sector, payments imbalances of the international balance and so on. It can be said, as Chinese interest rate system changes from the control to the open which decide the interest rate by the market, from fixed interest rates to floating interest rates reasonably, the existence of uncertainty will no doubt bring about the inevitable risk to domestic commercial banks, especially state-owned commercial banks has been greatly tested in the complex and volatile market environment. The interest rate risk management is an important aspect which can not be ignored during the operating process of Chinese commercial banks. Analysis the implicit interest rate in the context of financial crisis and market-oriented interest rate system and looking for a better overall risk management approach, is an important practical problem placed in front of Chinese state-owned commercial banks.In this paper, I use the interest rate risk measurements and management methods as the theoretical foundation, through drawing on research results on interest rate risk management of international commercial banks, to analysis the interest rate risk of Chinese commercial banks by using the model. On this basis, we raise proposes about the interest rate risk management model of Chinese commercial banks, and provide a reference for Chinese commercial banks in their interest rate risk management.This framework is divided into five sections:The first part is a comprehensive introduction to the meaning of commercial banks to interest rate risk, including the nature of interest, the definition of interest rate risk, and the classification of interest rate risk. And how the " Basel AccordⅡ" define the interest rate risk accurately.The second part conducts a basic analysis of interest rate risk faced by Chinese commercial banks. At present, Chinese commercial banks interest rate risk arising from the three major reasons, that is: the central bank's macroeconomic policies, interest rates market-oriented international economic situation, instability and financial crises. On this basis, the main problems of the current China's commercial banks in the interest rate risk management process.The third part is quantification and model analysis of interest rate risk of Chinese commercial banks. Raised three different models of commercial banks interest rate risk measurement methods: the interest rate sensitivity gap model, duration analysis models and the VaR model. On this basis, the merits and appropriate conditions in commercial banks using three models of interest rate risk to management are given.The fourth part describes the commercial banks interest rate risk management model in detail. Three aspects of interest rate risk management model were proposed based on interest rate forecasts, based on asset-liability management and based on financial derivatives. On this basis, we guard against interest rate risk should combine three different perspectives: prediction, management, as well as using the financial instruments.The fifth part puts forward three proposals to the overall management of interest rate risk of Chinese commercial banks. Including a robust internal of mechanism constraint, the necessary external supervision. And focus on risk management employee training and shaping the culture of banking risks. I hope to provide recommendations on the reform of interest rate risk of Chinese commercial banks.