Evaluation Of Interest Rate Risk In China’s Commercial Banks Progressive Liberalization Of Interest Rate

In1996, the inter-bank lending market established in our country and the successfulimplementation of the market interest rate lending, which marks the official beginning of thereform process of interest rate marketization. Then the various initiatives for more than tenyears in the steady development of our country gradually fine tuned unveiled the mystery of"progressive" interest rate marketization reform. Today, China’s commercial banks is still inthe progressive type of market interest rate environment under. In July20,2013, loans offinancial institutions to lower interest rates by the central bank canceled, financial institutionsmay determine the loan interest rate according to the specific situation of the market, a movewhile the actual effect is not particularly significant, but reflects the firm attitude of theauthorities liberalized interest rates. The marketization of interest rate effect in the aspects of acountry’s financial efficiency improvement significantly, of course, everything has its twosides, the interest rate market has opened a new front in the commercial bank interest rate riskprevention and control. This gradual process, our country commercial bank interest rate riskprevention and control for still exist many problems, including the low level of management,management mode is not system etc.. Less research quantitative analysis of the scholars ofour country commercial bank interest rate risk exposure in this process, the major premise andin the gradual reform, carries on the quantification analysis is helpful for financial institutionsto carry out targeted prevention and control on the risk of commercial bank interest rateexposure specific. On the basis of this, this article from the angle of financial time series ofbanking interest rate exposure launched quantitative analysis.This paper first describes the definition and characteristics of the progressiveliberalization of interest rate of our country, reviewing the economic development in eachstage for their efforts, and then describes the gradual type of market interest rate on the impactof China’s commercial banks. After the commercial bank interest rate risk assessmentmethods of theoretical analysis, the transverse, longitudinal contrast after concentrated modelon interest rate risk evaluation selection intuitively understandable value at risk (VAR) thesubsequent empirical analysis expansion model. An empirical study on the fourth part is the focus of the article, the selection of Shiborovernight interest rates for the study of the benchmark interest rate, to9loan base rate (LPR)offer bank as the research object, using the2014semi annual financial statements as the maindata, in the investigation of three months period launch the concrete analysis to9quotationfor interest rate sensitive gap. After a series of tests, found that the time seriesheteroskedasticity effect after logarithmic processing significantly, non normal,2orderautocorrelation. After the residual sequence t distribution, normal distribution, GEDdistribution fitting comparison, found that the parameters for the1.6GED distribution fittingeffect is best, the establishment of GED (1.6)-GARCH (1,1) model. Using the model ofreverse to calculate the standard deviation of time series, the standard deviation to the VARmodel, calculate the9rate quotation for exposure in the daily risk interest rate sensitive gap.Finally, through the GARCH (1,1) model for the prediction of the Shibor the day before theovernight rate.As can be seen from the calculations, the banking of our country daily value at risk isrelatively large. According to the large amount of daily value for risk prevention and controlin insurance, first can reduce the interest rate sensitive gap, the main methods includereasonable adjust ongoing financial business innovation and matching bank balance position,profit sources, dispersion. Secondly, dynamic interest rate prediction with the model, changefrom passive defense to active attack. Finally, with the financial markets continue to improve,the diversification of financial instruments, the use of futures and options and otherderivatives were reasonable hedge.