Analysis On The Measurement Of Interest Rate Risk Of Commercial Banks Of China

Interest rate risk management occupy an important position in the man-agement of commercial banks, China's commercial banks is not Exception. As the continuous progress of the interest rate liberalization reform, inter-bank competition have become more drastic and interest rate changes have become more frequent, interest rate risk management will become increasingly impor-tant. Commercial bank interest rate risk identification, measurement, control and management is a very complex Complex systems engineering. It involves a very wide range, including a lot of things. This paper comprehensively an-alyzes the commercial bank interest rate risk measurement techniques used commonly.Firstly, this paper introduces the three measurement techniques of in-terest rate risk, widely used commercial banks:Interest rate sensitivity gap analysis, duration-convexity gap analysis and VaR analysis.Secondly, This these measurements of interest rate risk were compared. duration-convexity gap model is more precise than the interest rate sensitive gap model and we don't have enough conditions to induct VaR model. So now,the most appropriate model for the measurement of our commercial bank interest rate risk is duration-convexity gap model.Thirdly, through analyzing data,it shows that the introduction of the duration-convexity model is feasible.Finally, to the methods discussed and problems encountered in the article,I offer some suggestions.