Interest Rate Risk Of Our Country Commercial Bank And Empirical Study Of Impact Of International Interest Rate On Domestic Interest Rate

Along with the progress of interest rate marketization reform of our country, interest rate changes more frequently and sharply.In the economic globalization and financial market internationalization background, the current globe financial crsis add to the interest rate fluctuation. Now interest rate marketization reform is on an important phase, we have made much progress, but on the other hand the ultimate goal of interest rate marketization has not been achieved, marketization of deposit rate and loan rate,the most important part,have not been finished . At this stage interest risk becomes more complicated for commercial banks, they not only have to face normal interest rate risk under fully marketization circumstance, but also have to face particular interest rate risk in the progress of interest rate marketization reform.West advanced countries have done deep theory research on interest rate risk, and have mature interest rate risk management technologies and methods. China's research on interest rate risk is late and laggard, commercial banks are lack of interest rate.risk consciousness and interest rate.risk management experience. Due to historical reason Chinese commercial banks value credit risk but attach less importance to interest rate risk. So learning interest rate risk manangement from west advanced countries and drawing on their experience are importance for us to establish appropriate interest rate risk manangement method and to avoid interest rate risk. It concerns both the prudently operating of commercial banks and stability of the whole financial system. Accurate analysis and forecast of interest rates are crucial to the effecitveness of commercial bank interest rate risk management. Shibor is our country's financial market benchmark interest rate and acts as the role of the vane. To study the changing rules of Shibor has important theoretical and practical significance for commercial Bank's interest rate risk management. On the other hand, interest rate is not only affected by domestic factors, economic globalization makes the world financial market increasingly close to each other, one country's interest rates counld also be affected by other countries' interest rate changes. So to analyze the fluctuation of international financial market interest rate on our country interest rate changes is very helpful for interest rate risk prevention and management.A lot of research work about interest rate risk by using qualitative analysis or quantitative analysis has been carried out in recent years, and many constructive research results have been achieved. Based on the combination of theoretical analyzing and empirical research, this paper studies the interest rate risk commercial banks face in the progress of interest rate marketization reform. The paper is divided into seven chapters. Chapter 1 gives an overivew of the significance of interest rate risk management in banking sector, provides background information and introduces this paper's structure arrangement and innovation. Chapter 2 has a brief review of the literature and introduces interest rate risk measurement methods development.Chapter 3 Analyzes interest rate risk characteristics and the factors that affect interest rate, introduces identification, managerment, external supervision of interest rate risk.Chapter 4 examines and compares several interest rate risk measurement methods. Chapter 5 introduces our country's interest rates system and interest rate marketization steps, discusses the necessity of the interest rate marketization and achievements,then describes characteristics of commercial bank interest rate risk under the condition of interest rate marketization, at last, analyzes our country commercial bank interest rate risk management, the problems and puts forward the corresponding proposal. Chapter 6 studies the features of China's inter-bank market interest rates (Shibor), analyzes the characteristics of different terms Shibor, conducts an empirical study to calculate VaR of china's interbank funding market using GARCH model, and uses the LR back inspection technology to inspect accuracy of VAR model in different distribution assumptions. Based on Markov Situation Transfer Model Chapter 7 conducts an empirical research on the effect of international financial markets to inter-bank offered rate in China, studies the influence of Libor on Shibor in three conditions "low volatility", "medium wave" and "high volatility".Last part of the paper is conclusion part.