| Reform Of market-oriented interest rate in China is constantly advancing. The deregulation of interest rate and exchange rate is the trend of The Times, the current financial regulators have been liberalized the restrictions on lending rates and deposit interest rate marketization is a work in progress. Under the condition of deregulation of interest rate and exchange rate, interest rate and exchange rate fluctuations will increase. In this case, the assets’s risk (held by the commercial bank) will increase. In this case, a better method on risk management of commercial banks is must to be put forward. In this background, the article briefly describes the current status of the risk that our country’s commercial bank faced, and introduce the measures the commercial Banks take in risk management practices. In this paper, on the basis of other scholars’ research, the goal is putting forward a more comprehensive market risk management method, namely synchronous interest rate risk and exchange rate risk management, discuss the feasibility and effectiveness of this method. Using RMB interest rate and exchange rate data to construct a SVAR model to analyze the theoretical basis of synchronization management on managing market risk of commercial banks, mainly based on the Interacting with each others of interest rate and exchange rate. Analyzed the interest rate risk and exchange rate risk management methods and using VaR model to analysis the effectiveness of the synchronization market risk management, the method is using the GARCH (1,1) model to calculate the synchronization management portfolio VaR and then compared it with its respective VaR, it is concluded that the synchronization management has advantages on reducing market risk the commercial Banks faced in the process of operation. At last, the article puts forward a few Suggestions according to the conclusions, hopes to do contribution to the risk management in practice. |
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