The Research In Interest Rate Risk Measurement And Immune Strategy Of Huishang Bank

Changes in market interest rates will inevitably lead to changes in the market value of bank assets and liabilities, which led to changes in net value of banks and led to the risk of bank shareholders’wealth; unexpected changes in interest rates would adversely affect the level of profitability of commercial banks, with the management and innovation development capacity, interest rate risk management has become the core issue of the commercial banks.Huishang bank as only a city commercial bank in Anhui Province, the capital scale,mode of operation, operating income is ranking ahead in the city commercial banks.In the backdrop of China’s interest rate market, interest rate risk has become the main business risks of huishang bank.The research of interest rate risk management is not only for the huishang bank but also for other commercial banks having important practical significance.This article is divided into five parts. The first part describes the research background, research significance and ideas and the review of interest rate risk measurement and immunology theory; The second part provides an overview of the interest rate risk theory of commercial banks, that are interest rate sensitivity gap analysis theory and the duration of the gap theory,the theoretical basis for later analysis; With two aspects of the business of the assets and liabilities and operating profit, the third part outlines the development generous conditions of the huishang bank, laying the foundation for the later empirical analysis; the fourth part uses interest rate sensitivity gap analysis and duration gap analysis to measure interest rate risk of the huishang bank, concluding that the huishang bank existing the structure of assets and liabilities not matching due to the interest rate risk arising; The part V uses generalized portfolio interest rate risk immunization programs duration and convexity gap immunization model, and demonstrate their effective control of the interest rate risk of huishang bank.