The Study On The Management Of Interest Rate Risk Of The Commercial Banks

According to the strategic plan of the People's Bank of China (PBOC), the interest rate liberalization will be completely realized in the near two or three years in our country, which will deregulate the control of the interest rate from PBOC and make another dominatingmarket risk-interest rate risk-come into being. Thus how to manage the risk in orderto decrease losses and increase profits will be a very practical and pressing task placed in front of the commercial banks. Therefore, the dissertation firstly reviews the status quo of the innovation of the interest rate liberalization and analyzes the impacts of the interest rate liberalization imposed to the commercial banks. Then the dissertation thoroughly and systematically studies the management of interest rate risk in the three following steps: firstly, the dissertation analyzes the interest rate risk imposed to the commercial banks and subdivides the interest rate risk into the balance risk between assets and liabilities the basic risk the yield curve risk and the embedded option risk according to the Principles for the Management of Interest Risk issued by BIS in 1997. Secondly, the dissertation thoroughly and systematically studies the measuring methods of interest rate risk, which are named as Rate-Sensitive Fund Gap Analysis Macaulay's Duration Gap Analysis and Convexity Analysis. Thirdly, the dissertation introduces two methods of controlling the interest rate risk of the commercial banks, which are Off-Balance Sheet Method and In-Balance Sheet Method.However, managing of the interest rate risk is a kind of systematic engineering, which not only needs the three steps mentioned above, but also needs an efficient and perfect system of management of interest rate risk to provide an organizational and systematic guarantee for the commercial banks. Accordingly, the dissertation quests for the system of management of interest rate risk according to the Principles for the Management of Interest Risk issued by BIS in 1997, which are the structural system of the management of the interest rate risk the information system of the management of the interest rate risk and the internal controlling system of the management of the interest rate risk.