Interest-rate Risk Management In Commercial Banks Under The Liberalization Of Interest-rate

It has been the focus of financial reforms in our nation that determining interest rate by market which are characterized by determining the interest rate through the demanding and supplying of the fund freely in the condition that the monetary authority has released or canceled the restriction with interest rate . This reform brings the price-competition mechanism to finance with the anticipation of deepen financial, enhancing the efficiency of marshaling financial resources and pushing economy forward. The theory and practice of financial deregulation verify the validity of interest rate marketing. Meanwhile there may have great financial risk in carrying out this reform especially to the commercial banks, whose major business are borrowing and lending currency, to which it may mean huge challenge and concussion in the condition of changing operation and determination interest rate mechanism. It depends on the financial cost ,managerial cost and the mastering and using of managerial bank's interest rate pricing as well as interest risk management technique for it to win the fury pricing competition. For the long period of interest rate restriction in our nation, the management of interest rate to the commercial bank are at a disadvantage position not only in theory but also in accumulation of experience which lead to the lack of effective interest rate pricing mechanism, anti-risk management mechanism and interest rate anticipation evaluation system. According to the experience abroad, strengthening and enhancing the management of interest rate risk to commercial banks has been the major taskto the commercial bank of our nation in the process of interest rate marketing.This thesis focus its study in the three lays of risk distinguishing, risk measuring and risk control according to general risk management theory. Above analysis are foundered on the necessary consideration of interest rate marketing and the correlative influence derived from the reform of interest rate pricing. Firstly, it classifies the interest rate risk in commercial banks into periodic risk and unvarying risk based on the reform process of interest rate marketing. The periodic risk derived from the reform period and have the characteristic of periodic as well as systemic; unvarying risk is the key point of interest risk management and exists in the general process of commercial bank' interest rate operation. Secondly, it submits the major method of interest rate measurement and management strategy for the commercial bank in our nation using the western mature interest rate management technique and theory for reference. It presents: (1) Gap management is the major interest rate risk management technique for the commercial banks in our nation for the reason of impersonality environment; (2) The commercial banks in our nation should set up internal control for the management of interest rate risk including professional agent for interest rate risk management, specific interest rate risk management mechanism, establishing interest rate measuring, forecasting and control system. Lastly, it carries out demonstration research with the background of Xi'an Industrial and Commercial Bank and presents much operational managerial policy. It presents: (1) The main risk the Xi'an Industrial and Commercial Bank confront are maturity-mismatch risk, basis risk and embedded option risk; (2) To carry out interest rate risk management through fundamental work, using interest-rate gap managerial model and developing midterm business.