Research On Interest Rate Risk Management Of Chinese Commercial Banks

Interest rate risk commercial banks are facing the market risk, and destructivepotential. In the process of interest rate marketization, how to effectively control andmanagement of interest rate risk, is the sustainable development of China’scommercial banks must first challenge. This paper starts from the marketization ofinterest rate, empirical research on the current commercial bank interest rate risksituation, and in view of the existing in the interest rate risk management problemsand deficiencies, and puts forward some strengthening and improve thecountermeasure and suggestion that our country interest rate risk management.This paper is divided into the following parts: the first part introduces theresearch method and the main frame, and the innovation points are described; thesecond part summarizes the development course of the interest rate risk managementof domestic and foreign commercial banks, in detail elaborated the VaR interest raterisk management method based on simple, introduced two other commonly used, andthrough the comparison of the VaR method in the measurement and management ofinterest rate risk of the advantage; the third part summarizes and analyzes the type andthe status quo in the interest rate risk in commercial banks in China, and the influenceof interest rate marketization on interest rate risk; the fourth part using the VaRanalysis method, carries on the analysis to the1383Chinese bank acquisition to theinterbank lending market overnight interest rates, establish and choose the GARCHmodel is the most suitable for the status quo of China’s banking industry, thecalculated results of VaR, and the results are checked, draw a conclusion; finally,according to the results of empirical analysis, put forward reasonable suggestions,constructing reasonable VaR model, to realize the effective management of interestrate risk.The results show that, China interbank market volatility, loans because ofasymmetry of long and short positions have different risk value. GARCH model ofthe overnight lending rate can better capture the "fat tail" phenomenon. UsingGARCH (2,1) to describe the volatility of China’s commercial interbank interest ratehas very good effect, VaR method based on the GARCH model has good applicabilityin the measurement of interest rate risk. The higher interest rate risk in commercialbanks, and the low level of management. Has a very important practical significance to perfect interest rate risk management system of Commercial Bank of China VaRmethod is applied to the measurement of interest rate risk, but also an important partof international banking risk management standards.