Research On Interest Rate Risk Management Of Four State-owned Commercial Banks

As one of the top four commercial banks in the world,Bank of China(BOC),Agricultural Bank of China(ABC),Industrial and Commercial Bank(ICBC),and China Construction Bank(CCB)has shouldered the important historical mission of maintaining the bottom line of risk,undertaking social responsibility and supporting the development of the real economy.However,with the accelerated pace of interest rate liberalization,the emergence of financial products and the increasing uncertainty in financial markets,interest rate volatility has become increasingly fierce.How to improve its interest rate risk management level and enhance risk prevention capabilities has become a major problem.In this context,based on China's actual national conditions,it is of great significance to study the interest rate risk management of the four state-owned commercial banks in China.This paper constructs the research system of interest rate risk management of the four state-owned commercial banks from three aspects: risk analysis,risk measurement and risk control.The specific ideas are as follows:Firstly,at the level of risk analysis,this paper reviews the relevant theories of domestic and foreign scholars on the interest rate risk management of commercial banks,and finds that China's commercial banks are faced with four major interest rate risks.Later,through comparative analysis,the VaR model is more suitable for the current stage of China's top four commercial banks.Then this paper studies the risk impacts of BOC,ABC,ICBC and CCB after interest rate liberalization,and from capital adequacy ratio,asset-liability ratio,net interest-toincome ratio and intermediate income ratio analyzes the ability of the four major banks to resist interest rate risk and discusses the problems of interest rate risk management.Then,at the risk measurement level,this paper selects the bank interest rate data of the Shanghai Bank Interbank Offered Rate of BOC,ABC,ICBC and CCB to establish the VaR model,in order to quantify the interest rate risk levels of the four banks.After descriptive statistics and test analysis of the original data,the AR-EGARCH model is established.The final empirical results show that the AR-EGARCH model is robust and suitable for measuring the interest rate risk of commercial banks.VaR is in 95% confidence level passed the backtest test,indicating that the VaR model is accurate and operative in measuring the interest rate risk of the four major state-owned commercial banks;the variance of interest rate changes between BOC and ABC is easily affected by the new market interest rate;the impact of interest rate changes of ICBC and CCB has strong persistence,and the interest rate changes of these two banks have leverage effect;Compared with ICBC and China CCB,the average value of VaR of BOC and ABC is larger,reflecting the potential loss of interest rate fluctuations per unit of short-term assets.Finally,at the level of risk control,this paper proposes countermeasures for the interest rate risk management of state-owned commercial banks from the aspects of establishing interest rate information management system,developing intermediary business,improving financial product pricing mechanism,enhancing risk management awareness and strengthening professional personnel training.