A Case Study Of Interest Rate Risk Management Of Zhuhai Rural Commercial Bank

This thesis introduces the state of interest rate risk and its management of Zhuhai Rural Commercial Bank and attempts to assess the effects of interest rate risk management of this bank by means of Funding Gap Model and Duration Gap Model. Generally, Funding Gap Model will only take the same directional movement of interest-bearing assets and debt rate into consideration under the condition of variation of interest rate. Here in this thesis, it is more reasonable to consider the condition of variation of interest rate in different directional movement.Due to the fact that the calculation in extended period needs cash flow in each period, Term to Maturity, Term to Maturity of every financial instrument and hat the data statistics of Zhuhai Rural Commercial Bank is complicated and not easily assessable, this thesis adopts a method of revised duration calculation, which tends to be more feasible. According to the results, it is found out that there exist certain interest rate risks in Zhuhai Rural Commercial Bank in every period under its current rate risk management. This thesis attempts to explore possible problems and corresponding reasons for Rural Commercial Bank in interest rate risk management by analyzing its pricing mechanism of loans and deposits, structure of income, methods of interest risk management, organizational structure of risk management and reserve of talents of Zhuhai Rural Commercial Bank. Finally, possible solution will be put forward to solve these problems.