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Interest Rate Risk Management Research Of Chinese Commercial Banks Under The Conditions Of Interest Rate Liberalization

Posted on:2013-09-08Degree:DoctorType:Dissertation
Country:ChinaCandidate:B Q ShaoFull Text:PDF
GTID:1109330395475881Subject:Finance
Abstract/Summary:PDF Full Text Request
The modern economy can not be separated from the flow of funds, the interest rate as the price of capital plays a very important role, also is one of the most important variables in the market economy. Before1970s, the trend of the market interest rate is relatively flat, Western commercial banks pay more attention to credit risk, operational risk and liquidity risk in the business, the research and practice on interest rate management is penurious. Since1970s, under the influence of Financial Repression Theory&Financial Deepening Theory, some countries and regions have lifted interest rate control, and carried out market-oriented interest rate reform. The United States began to repeal Regulation Q in1970, and realized the reform in1986. The market-oriented interest rate has become a world-wide trend, and also become an important symbol of the modern financial system which is prefect. Along with the reform, the market interest rates fluctuated frequently, commercial banks faced the adverse situation of interest rate spreads narrow and the huge challenges of interest rate pricing, so a high degree of attention was caused by interest rate risk, the academics and banks in the world also began to research study the rate decision theory and interest rate risk management theory, practiced a variety of product pricing method and interest rate risk management tools.In1993, China government first proposed the idea of the market-oriented interest rate reform. Releasing the inter-bank lending market interest rates (CHIBOR) is a starting point in1996. With the reform step by step, the impact of the reform on the financial operation is an increasing, to some extent, so commercial banks face greater pressure on the operation, mainly in the savings and loan spreads narrowing the increasing growth and increasingly prominent and frequent changes in interest rate risk. At the same time, however, the overall management level of China’s commercial banks are still not high, pricing mechanisms and response to interest rate risk management capacity is still insufficient. Therefore, the study of the theory of interest rate risk, the internal funds transfer price, deposit and loan interest rate pricing of interest rate risk management, internal control system, not only has far-reaching theoretical significance and practical reference value, but also the realistic needs of the survival and development of domestic commercial banks and response path.Based on the background that China is in the process of market-oriented interest rate reform, this paper first reviews the reform process of China’s interest rate market, analysis of the characteristics of the reform, the main conditions of the study reform in difficult areas must have:macroeconomic stability, sound microeconomic foundation, financial markets and effective regulation and supervision, analysis of the current conditions of availability, pointed out that the commercial banks should take response measures, including changes in the profit model, interest rate risk management capabilities and a strong push product innovation. Article, drawing on the experience of other international reforms, first proposed the argument of the reform to be lasted for sixteen years, forecast the time of the completion of China’s reform positively, prospects the overall progress. The article goes on to introduces the theory of interest rate risk, including interest rate risk, meaning characteristics, manifestations and measurement model to study a foreign bank’s management tools and management processes, learn from the advanced management experience in the United States and Singapore. The article also analyzes the present situation of China’s interest rate risk management, point out the existence problem of the technology, systems and other aspects. This article research funds transfer pricing, present its origins and meanings, and focus on its four functions:the splitter of interest rate risk, the evaluation of benefit accounting, business products pricing and the transducers of resource allocation, also analysis four major changes to commercial banks, a benchmark yield curve for pricing law, drawing on the experience of other countries, to develop domestic practice, it exists now, and proposed the corresponding countermeasures and suggestions. The article goes on to focus on the study of deposit and loan products pricing management, deposit pricing and loan pricing theory, analysis the pricing model, pricing methods and pricing process, expound the advantages and shortcomings of the various methods, analysis the RAROC pricing methods, and analysis of the problems of the deposit and loan management, and proposed the corresponding solutions. Finally, for the interest rate risk management situation and existing problems which is mentioned previously, learning international management experience, this paper explore to establish interest rate risk management organizational structure in Chinese commercial banks, improve the internal control system and design the scientific construction.
Keywords/Search Tags:market-oriented interest rate, commercial banks, pricing model, funds transferpricing, pricing of deposits and loans, interest rate risk management
PDF Full Text Request
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