Research About The Effect Of Interest Rate Liberalization On Interest Rate Risk Management Of Our Commercial Banks

A remarkable series of periodical achievements have been obtained since China began to explore the reform of interest rate liberalization in the1980s.Especially in recent years, the practice of interest rate marketization in our country has entered the acceleration channel. Base on the background of China interest rate liberalization reform constantpromotion, this paper explored and researched the effect of interest rate liberalization on our commercial banks’ interest rate risk management. And then some suggestions are proposedfor our commercial banks’ interest rate risk management in the reform.In theory, China interest rate formulation mechanism has been optimized continuously in the process of the reform while interest rate liberalization has brought new changes and temporary interest rate risk for our commercial banks. To begin with, our commercial banks’ mechanism and management tools of interest rate risk are summarized and analyzed. Furthermore, this paper comprehensively described and studied the present situation of our commercial banks’ interest rate risk management. On this basis, through Interest Rate Sensitivity Gap Model, this paper found that the3-12months gap’s influence upon our commercial banks’ net interest margin is most obvious. At the same time, by the VaR Method, this paper quantified the interest rate risk faced by our commercial banks in different periods of interest rate liberalization reform and finally draw a conclusion that with the pace of interest rate liberalization accelerated, our commercial banks do have an increasing risk of interest rate so that the old methods and ideas are unable to deal with the new challenges brought by interest rate liberalization. This paper suggested that our commercial banks may consider properly adjusting the structure of assets and liabilities, improving the methods of interest rate risk management, enhancing the capacity of independent pricing by drawing lessons from advanced and mature pricing methods. And these suggestions may be conducive to the steady development of our commercial banks during China interest rate liberalization.