The Research On The Management Of Interest Rate Risk For Chinese Commercial Banks

According to Principles for the Management of Interest Rate Risk, which was enacted by Basel Committee on banking supervision, interest rate risk is what financial condition of bank will confront when interest rate fluctuates unfavorably. Since the 1980s, interest rate risk has become one of the most important risks for commercial banks. As the proceeding of the market-oriented interest rate reform, the interest rate in China will vary unpredictably both in quality and quantity, which will bring tough challenge to interest rate risk management of Chinese commercial banks. Moreover, most Chinese commercial banks lack the effective methods to evaluate and control the interest rate risk due to the long history of interest rate restriction in China. Therefore, using the advanced risk management technique for reference and applying to practice combined with IT is urgent for Chinese commercial banks in the process of market-oriented interest rate reform.This thesis performed the demonstration and analysis from the five aspects.Chapter one provides an overview of relevant literatures on interest rates studies.Chapter two is the identification and measurements of interest rate risk. This part is the emphases of the article. It expounds the measurements of interest-rate used by commercial banks:interest sensitive gap and duration.Chapter three is the strategy of controling interest rate risk and the prospect in China. In this part "balance sheet management strategy" and "off-balance sheet management strategy" are explored respectively. All of these strategies, if applied appropriately, can strengthen commercial bank's risk management in China.Chapter four is the empirical analysis of the management of interest rate risk in Chinese commercial banks. This chapter gives observations on China's interest rate management through employing the theory of interest rate risk management to commercial banks, and carries a empirical analysis about interest-rate sensitive gap model and duration gap model, and concludes the prospect in China.The last chapter research how to manage and control the interest-rate risk of China's commercial bank. Some suggestions are given in order to help constructing the mechanism of interest rate risk management at present.