Commercial Banks Interest Rate Risk Research In The Process Of Interest Rate Marketization In Our Country

Financial deepening reform has began at eighties of the 20 th century in countries and regions around the world, interest rate marketization is the core of the reform, the reform results show that the measure to optimize allocation of resources, improve the ability of financial innovation, the respect such as the competitive edge of the banking sector has played a pivotal role, it has an important significance for the economic and financial development of countries and regions.China’s market-oriented interest rate reform has steadily for 20 years, in the process of reform, interest rate risk of commercial banks in China face a state of constant change.Up to now, the degree of marketization of interest rate has been high in our country, interest rate risk, under the background of this research is helpful to improve the understanding of interest rate risk of commercial bank, strengthen the attention to the interest rate risk, improve its management strategy, enhance the level of management technology.In the process of interest rate liberalization, this paper studies and analyzes the interest rate risk of commercial Banks in China.By sorting and summing up of literature found that, a lot of research interest rate risk under the interest rate marketization is deeper at home and abroad.But can also be found that the key is really on the theoretical study, for different types of Banks in interest rate risk management did not do the distinction between, countermeasures and Suggestions to be partial to theory, is not comprehensive and system.This paper will try to solve this problem, the first is to use the common sensitivity of gap model, the commercial Banks can be divided into three categories, collected data from 2006 to 2014, the sensitivity of the gap value, respectively, to analyze the characteristics and change of short-term gap value, found that large gap value of the state-owned commercial Banks is the largest, and the wave amplitude and range is larger, shows that this kind of bank’s risk exposure, the sensitivity is not strong.In the VaR model, with data from 2007 to 2014, interbank markets overnight interest rates do empirical, with parametric and nonparametric method analysis respectively, to test 2015 data to be measured, found GED distribution under the GARCH model can well fitting and measuring interest rate risk, based on this model, calculate the bank of different categories of VaR value, through the observation and comparison of the VaR value found that, at this time the joint-stock commercial Banks’ risk is largest.There are several reasons for this result mainly: one is the difference between the sample data and the fixed number of year, sensitive gap model and some sample data from various commercial bank annual report, including the interbank lending market;Second is a measure of different objects, different model which will lead to the results of different;Three is the different emphasis of each model.Generally speaking, our country commercial bank interest rate risk overall high risk positions, negative gap phenomenon and the term mismatch problem is serious.In the macro level, to the construction of the domestic financial market, to speed up and improve, strengthen the regulation of interest rates and regulation, strengthen the information disclosure, adjust and perfect the laws and regulations;Micro level, commercial Banks should strengthen their ability of risk measurement, rapid and healthy development of the intermediary business, and actively improve the structure of their assets and liabilities, improve term mismatch problem, at the same time to raise interest rates to predict ability and risk control management.