A Study Interest Rate Risk Assessment System Of Commercial Bank

With the interest rate market and the development of financial innovation,China’s commercial banks face interest rate environment is undergoing profoundchanges, interest rate risk assessment system more and more the concern of regulatorsand commercial banks. The one hand, more frequent changes in interest rates,commercial banks’ balance sheets facing the business scope of the interest rate riskmore widely; the other hand, the interest rate derivatives is accelerating, bringing anew interest rate risk.Interest rate risk is the adverse effects of changes in interest rates of commercialbanks, net interest income and economic value. In this paper, the gap analysis,duration analysis method to measure interest rate risk, revealed the main interest raterepricing risk. Interest rate risk assessment system through the statistics of the periodof re-pricing of interest rate risk of assets and liabilities of the banking financialinstitutions, divided into short-term rates and long-term interest rates is estimated tointerest rate changes on net interest income of commercial banks, the asset to theaverage rate of return and liabilities of the average revenue rate estimates the impactof interest rate changes and the economic value of commercial banks, net interestincome and economic value of two angles to measure the potential level of interestrate risk in commercial banks.Commercial banks to interest rate risk assessment system to use the the CBRCoff-site supervision information system, the core banking system (core banking), theOracle database, Unix operating system and Java language, TUXEDO/MQ/SOCKET and other data communications technology. Scenario simulation, thegap-benefit analysis and the value of duration analysis of the empirical study foundthat the commercial banks to interest rate risk measurement. Some commercial banks,rural commercial banks has reached or exceeded the level of interest rate risk"concern". The one hand, the five commercial banks, the overall degree of interestrate risk of an upward trend; the other hand, urban commercial banks interest rate riskthan rural commercial banks, regional commercial banks and city commercial banksinterest rate risk is considerable.Of this study build the interest rate risk assessment system and to proposeappropriate management strategies can enrich this field of research, China’s commercial banks to interest rate risk measurement and management, and regulatoryauthorities on the early warning and monitoring of commercial banks to provide atheoretical and practical guidance.