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

In year 2015, the comprehensive construction on "new normal" would been implemented deeply. Meanwhile Chinese interest rate reform experienced a milepost year. On the one hand, by paying unremitting efforts, our interbank market’s completion degree deepens unceasingly. Commercial bank become more energetic from passive recipients of interest rate to interest rate’s market pricing of participants. On the other hand, the Deposit insurance system has been officially promulgated in this year, which will speed up greatly the process of marketization of interest rate pricing. But, what can’t be ignored is that with this process’ s deepening, the interest rate risk is increasingly inevitable too. The financial institutions which has high debt rate is particularly sensitive to the interest’s fluctuation. Therefore, it has profound theoretical and practical significance to study on the interest rate risk of commercial banks in china.This article takes our country representative state-owned and joint-stock commercial banks as the object. The GAP method is used to compare those different banks. As results, a detailed analysis is given bellow which describes the similarities and difference between those banks in risk prevention strategy and the management concept of interest rate. Meanwhile, the author uses the VAR model which is based on GED distribution to make the interest rate implied volatility forecast. This paper believes that: Despite the current interest rate risk is overall controllable, our banking industry’s attention on this problem is fairly insufficient, compare to western countries. And the ability of prevention and management of risk is still not strong. Finally, this paper presents the interest rate risk management policy recommendations on strengthening.Reform on interest rate and relevant risk measurement in this paper will be combined together to study the interest rate reform which may bring to commercial banks interest rate risk. This paper uses different methods to study interest rate risk, which can preferably measure the risk faced by commercial banks. In terms of bank risk management recommendations, on the basis of comparison of Chinese commercial banks and international peer which have advance on interest rate risk management, this thesis summarizes corresponding deficiencies and gives practical policy recommendations.