An Analysis And Improvement Of Interest Rate Sensitivity Gap In The Context Of Interest Rate Marketization

With the interest rate liberalization in China becoming deeper and deeper, the interest rate risk becomes more important in the risk management of the commercial banks. Interest rate sensitivity gap analysis is widely used among banks due to its usability. The Basel Committee on Banking Supervision released in September1997, the Interest Rate Risk Management and Regulatory Principles, explained interest rate sensitivity gap analysis in detail. The committee on Banking Supervision in China also requires a document named Interest Rate Re-pricing Risk Table that aims at supervising the interest rate of commercial banks. Because of the wide use of interest rate sensitivity gap analysis, this paper analyzed and improved this method.Firstly this paper explains the interest rate theory, the influencing factor of interest rate, the reasons and influences of interest rate risk and preliminary theory on interest rate risk managements, and summarizes previous relative researches. Secondly this paper reviews the process of how the authority released interest rate control. On the basic of the theories above, I conduct the empirical research of interest rate sensitivity analysis using data of the top five commercial banks in China and the empirical and theoretical study of the hypothesizes of interest rate sensitivity analysis. The difference of different terms of deposit and credit rate is calculated according to the basic rate released by the People’s Bank of China, and this shows that it doesn’t correspond with the hypothesis of parallel changes in the level of interest rates. Then I analyze the conditions of the other two hypotheses. According to the problems found out above, some suggestions on how to improve the interest rate sensitivity analysis and how to supplement and regulate the documents that need to be released by the listed commercial banks are given.