Interest Rate Risk Management Of Bank Of Changsha

Due to the interest rate has been under control in our country for a long time, interest rate liberalization makes the fluctuation of interest rate to be difficult to forecast. Without prevention from interest rate risk, commercial Banks will probably suffer losses. Based on this, we take Bank of Changsha as the research object, collecting data from annual report from2009to2011, and conduct the empirical research to analyze the interest rate risk management in recent three years. The main contents of this paper are concluded into four aspects as follows:first, this paper expounds the interest rate risk of commercial banks and the basic concepts of interest rate risk management, which lay the theoretical foundation for the following study; Second, we summarize four interest rate risk management models, i.e. interest rate sensitive gap, duration gap, VaR model and stress testing, and from the actual situation of Bank of Changsha, this paper use three models among them to conduct empirical research; Third, we adopt the interest rate sensitive gap, the duration gap and stress testing, from different angles, to empirically analyze interest rate risk of the Bank of Changsha. In the longitudinal research, this paper empirically analyzes the interest rate risk of bank of Changsha from2009to2011, and in transversal study, other commercial Banks are analyzed and compared with the Bank of Changsha, and analyze the gap of interest rate management between Bank of Changsha and other commercial banks. Moreover, the applicability of the interest rate models are analyzed in this paper; Fourth, according to the empirical results, in view of present condition and the existing problems of the interest rate risk management of the Bank of Changsha, we put forwards corresponding countermeasures and suggestions.Through the research mentioned above, we get the following main conclusions: First of all, the current interest rate risk management situation of Bank of Changsha is concerned. Through the longitudinal research, we found that the current interest rate risk management strategy of Bank of Changsha can get positive risk income on the trend of rising interest rate, but in2009-2011years, the Bank of Changsha does not decrease interest rate risk which reflects that the interest rate risk management consciousness of Bank of Changsha is weak. Through the transversal study, we found that, compared with other Banks, the bank of Changsha is facing relatively larger interest rate risk, when the interest rate fluctuates, it will bring Bank of Changsha great loss; Then, the interest rate risk management models are concerned, because the VaR model demands strict requirements of data and the limitation of Bank of Changsha, in the short term, interest rate sensitive gap and duration gap are the main methods of interest rate risk management of the Bank of Changsha; Finally, aiming at the existing problems of interest rate risk management in the Bank of Changsha, we put forward some suggestions, i.e. adjusting the assets and liabilities structure, adopting appropriate interest rate risk management methods, perfecting the interest rate risk management system, to strengthen interest rate risk management of the Bank of Changsha.