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Interest Rate Risk Management Of China Commercial Bank Under Interest Rate Marketization

Posted on:2006-10-20Degree:MasterType:Thesis
Country:ChinaCandidate:Y X MoFull Text:PDF
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It is significant to realize the marketization of interest rate. Recently our country is continuously performing the reform of interest rate marketizaion basing on insuring stabiization of finance. However after interest rate marketization the interest rate risk of commercial bank resulted by fluctutation of interest is greatness. For long time under the circumstance of controlled interest rate system the interest rate risk is not obvious, ommercial banks of our c country did not attach inportance to the management of interest rate risk. But as picking up of interest rate risk reform the interest rate risk on management of asset and liability bring to the commercial bank of our country is emerging and it will directly affect the profit of commercial banks. To controll interest rate risk and maintain their net interest income commercial banks should take action to perfect interest rate risk management.It has been twenties years for development of interest rate risk management in developed country and the theories and technology on it is perfecting. To perfect interest rate risk management commercial bank of our country should use for reference foreign country' s technology and experience and strengthen analyse and reserch on interest rate risk .The thesis is concerning the subject of managing interest rate risk in commercial bank under the condition of interest rate marketization. First it introduces the status quo of our country' s interest rate marketization reform and two types of interest rate risk resulting. Then it expatiate the cause of formation and identification of china commercial bank' s interest rate risk. After that it compares methods in measuring and managing interest rate risks used by commercial banks of developed country and introduce two types of method and their limitation respectively in measuring interest rate risk, namely gap analysis and Duration Analysis. Finally basing on work condition of our country' s commercial bank and analysis in method of interest rate risk management of developed country the thesis discuss the strategy of our country' s commercial bank in interest rate risk management and put forward the assume of perfecting interest rate risk management system of ourcountry' s commercial bank under the condition of interest rate marketization.
Keywords/Search Tags:Interest rate marketization, Interest rate risk, Phase risk, Permanent risk
PDF Full Text Request
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