Interest Rate Risk Management Of Chinese Commercial Bank Research In The Process Of Interest Rate Marketization

In China' money market. CHIBOR is the earliest rate which is of highly marketed. This paper narrates the intension, status and trends of interest rate reformance in China, and analysis the role on management of interest rate liberalization. It finds problems of management of interest rate risk of commercial bank.Refering to identification, measurement and defense of nterest rate risk of developed commercial bank.It discusses the relationship of Inter-bank Offer Rate and the interest rate structure of commercial banks. In the empirical part of this paper, ARMA Model is quoted and 30 days Inter-bank Offer Rate is taken for example, and 84 samples are chosen. At first, we get a smooth time series after dealing with the series and we determine the model'order initially. By comparing the Adjusted R-squared, AIC and SC of models, we set the order of p and q separately. At last, we can draw ARMA(3,2) fits best. It is concluded that ARMA Model can be used to forecast the short-term rate in the inter-bank market.At present, there are many problems in interest rate risk management of Chinese commercial bank,which result from internal of commercial bank on the hand, which external factors of commercial bank on the other hand. With the advance of reformance of market-oriented interest rates, interest rate risk of commercial bank will be growing. commercial banks of China are required to establish and perfect the system of interest rate risk management, and take measures to improve level of risk management, and manage interest rate risk effectively in the market-oriented environment, and avoid losses. Meanwhile,regulatory authorities also create a favorable external environment including laws, regulations and policies so that commercial banks manage interest rate risk effectively.