Research On Interest Rate Risk Management Of Commercial Banks Under The Background Of Interest Rate Liberalization

With the gradual advancement of interest rate marketization,commercial banks are facing the opportunities brought by interest rate liberalization.At the same time,the risks they face,especially interest rate risks,are gradually becoming more prominent.As the market interest rate fluctuations intensify,interest rate risks gradually become commercial banks.One of the main risks,therefore,how to identify interest rate risk,rational use of risk measurement model to measure risk,and effective management of risk,so that commercial banks maintain stable development in the process of market-oriented reform,China's commercial banks need to pay attention to and solve The problem.The main content of this paper is how to strengthen interest rate risk management in commercial banks based on the marketization of interest rates.Firstly,based on the existing literature,this paper introduces the concepts of interest rate marketization and interest rate risk and related theories,expounds the concept of interest rate marketization,reviews the interest rate marketization process in China,and separately deals interest rate risk.Interest rate risk management and classification of interest rate risk are introduced.At the same time,it expounds the theory of interest rate risk management,mainly the theory of assets and liabilities and the theory of off-balance sheet management,and analyzes the impact of interest rate liberalization on China's commercial banks,including positive and negative impacts.Secondly,this paper introduces the interest rate risk measurement model of commercial banks,which are the interest rate sensitivity gap,the duration gap,the VaR analysis method,and the applicability analysis of different risk measurement models,and then the next chapter is an empirical analysis of the interest rate risk of China's commercial banks.be prepared.Thirdly,after introducing and comparing different measurement models,this paper selects the more representative Shibor overnight lending rate data for theempirical analysis of the research sample,measures the overall interest rate risk of China's commercial banks under the interest rate marketization,and constructs the VaR model.In-depth study of the relationship between interest rate risk management of commercial banks and interest rate marketization,it is concluded that interest rate freedom increases interest rate risk,and commercial banks should strengthen the management of bank interest rate risk.At the same time,this section will use the interest rate sensitivity gap model to supplement the analysis of commercial bank interest rate risk.Finally,this paper puts forward relevant policy recommendations for the management of interest rate risk of commercial banks in China: different types of commercial banks have different emphasis on interest rate risk management,build risk management system,accelerate the cultivation of professional talents,innovate financial derivatives,vigorously expand intermediary business,and strengthen Interest rate risk supervision and so on.