Research On Interest Rate Risk Management Of Commercial Banks

Since 1980' s, because of the proximity of global economy, liberty of finance, financial innovation and technical progress, the financial market in the world has changed fundamentally and structurally, with its scale expanding and its efficiency enhancing. At the same time, the Volatility and systematic risk become more notable, in which the interest rate risk is the main kind. The commercial banks in many countries set up different institutes of IRR management researching and developing the techniques and methods, in order to avoid the risks and increase the benefits. In the while, lots of efficient and popular methods are coming forth, such as Gap Model and Duration Model being the primary even now. However in China interest rate is restricted, most of commercial banks lack the consciousness of IRR management, and the techniques and methods are behind the world. After the marketability of interest rate, they will meet big challenges. So the aim of this thesis is to introduce advanced techniques and methods of IRR, then to use them analyzing our commercial banks, finally to find the problems and solutions.This paper consists of four sections. The first section is the base of the whole thesis, including the conception of IRR management, its procedure, and history. What' s more, it classifies IRR and sum principles of its management; the three kind techniques of IRR management are the thread of the second section. It expounds different kinds of techniques, such as Gap Model, Duration Model,FRAs, Future and Option; with the Gap Model and Duration Model, the third section use the balance sheet of our commercial banks to reveal the IRR conditions of them; on the basis of experiences of leading banks in the world, the paper puts forward several suggestions in the last section.