Research On Interest Rate Risk Management Of China 's Commercial Banks Under Interest Rate Marketization

Interest rate is the price of lending transactions and the key indicator of supply and demand relationship. With the tide of the financial market, many countries have carried out market-oriented interest rate reform. In this situation, China began to carry out this reform. In the process of the reform, the interest rate risk of commercial banks exposed increasingly and now it has become one of the major risk in banks. In recent year, our country’s commercial banks have paid more attention on the interest rate management and strengthened the management methods. However because our country implemented interest rate control for a long time, there is a lag on the management of interest rate risk between our country and the western developed countries. So there are many problems on the interest rate risk management of our country’s banks. If they can’t change this situation, they will suffer a loss after interest marketization. Therefore, it is very important for our country’s commercial banks to strengthen the measure and management of interest rate risk.This paper using the method combining the theoretical analysis and empirical analysis, qualitative analysis and quantitative analysis, analyzes the situation of our country’s commercial banks on interest rate risk and the impact to the commercial banks’ management. First, this paper introduces the theory about interest marketization, the process of our country’s market-oriented interest rate reform and the impact on the interest rate risk management of commercial banks. Second, this paper introduces some methods about the interest rate risk measure and management. Then on this basis, using empirical analysis which includes the methods of gap method, stress testing and duration method, the paper analyzes the problem of the interest rate risk management of our country’s commercial banks. Finally, combining with the empirical analysis and current situation of the interest rate risk management, the paper gives several suggestions to solve these problems.