Analyzing & Keeping Away Interest-Rate Risk In Commercial Banks

The risk management of interest rate is very important to each commercial bank. As to commercial bank in china, it has the same importance. Because the change of interest rate will affect net interest income of the commercial bank and market value of owner's equity. With the fluctuating of interest rate, the risk management of interest rate is more and more important. At present the risk management of interest rate is very simple, there are many problems in the practices of the management, so it is necessary to research how to improve its risk management.The purpose of this article is to explore some excellent methods to solve these specific problems that exist in the management of interest rate risk of the commercial bank in china.First the article describes the actuality and limitation in the system of Chinese interest rate, and analyses the necessity of the market-oriented interest rate. On this base the article analyses the types of interest rate risk in the commercial banks face in china.Secondly the article identifies the risk of interest rate, in the commercial banks. First it describe the trend of the interest rate by establishing time series modeI(ARIMA and ECM) to ascertain the impulse of interest rate( A r), and then puts up the interest-sensitive gap model and duration gap model to measure the interest rate risk. At last it explain the total risk management, and establish the value risk model to measure the total risk of the asset portfolio by using the software Mathematica4.0.Then the article focuses on how to manage the risk of interest rate. One method is to adjust the period structure of whole portfolio. With the feature of expensive cost, large amount of time consumption, this method is not factually adopted. Another way is to build position out of the balance sheet so that to hedge the net asset. The basic theory, which hedging the risk of interest rate, is that the value vibration of the position just offset the value change of the net asset when the interest rate fluctuates. The article introduces three kinds of derivatives including Interest Rate Future, Interest Rate Option and Interest rate Swap.Last the article concentrates on the effective the risk management system of interest rate, including organization system, function system, information system, risk management culture and inspiriting measure to ensure the risk management measure can be actually implemented.1 expect that above-mentioned ideas and methods will produce positive influence to the risk management of interest rate.