Empirical Study Of Commercial Bank Interest Rate Risk Under Interest Rate Marketization In China

In the background of the interest rate liberalization, China’s commercial bankswill have to face the situation that the interest rate is going to be determined by themarket principles of supply and demand not the country, and the open and freemarket will cause interest rate volatility risk. As this, make interest rate riskmeasurement and management is particularly important for China’s commercialbanks.Firstly,it analysis the interest rate risk that China’s commercial banks were aboutto face,including the information of interest rate marketization background and thebasic concepts of interest rate risk. Then,make the comparative studies about themethod to measure the interest rate risk, analyze their strengths andweaknesses.After comprehensive consideration,decide to use the combinedmeasurement model of the interest rate sensitivity gap analysis and estimation ofARCH models. Next part is the focus of this article, which introduce the empiricalstudy of the listed-commercial-banks interest rate risk.On empirical analysis, firstly,use the interest rate sensitivity gap analysis conducting basic research about16commercial banks interest rate risk, calculated each bank’s interest rate sensitivitygap.Then take Shanghai Interbank Offered Rate using VaR estimates of ARCHmodels built estimation formula obtained within the main structure of the model.Finally, take the sensitivity gap data into the VaR research to calculate the.Theempirical results show that:1.China’s commercial banks exist short-term debtsensitivity gap and thanks to lower interest rates they get a considerable net interestincome;2.The volatility of interest rates of commercial banks is relatively large;3.Taking into the data, found that commercial banks in China exist large interestrate risk. Finally, according to the existing problems of China’s commercial banks,Iintroduce proposed measures and proposals to improve the level of interest rate riskmanagement, and strive to provide a reference for the study of the interest rate riskmanagement through scientific analysis.