Analysis Of Commercial Bank Interest Rate Risk Based On Var Model

Along with the deepening of the reform of interest rates marketization of interest rategradually, rates are more influenced by the market rules, its operation is in accordance withthe law of market operation, nowadays financial market interest rate changes frequently andhard to predict. At the same time, the interest rate risk also will rise to the main risks ofcommercial Banks. Interest rate risk not only affect the profitability of state-ownedcommercial Banks, and state-owned commercial bank assets and liabilities structure ischanged due to interest rate changes, interest rate changes and also bank solvency, causeBanks’ funding liquidity problems. Therefore, strengthen the interest rate risk control, hasbecome a state-owned commercial bank management of assets and liabilities structure is animportant content. But at present our country state-owned commercial bank interest rate riskmeasurement research process lags behind, become the bottleneck of restricting the interestrate risk management, has become an important problem needs to solve. Compared withtraditional interest rate risk measurement model is presented in this paper, VAR model is putforward. Based on the bank of China as an example, through the bank of China, the currentresearch status of interest rate risk measurement, analyzed the mechanism of the current ourcountry state-owned commercial bank interest rate risk measurement problems, and sincethen on the basis put forward some reform Suggestions.