Interbank Interest Rate Risk Management Of Chinese State-owned Commercial Banks

In June20,2013, Shanghai overnight bank borrowing rate quotation suddenly soared to14.33%. And in2008America the bankruptcy of Lehman brothers that day, America overnight bank borrowing rate was only6%. This means that the tightening of liquidity, the degree of China’s inter-bank market capital has reached during the financial crisis, financial institutions, the extreme lack of funds, the market panic.As China’s highest degree of marketization, the sensitivity of the highest level of the overnight rate reflects the supply and demand situation of short-term market funds. According to the different needs of the inter-bank funds, interbank lending business in different interest rate, term structure, the number of transactions, etc., in the transaction process, can appear the interbank interest rate risk. For the commercial banks, the liquidity effect of interbank interest rate risk to the bank to bring very great, so commercial banks should pay attention to the interbank interest rate risk management research in our country gradually promote market-oriented interest rate in the process of. Of particular note is the five major state-owned banks occupy half of the country of China’s banking industry, in our country is not only the commercial banks, the particularity of the customer, and create huge business there are five major lines of the background to the direct relationship between the economy and finance of our country and even the whole society stability, and even the success or failure of the reform. This Chinese, the five major state-owned commercial banks to measure the interbank interest rate risk measure and the management and how to prevent the risk of interest rate is the most important. Lending interest rate risk management industry can not only bring good to reduce the interest rate risk of loss, but also can improve the liquidity of state-owned commercial banks, bank profitability level stability.Based on the background of China’s market-oriented interest rate process, analyzes the types and causes of the risk of interest rate and the interbank interest rate risk. Based on the model of previous research on interest rate risk measure, method of selecting VaR model as the empirical analysis in this paper, the use of a strong liquidity, sensitivity characteristics of Shanghai overnight bank borrowing rate (Shibor) offer data, simulation of wind measuring interest rate risk, the big five state-owned banks, interest rate risk quantitative analysis. In2013published the "Basel Ⅲ" as the standard, given the99%confidence intervals obtained China’s five major state-owned commercial banks VaR, make a horizontal contrast of the five big state-owned banks; also calculated the95%confidence interval of VaR value, made a longitudinal comparison on the five major state-owned banks. Finally this paper concludes that the confidence interval in the level of95%and99%, the Agricultural Bank of asset’s largest VaR value, the industrial and commercial bank asset’s minimum VaR value, but also from the daily quotation analysis, the Agricultural Bank has been higher than that of the other four state-owned banks. This means that the overnight interest rate risk of the Agricultural Bank of China is higher than that of the other four banks. Fifth, put forward some suggestions to deal with the interbank interest rate risk management for commercial banks in china.