Commercial Bank Deposit And Loan Spreads Pressure Test Research

China’s market-oriented interest rate reform began in1996, has achieved remarkable results,but due to a long period of planned economic system with capital controls, bank profits aredependent on net interest serious, up to77%. According to empirical studies further market-orientedinterest rate reform will cause the savings and loan spreads gradually narrowing. This situation willjeopardize the survival of China’s banks. The stress testing method was introduced in2003to China,is still in the qualitative analysis and preliminary exploratory stage, the method is used to test theextreme case of financial institutions the ability to bear risk factor suitable for China’smarket-oriented interest rate conditions, interest rate volatility analysis of the bank’s net interestincome.This article is based on the deposit and lending interest rate sensitivity model spreads stresstests, specifically, is the net interest income for the pressure, changes in deposit and lending interestrate for the motivation, method of interest rate sensitivity model to banks as an indicator ofprofitability, bank interest rate-sensitive assets and interest rate sensitive liabilities as a test target asa precondition to the changes in bank deposit and lending spreads, reflecting the adverse impact ofthe interest rate risk of the bank’s net interest income of extreme. Throughout the analysis of thestructure of China’s ten listed banks profits, net profit and operating income accounted for thesituation, floating up and down against the benchmark interest rate by1%,2%,4%,6%four caseswere calculated bank deposit and lending spreads sensitivity gap. Subsequently, according to theconclusions of the article, and further given our deposit and loan spreads pressure test the feasibilityof the recommendations.