The Case Study Of Sensitivity Analysis Of Citic Bank Under The Interest Rate Liberalization

China will not achieve financial liberalization without performing Interest Rate Liberalization,the Reform will return the power of asset pricing back to financial institutions,in a bid to free the market price from government’s direct control.China began its Interest Rate Liberalization since 1996,and recently the interests have been adjusted frequently,which brought banks the interest risks.The mismatched issue of deposits and loans which had not been concerned in the past became more prominent.The risks of reprising from interest rate ricks cost banks much more when the interests change frequently.Therefore,banks should strengthen the management of interest risk,increase the safety and initiative by monitoring,prevention and forecasting the interest risk.This paper first introduces the theory of Interest Rate Liberalization and describes the meaning process and current situation of Interest Rate Liberalization in China.Then it analyzes the impact of Interest Rate Liberalization on market interest rate and overview the classification of interest rate.as following it introduces four popular methods to measure the interest rate risk: the sensitivity gap analysis,the duration analysis and the VaR analysis,stress testing.Their prototypes and expansions are introduced and analyzed respectively.The final part is subject of this thesis,in which the management of interest rate risks in Citic Bank has been analyzed.The author describe the background of CITIC bank at first and carry on a periodical analysis on interest rate risks of CITIC bank based on the history of market interest rates.The second step is to use sensitivity Gap analysis method to measure and study the reprising risk in CITIC bank and then discuss the capability of CITIC bank in handling it;the last step is to forecast the future risks accounting to the influence of a complicated series of political and economic factors and make management suggestions to CITIC bank.Author hopes other banks or financial institutions can learn something from the successful management of CITIC bank on interest rate risks.