The Research Of Commercial Banks' Interest Rate Risk Management In The Process Of Interest Rate Marketization

With the continuous development of financial markets and the speeding up of market-oriented interest rate reform, the impact of interest rate marketization to commercial banks become more and more obvious and strong.Interest rate marketization is a double-edged sword. On the one hand,it can improve the efficiency of resource allocation in the financial markets, speed up the transformation and upgrading of the bank, promote the development of financial markets and the whole macro economy. On the other hand, It has brought the huge impact on the financial system and macro economy, one of the most direct the most intense impact is greatly increasing the interest rate risk of commercial banks.At first, this paper has made a detailed description of the definition of interest rate marketization. This paper also briefly introduces the process of market-oriented interest rate reform in our country. Then this paper introduces the definition of interest rate risk and four forms, including repricing risk, yield curve risk, basis risk, and options risk.Then this paper analyzes the interest rate risk in the process of the marketization. At first, this paper introduces the definition of the policy risk, then introduces the definition of interest rate risk in the early stage of the reforms, and analyzes two main ways in which Interest rate market reform affect the interest rate risk:one is the interest rate volatility increases, the other one is interest rates are higher, and at the same time,according to the theoretical analysis and the historical data it come to the conclusion that interest rate marketization can easily cause a banking crisis.Later this paper introduces the main application of three kinds of interest rate risk measurement model, the interest rate sensitivity gap model and duration gap model and the VaR model. In view of the national current condition of our country, this paper also particularly introduces the pressure test model which is less commonly used and analysis and compare the definition, principle, advantages, disadvantages and suitable conditions of the four models respectively. it is concluded that the interest rate sensitivity gap is most suited to China's commercial Banks for the daily management of interest rate risk and pressure test model is also the necessary measurement.The focus of this article lies in using the interest rate gap model and stress testing on interest rate risk of commercial Banks for empirical analysis. In addition to interest rate sensitivity gap model, the most commonly used by commercial Banks, this paper also chose the pressure test model as the empirical analysis model, while the model is considered in tough conditions, low degree of simulation of reality, but this paper argues that the pressure testing model of the single factor model is very fit for our country's commercial banks in measuring interest rate risk. Because the pressure testing model can be used to detect and measure the interest rate that commercial Banks will face when extreme changes in interest rate risk. Although so far the liberalization of loan interest rate lower limit has not changed the interest rate, we cannot completely rule out the possibility of radical change, so commercial Banks must be fully prepared to withstand extreme impact of interest rate risk. So the use of pressure testing to conduct regular monitoring and measurement is the most effective way of management.Finally according to the result of theoretical analysis and empirical analysis to the interest rate risk management of commercial banks, this paper puts forward several improvement suggestions, mainly including accelerating business transformation, strengthening the judgment of the benchmark interest rate trends, establishing effective interest rate risk management mechanism, using derivatives to avoid interest rate risk, etc.