Interest Rate Risk Assessment Of China's Commercial Banks Under The Background Of Interest Rate Marketization

With the deep development of financial market and economic liberalization,the interest rate is becoming a more important economic variable in the financial market.Compared with western countries in the 1970s' wave of market liberalization,interest rate marketization in China started relatively late,the interest rate market behavior can be traced back to the earliest 1996 when China opened to the interbank interest rate,until 2015 China liberalized the bank and other institutions deposit interest rate cap and the implementation of the deposit interest rate ceiling the floating interest rates,China's interest rate marketization processed into the acceleration stage.In the long term,the interest rate market is not only in conformity with the development trend of the current financial market,but also a good strategy to release the economic vitality and to stimulate the market enthusiasm.It plays an irreplaceable role in the development and perfection of China's financial system.The main content of the article is divided into six parts.The first part is the introduction part,including the background,purpose and significance of research.It also tells us what kind of perspective the marketization of interest rates based on,and the historical background of the article,at the same time,this part presents ideas,general framework and methods of this article,making a brief description of the innovation point in this paper.The second part involves theoretical literature,showing the definition of the interest rate market and the interest rate risk concept,then summarizes two kinds of mainstream market interest rate theory,and shows related Chinese and foreign literature review at the same time.The third part analyses the current situation of interest rate liberalization in China,and puts forward the dilemma in the process of analysis,telling us the commercial bank's interest rate risk factors,and summed up the six points may be caused by commercial banks face interest rate risk factors.The fourth part is the empirical analysis part,including data selection,data checking,VaR value calculation and result analysis.Based on the GARCH model,we calculate the overall interest rate risk of the state-owned commercial banks,and then analyze the major state-owned commercial banks from the two angles of the interest rate gap and the interest rate risk.The fifth part draws the conclusion and puts forward related suggestions of state-owned commercial banks interest rate risk prevention,Specifically from two angles including the establishment of a sound interest rate risk management mechanism and the construction of China's macro financial environment,the content mainly involves the legal laws and regulations,supervision system,business innovation.The last part is the summary and outlook of the article.On the basis of the last five chapters,the article puts forward the new expectations of the state-owned commercial banks in dealing with the interest rate market.