The Empirical Research On China’s Commercial Bank Interest Rate Risk Measurement Based On GARCH

As the key points and difficulties of China’s financial sector reform, Interest rate marketization has accelerated the process recently. So far, China has opened up the limitation of loan interest rates, in 2014, during the two sessions, zhouxiaochuan, the central bank governor, predicts that the deposit rate regulation will be opened within two years. Interest rate marketization, on one hand, can increase the autonomy of commercial banks, the bank can set the right level of interest rates according to the supply and demand of the market and the operating efficiency of the banking sector will improve a lot; on the other hand, it can make the competition between banks more intense and further narrowing the spreads between deposit and loan. With the interest rates enter into a frequent fluctuation period, commercial banks will be exposed to a huge interest rate risk. Due to the long-term interest rate control, commercial banks in our country lack the consciousness of effective prevention and management about interest rate risk. Therefore, it is undoubtedly theoretical important and realistic significant to the interest rate risk management of our commercial banks if we make further study of interest rate and measurement accurately.Based on the qualitative analysis and quantitative analysis methods, this thesis analyzes the present situation of China’s commercial banks interest rate risk and problems that exist in the management from different angles. At the same time, this thesis select the overnight lending rate of China’s inter-bank market as the research object. In order to make the result more intuitive and persuasive, the dates are divided into four different stages according to the rate adjustment cycle. Then, by building the GARCH model about the overnight lending rates of the inter-bank lending market, this thesis calculate the interest rate risk that China’s commercial Banks faced with in the process of interest rate marketization. Finally, on the basis of empirical analysis and combining the problems that exists in the interest rate risk management, this thesis puts forward some reasonable countermeasures to deal with the interest rate risk of China’s commercial banks.