Research On The Application Of Duration Model In Interest Rate Risk Management Of Commercial Banks

In the modern economic system,finance plays an important role with its particularity.As one of the symbols of capital price,interest rate is a very important factor in the financial field.With the collapse of the Bretton Woods system,the original gold standard model has changed.The emergence of the liberalized financial model has made the changes of financial factors such as interest rate and exchange rate more complex and more difficult to predict.Financial assets have also changed due to the change of interest rate and fixed income,which also gives greater risks.In the financial market,opportunities and risks always coexist.China has gradually opened up the marketization of interest rate and made some achievements.At present,interest rate risk is one of the main financial risks in China’s financial market.In China’s financial market,affected by the system and other factors,in a long time,through the regulation of interest rate,the interest rate has been at a stable level for a long time.Only some commercial banks have raised the interest rate because of policies and other factors.In the process of long-term interest rate regulation,From the perspective of interest rate,the first problem solved by Chinese commercial banks is that word processing is composed of word and interest rate status.They are formed from profit analysis,that is,how to issue from interest sales is the primary problem for Chinese commercial banks.Through the corresponding cases to verify,the financial market can effectively measure the interest rate risk through the duration model.Based on this point,this paper studies the interest rate risk management of commercial banks in China.Firstly,combined with the promotion process of China’s interest rate marketization,this paper explains the current situation of risk measurement of China’s commercial banks,selects different types of China’s commercial banks-state-owned banks,joint-stock banks and regional banks as the analysis object,uses the method of empirical research,combined with the case banks in different types of banks,and uses the model to study the interest rate risk of ICBC,China Merchants Bank and Bank of Nanjing.By using the duration model,we can find that different banks have a certain convergence in the duration gap over the years,and only the joint-stock bank China Merchants Bank has a large gap change.Combined with the interest rate adjustment of China’s central bank,it can be found that the average value of banks in different types of cases has decreased;In the process of interest rate risk control,if the duration gap is positive,the interest rate increases and the bank’s net asset value decreases,the asset shrinkage can be reduced by increasing the convexity gap.Combined with the theoretical and empirical analysis of this paper,it can provide some reference for the current interest rate risk management of China’s commercial banks.At the same time,this paper can adapt to the duration model to evaluate the interest rate risk,and can also provide some reference for other commercial banks,so as to help them better measure their own interest rate risk,and then effectively improve the interest rate risk management level of China’s banks.