Interest Rate Risk Management Research Of Commercial Banks Under The Background Of Interest Rate Marketization

The safety of commercial banks is related to the stability of the whole social order and the development of national economy. The third plenary session of the eighteenth will allow financial institutions to go bankrupt. So under the background of accelerating interest rate marketization process, how to manage interest rate risk, not only should cause the attention of the commercial banks, but also should cause the attention of regulators and academia in China. The research of the interest rate risk of commercial banks is a cut-and-dried as well as especially hot topic nowadays.But throughout the commercial banks of China, their risk management level still exists a certain gap with developed countries. At present most commercial banks of our country only use traditional interest rate risk measurement methods to manage interest rate risk, but little use the more accurate VaR model. Based on such a consideration, establishing a scientific and reasonable VaR model used to control and supervise the interest rate risk becomes extremely important. Therefore in this article, through detailed comparison, I select one VaR model which conforms to China’s status quo best to make an empirical analysis of SHIBOR overnight interest rate. I hope the theoretical and empirical analysis on interest rate risk can combine the actual situation in China to make some innovation. In addition, I try my best to make certain contribution to the theoretical guidance, the empirical model building and the increasing improvement of the regulatory system for financial institutions and regulators.Through the study of relevant literature, I know that the interest rate risk refers to the change of in-and-off balance sheet positions of commercial banks caused by the unexpected market interest rate fluctuations. And it will affect the value of the assets and earnings of commercial banks. Among many interest rate risk measurement methods, VaR model is being promoted by financial institutions and regulators around the world. The quantitative regulation and dynamic monitoring characteristics of VaR receive recognition and welcome from financial institutions and the regulatory administration.In this paper, the research content is divided into seven chapters. The first chapter is introduction, which mainly summarizes the background and significance of the topic, the logic framework as well as the characteristic and insufficiency. The purpose of this part is to make readers have a macroscopic understanding of this article within a short time. The second chapter mainly elaborates the related literature review related to this article, including the study of interest rate risk measurement both at home and abroad as well as the research using the VaR model to measure risk. The third chapter introduces the traditional interest rate risk measurement methods and analyzes their advantages and disadvantages concretely. The fourth chapter mainly introduces the principle of the VaR model and its calculation methods in common use. The fifth chapter makes a concrete analysis of the statistical characteristics of the sample data which come from the overnight type of Shanghai Interbank Offered Rate. The sixth chapter mainly uses the method of the GARCH family models to make an empirical analysis of interest rate risk. It combines the AIC&SC criteria, the significance of parameters, the asymmetry of the financial data and other factors in order to choose the best model. Finally I choose the EGARCH (1,1) model to fit the sample data. The seventh chapter is the part which gives the research conclusion and policy recommendations of this article. It carries on objective appraisal on the empirical part and draws relevant conclusions. Then combining the status quo of the interest rate marketization in our country, I give the pertinent policy recommendations at the macro level and micro level respectively.