Research On Interest Rate Risk And Its Control Of State-owned Commercial Banks Based On The Perspective Of Interest Rate Liberalization

Financial liberalization rose up in the 1970 s. The nations of the world started to deepen reform in financial sector and interest rate marketization is one of the important practices. Many countries had started interest rate marketization reform during this period, and finally finished the task of interest rate marketization. In 1996,the interbank lending rate of our country had been released, which is the mark to begin to interest rate marketization reform. Since October 24,2015 the people’s bank of China decided no longer set the upper limit of floating deposit interest rates, such as the commercial Banks and rural cooperative financial institutions. The market-oriented interest rate reform got into substantive rapid stage in our country.Therefore, studying the marketization of interest rate on the impact of state-owned commercial Banks in China is meaningful and necessary. This article is precisely based on this background, through reading literature and the state-owned commercial bank annual report. This article analysed the current commercial state of the main sources of interest rate risk, used the VaR method based on the GARCH model to measure the risk of state-owned commercial Banks face, and provided countermeasures for the state-owned commercial bank interest rate risk control.This paper mainly includes following several parts: one is to discuss the current domestic and foreign relevant literature about the interest rate risk of interest rate rmarketization, interest rate risk management and the basic situation of mechanism design theory. The second is to define of interest rate risk, and explain the main form of interest rate risk as well as the main source of China’s state-owned commercial bank interest rate risk. The third part is the analysis of the interest rate risk existing in state-owned commercial bank. This part has analyzed the interest rate risk internal and external factors state-owned commercial banks face. The fouth part expains that through the selection in the family of Garch models, found the EGARCH mode is suitable for this paper to measure interest rate risk.And this part analyzed specific risk factors through the bank annual reports. Five is elaborated our country state-owned commercial bank’s risk control, including financial derivatives to hedge,deposit insurance system and other relevant supporting measures.Besides, we should establish the risk control mechanism based on the mechanism design theory and regulation mode. Part six is the conclusion of this thesis, comprehensively summarized in this paper: the research idea, structure and main point of view, and points out the flaws of this article. We have confidence in the prospects of interestrate marketization reform in our country, which interest rate liberalization is not only to lead the change of the our country commercial bank management mode, but also more conducive to deepen the reform of our country’s capital markets.