| Since the1970s, the western developed countries have relaxed financial regulation,the interest rate gradually liberalized, the market interest rates frequently fluctuate andseriously affect the growth of banks’ earnings, the commercial banks faced great interestrate risk, especially since2008, the international financial market turmoil intensified, thelinkage effects of the exchange rate and interest rate have become increasingly obvious, allthis made huge changes to the internationalized modern commercial banks. The marketrisk, especially the interest rate risk further increased, so that commercial banks generallyneed to strengthen the management of interest rate risk. The Basel committee also madethe12basic principles of interest rate risk management; this shows that the interest raterisk management will become the main part of evaluation of commercial bankmanagement by financial supervisory authority.Although the process of interest rate marketization in China gradually accelerated, theinterest rate fluctuation range is still not completely open, with a strong policy factors, andlow degree of marketization of China’s commercial Banks, especially state-ownedcommercial Banks, the interest rate risk management has not really appreciated by thebanks. In this situation, China’s commercial banks need to learn interest rate riskmanagement technology urgently from foreign countries, and absorb successful riskmanagement experiences of foreign banks, and on this basis to explore the interest rate riskmanagement technology and system in our countries, to reduce the risk of our commercialbanks.This article first introduces the interest rate risk and its management principles, andthen to analyze the methods of prediction and measurement of interest rate risk, and thendiscusses the methods of financial engineering of interest rate risk management,meanwhile reviews its applicability in China, and then analyze present situation ofcommercial bank management in china from the aspect of risk management consciousness,methods, quantitative risk etc. Finally puts forward the countermeasures of interest raterisk management from the aspect of financial environment construction, financialengineering application, financial electronic construction, assets and liabilitiesmanagement, interest rate prediction mechanism and product pricing improvement andpersonnel training in interest rate risk management and so on. |
