Integrated Study Of Credit Risk And Interest Rate Risk With Commercial Bank In The Context Of Interest Rate Liberalization

As the development of financial globalization process, commercial banks also faced with complex and changing financial environment, along with financial crises in2007, and interest rate liberalization in China, credit risk becoming more varied and interest rate risk become increasingly prominent in China’s banking sector. Risk management of commercial banks as an ancient and constant topic in today’s fierce competition with the rapid development of the financial system, need to be elevated to a new level, study and solve in-depth. Building a sound, efficient risk management system, exploring and developing different risk prevention mechanism and measurement models in commercial banks in order to determine the loss of the bank for extremely potential risks and enhance its resilience in the context of global financial crisis and the interest rate liberalization, is the proposition requires continuous development. China’s interest rate liberalization process will get the expectations of the leaps and bounds in the next few years after nearly two decades of slowly development, and thus the problems and effect in the process of interest rates liberalization will gradually clear in practice.This paper analyze the prevalence of risk management by commercial banks in China in the background of China’s interest rate liberalization and global financial crisis at the basis of describing generation and which affect of China’s interest rate liberalization. And then based on the mainstream credit risk and interest rate risk measurement model, constructing a series of extreme stress scenarios, with the data of Industrial and Commercial Bank of China, applying macroeconomic scenarios and sensitive stress-testing-model method, to identify difference between the results which with and without consideration of correlation between credit risk and interest rate risk factors. Then get the conclusion which need for joint study of credit risk and interest rate risk. Commercial banks should add emphasis on the correlation between credit risk and interest rate risk in future risk management, and should actively use the macro stress testing model to evaluate commercial banks in extreme economic conditions. In this article, the measure of credit risk in accordance with the previous theory based on the LOGIT regression method; interest rate risk measurement applies gap analysis.