The Study Of Interest Rate Risk Management In Chinese Commercial Bank Under The Background Of The RMB Interest Rate Marketization

As an important subject of financial markets, under the acceleration of interest rate marketization process, the commercial banks enjoy the dividend interest rate marketization brings, while the risk it faces is beyond doubt. After interest rate marketization, the interest rate fluctuations will be increasingly frequent, so the interest rate risk which caused will become the major risk of commercial banks. So in order to promote sustainable and healthy development how to correctly identify, effectively control and fend off the interest rate by has become the urgent problem to be solved in the current commercial banks.To research the interest rates management of commercial banks, this paper launches the elaboration from following three aspects: identification, measurement and controlling. The first component is identification of interest rate risk. From this part according to the different factors, the interest rate risk can fall into four categories: replacing risk, basis risk, yield curve risk, optionality risk. To investigate the reason, it caused by four main reasons, the first is the highly concentrated management system of central bank; the second is the asymmetry of base interest rate, the third is the single structure of commercial bank’s assets, the forth is the differences between the investors’ options. The second component is about measurement of interest rate risk. From this part choosing three measurement models(interest-rate sensitive gap model, interest-rate duration gap model, VaR model). On the basis of comprehensive comparison of three models, combined with the commercial banks actual situation, we use the VaR model to measure the interest rate risk. On the meanwhile, taking the GARCH model to estimate the result on the three assumptions(normal distribution, t distribution, GED distribution), then selecting Kupiec back-test model to detect the result right or wrong. Through the series of calculation and testing, it finds that the GEDEGARCH - model can accurately describe the interest rate risk of commercial banks. The third part is something about the interest rate risk control. Here is mainly putting forward some rational countermeasures respectively from internal and external circumstances. On the external environment aspect, first is to steadily promote the reform of the RMB interest rate marketization, second is to try to further improve laws and regulations then establish a deposit insurance system, third is to accelerate the development of financial markets and enhance financial market supervision. On the internal environment aspect, first is to establish a scientific and efficient internal management mechanism, second is to accelerate the improvement of the commercial banks multi-management, third is to cultivate the interest rate risk management of high-quality talents.