Measuring And Managing Interest Rate Risk Of Commercial Banks In China

Interest rate risk in the financial market risk is very important for commercial banks. This paper researches the anticipation of interest rare in China and the application of measuring and controlling interest rate risk. Making contribution to management of interest rate risk in China is main idea of this paper.Because of the competitiveness of quantitative analysis in controlling risk, this paper uses more quantitative analysis methods to expound how to calculate, control interest rate risk of commercial banks, and to introduce researches of quantitative analysis in home and abroad. This paper mainly consists of four parts. The first part is the anticipation of interest rate in China, analyzing interest rate environment of our country. The second part is the measurement of interest rate risk, paying attention to the application of measurement. Using interest rate sensitive gap, this part calculates interest rate risk, analyzes different reasons in two banks, and points the difference between two kinds of information disclosure. The third part is the management of interest rate risk of commercial banks, emphasizing the off-balance sheet management, in which deduces the need of establishing financial future market, such as bond future market, to control interest rate risk effectively. The fourth part is the principals in managing interest rate risk of commercial banks, pointing that controlling interest rate risk in China should accord with the national standards.