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Research On The Interest Rate Risk Management Of China's Commercial Banks Under The Financial Open Condition

Posted on:2005-04-08Degree:MasterType:Thesis
Country:ChinaCandidate:L M ZouFull Text:PDF
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China's liberalization reform of interest rates has been carried out since the beginning of 1990s. Interest rate, the price of capital, will be decided by market gradually. Since 1996, interest rate, which was used by the central bank of China as lever to adjust and control the economy, fluctuates so frequently that it has no parallel in the history since the foundation of P.R.C. With the more and more frequent adjustments, Interest Rate Risk (IRR) of the commercial banks is getting more and more serious. Uncertainty of net interest income will do harm to the benefit of commercial banks of China. More seriously, due to the historical reason, IRR management is always neglected by the commercial banks of China, which makes most of the commercial banks almost have no idea of interest rate risks. Measuring and managing techniques on IRR are poor and laggard. Therefore, studies and analysis of IRR, improving the level of IRR management become the most important and urgent tasks confronted with the commercial banks. Under such background, this thesis not only comprehensively introduced the most advanced IRR management methods and tactics in the western world, but also thoroughly discussed the questions that the domestic commercial banks are facing at present. It is of great importance to the commercial banks.There are five parts in this thesis. The first part mainly discussed about how to measure the IRR of commercial bank. Whether the IRR management is effective or not is decided by the preciseness of the measurement of IRR, therefore, this chapter is one of the core contents in this thesis. Theory and application of interest sensitive gap analysis, duration gap analysis and dynamic simulation analysis are studied in this part. The second part mainly discussed about the basic methods, tactics and tools for the commercial banks to manage its IRR under the condition of mature market economy. It also made deep analyses on the advantages and disadvantages of the basic methods, tactics and tools. The third part mainly discussed types, causes and state of IRR of today's commercial banks of China. The forth part discussed the IRR management from the point of system and organization construction. Conclusions and advices on IRRmanagement are given at the last part.Zou Li-ming( Finance)Directed by Piao Ming-gen Dong-fan...
Keywords/Search Tags:Commercial Bank, Interest Rate Risk Management, Duration, Hedging, Balance Sheet Management Strategies
PDF Full Text Request
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