Study On The Interest Rate Risk Of Commercial Bank Under The Background Of Interest Rates Liberalization

Interest rate is an important variable of the financial markets. As the price of capital, it can regulate the flow of consumption and investment, thus promoting the rational allocation of resources and economic growth. Liberalization of interest rates will help to fully play the role of economic leverage, while uncertainty of interest rate fluctuation will adversely affect the commercial banks. Especially during the transition period of liberalization of interest rates and the pressure of slowdown in economic growth, under-developed financial markets and imperfect economic and financial system lead to uncertainty of interest rate volatility is more difficult to grasp, the interest rate risk exposure of China’s commercial banks will become more apparent.On the basis of Domestic and foreign scholars’ study on the interest rate risk, analyses for the interest rate risk of China’s commercial banks found that the interest rate risk of Chinese commercial bank has phase characteristics—The interest rate rises sharply and fluctuates more frequently. This paper selects pressure test to measure the extreme case of interest rate risk, and use reprising gap model to analyze the interest rate risk of a commercial bank in Hubei in2013.Since the model ignores some aspects of interest rate risk, it will be improved in this paper, and ICBC and China Merchants Bank will be analyzed as a contrast The empirical studies have found that the interest rate risk of a commercial bank in Hubei, just the same as ICBC and China Merchants Bank, has significant stage—a sharp rise in interest rate will not have an adverse impact on net interest income of commercial, the main reason of the interest rate risk is the narrowing gap of savings and loan interest rate.Therefore, the bank can adjust the structure of business and enhance pricing ability of risk to improve its management capabilities.