Research On Interest Rate Risk Management Of Commercial Bank Based On Duration

This dissertation is supported by Humanities-Society Scientific Research Program of Hebei Province Education Department (Research on Interest Rate Risk Management of Commercial Bank Based on Duration. Grant No: S040412).With the development of market economy, Finance turns into the kernel of contemporary economy. The function of Interest Rate becomes important increasingly. Interest Rate is one of important lever that adjusts national economy. Through 20 years' reformation, an important structural change has happened in the financial system of China. As the maximal financing main body, Commercial Bank has remarkable influence on social economic activity. At present, the innovation on finance has reached a pivotal period in China. The innovation on Interest Rate marketlized has become an inevitable trend. IRR will become primary risk in Commercial Bank. It will become extraordinary importance that we should strengthen the analysis and research on IRR.The dissertation constructs completely immune model against IRR for Commercial Bank, based on existing model. It will provide an effective tool for IRR management. This paper mainly includes: 1. The postulate of IRR management, it introduces the conception of IR and IRR, two theory of IRR management for Commercial Bank. 2. The compare of measurement model, this chapter analyses Interest Sensitive GAP model and Duration model. Moreover, the advantage and shortage are indicated. 3. Construct IRR completely immune model, this chapter improves on Duration-Convexity model, discusses the completely immune model and principle on the condition of flat and stochastic process's Term Structure of Interest Rate, analyses the maneuverability and adaptability of this model. 4. The application analysis of the model, this part obtains TMIR curve by the national bonds have existed in Shanghai bourse, based of which this chapter analyses effect of completely immune model.Completely immune model in this dissertation is not a simple deny but an improvement to the traditional immune method. It enhances the practical effect of IRRM. The research in this paper will provide decision-making with scientific base and valuable reference.