Research On Interest Rate Risk Management Of Commercial Bank

With the deepening of our economic system reform and financial system reform, interest rate marketization has been pushed gradually. After interest rate marketization, volatility and uncertainty of interest rate will seriously affect earning of China's commercial bank. Thus, interest rate risk will become the major risk in China's commercial bank. But due to the long-exercised interest rate control, China's commercial bank has not paid enough attention to interest rate risk and also has not corresponding method and instruments to manage interest rate risk. How to manage interest rate risk effectively will become an importand problem for the management of commercial bank. The paper intends to study systematically interest rate risk management not only in theory but also in practice, analyses the method about how to recognize, measure and manage the interest rate risk, which we hope will be helpful to interest rate risk management of commercial bank in China .The paper is divided into seven charpters in construction. Charpter 1 discusses the necessarity, urgency and course of interest rate marketization in China and it's influence on commercial bank. Charpter 2 describes interest rate risk management origin, development, aims and principles which are established by Basel Committee. Charpter 3 analyzes the causes and identification of commercial bank's interest rate risk in our country. Charpter 4 detaily analyzes the measurement of interest rate risk including interest sensitive gap analysis, duration analysis and VaR, also points out their limitation in practice. Charpter 5 discusses how to control commercial bank's interest rate risk. In this part, it analyzes the tactics of using balance sheet, the utilization of financial derivatives and asset securitization to manage and avoid interest rate risk. Finally,the paper gives some suggestions on how to construct interest rate risk management system of China's commercial bank.