| The process of depth economic reform has made our financial industry booming. The reform of RMB exchange rate and the succeed in adding SDR(Special Drawing Rights) also show that the state China actively promote the financial reform and has outstanding results. After a long period of exploration and efforts, the Chinese market has made great progress in the development of interest rates. However, it is not only so simple as releasing deposit rates to achieve a comprehensive market-based interest rates, but also a lot of work needs to expand, including the various efforts of certificates of deposit pricing continue to explore. As an important part of the financial sector, commercial banks witnessed the boom of a country’s macroeconomic in the reform process. The continuous changes and development of economic environment have brought many opportunities for the banking industry, but the attendant and unpredictable risks ask the traditional commercial banks to improve their management styles. In order to have their own place in the market, alleviating the competition in the industry, as well as ensuring sustained and healthy development of their own, commercial banks need to give high priority for the enhancement of their risk management capabilities. It is a fact that commercial banks always change their focus to money markets and capital market. Therefore, interest rate risk in financial markets is becoming one of risks in commercial banks which need to be addressed mostly.In this context, the paper makes the main content locked in how measure the commercial banks’ interest rate risk directly and accurately, meanwhile, it puts forward measures and suggestions. The first chapter introduces the writing background and related research in China and abroad. In the method selection of measuring interest rate risks, mainly analyzing Va R and ES, one is widely used within the industry and the other is improved by scholar expert, in order to find out the appropriate model for measurement of interest rate risks. The second chapter focuses on the content of market-oriented interest rate and related theoretical basis, as well as reviewing the process of interest rate’s market-oriented process and its feasibility, which laid the foundation for further study in subsequent chapters. The third chapter describes the existing forms and specific measures of commercial banks in manage interest rate risk, proposing several common interest rate risks, such as re-pricing risk, basis risk and embedded option risk; measurement approach introduces the interest rate sensitivity gap analysis, duration gap analysis and model analysis method, etc. The fourth chapter is empirical analysis based on the third chapter, which investigates the effective way in calculating interest rate risks. Through comparing the failure rate of two methods including Va R and ES in estimating risk losses, it can be concluded that ES is a more stable and reliable method to estimate the risk of loss in the failure rate. The last chapter proposes my viewpoint for the future development of commercial banks from inside and outside aspects. In summery, how to strengthen the interest rate risk management has become a prominent issue for Chinese commercial banks, which is also an important problem the entire country and the industry must face. The paper is based on this context, the depth research is started from the whole process of interest rate risk management, with the help of selecting the appropriate model, and as a basis to put forward policy recommendations. |
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