The Study Of Interest Rate Risk Management In Agricultural Bank Of China, Jilin Branch

The interest is the price of the currency capital, used in token of currency capital of propagate the degree. As the price of capital, the interest means the income of lending money and the cost of borrowing funds .The interest rate is the ratio of the interest and principal. The interest rate is in the vital point position in the whole reputation system. This text is to set out from our country's present condition of the market interest reform, combining the experience of the western commercial bank interest rate risk management, emphasizing on the thorough analysis research of the management of interest rate risk and banking loan in Agricultural Bank of China, Jilin Branch. The text puts forward the suggestion towards guarding against the interest rate risk of the bank, establishing the system of the commercial bank interest rate risk management and the banking loan price system. The full text includes four parts, about 29,000 words.The first chapter is a general introduction part, the synopsis review our country's market reform process of the interest rate. The reform has already obtained the materiality progress, its main content is under the condition of market economy, the finance trades the corpus to possess the interest rate list price power, the government or National Central Banks can only ability the affects the financial property interest rate indirectly. The market interest rate reform will exercise a great influence on commercial bank of mobility, latent credit risk, the property liabilities management and the business development strategy etc. produces the profound influence, particularly to put forward the higher request of the bank interest rate risk management. This text elaborated the interest rate management to important meaning of the commercial bank. As the means of earnings, the competition and guard against risk in the commercial bank, the interest rate management is in the core position in property debt management. Because our country's commercial bank lacks of the enough understanding to the interest rate risk management for long time, so how to guard against and dissolvethe interest rate risk, become the problem that has the widespread meaning.The second and third chapters are textual points. This text carries on the thorough research to the risk type and the formation reason of the bank, to the risk price system on loan and put forward corresponding suggestion of the reform. The text has actuality leading function.The gap income of interest is one of the most important sources of our country's commercial bank profits, the interest rate motion becomes the important reason of the bank risk. The interest rate risk and the bank managements are concomitant but living of. It is also one of the important sources that the bank wins the benefit and capitals to increase in value. But, the excesssive interest rate risk will result in the threat to the bank. The change of interest rate will make the current value of the cash discharge of the future variety thus affect the bank's value assets and liabilities. According to the demarcation standard that western commercial bank go through, the interest rate risk mainly has: the interest rate mature period indentation risk, term structure risk, list price foundation risk, option risk etc..A bank adopt what interest rate risk management method will be decided by the complicated degree and properties of that bank assets the managements and the interest rate risk level that it faces. A technique method that measures the interest rate risk is: The sensitivity analysis method, the duration analysis method and scenario analysis method. Currently our country's bank widespread indentation analysis method to analyze to measure the interest rate risk is the sensitivity analysis method. This text mainly applied this method to carry on the substantial evidence research towards data of recent two years and find the main interest rate risk the bank face:1. The bank has comparative bigger interest rate sensitivity negative indentation, the indentation rate comes to a 65%. When the interest rate predict to descend, this kind of assets liabilities structure is to be advantageous to the bank income, but in the rise period of the interest, the bank will face the huge interest rate risk.2. That bank uses short term liabilities supports the long-term property, when the interest rise this will bring the loss risk for the bank.3. The basis of the interest rate price risk, this is mainly because the basis interest rate of the central bank is changed to make whole benefit differ tend. But the bank enlarge the income of interest mainly because the bad loan ratio has descend, the credit quantity is better.4. The option risk.5. The rate of return curve risk. This is mainly because the central bank's basis interest rate of deposit and credit changes differently.Currently the bank interest rate risk management should lay particular emphasis on fixing price system of credit. It should be concentrate on the establishment of the system scientifically. Now the financial service level of state-owned bank of our country is comparatively low, the product difference is small. The means of interest rate list price will become the most important means for commercial banks to fight for the customers. This text think to build up the price system of loan should include the four greatest links: The internal funds transfers system ,the evaluation of loan risk system, the scientific authorization system and proper fixing price system. This text analyze the data of loan rate for the recent two years, pointing out that whole float level is high; the price system is too simple; can not reflect the equal footing principle of the risk income; the long-term loan has no insurance premium etc. and further analyzed the reasons. The text gives the suggestion to establish price system of credit in keeping with circumstance for the bank.The chapter 4 of the text is based on the analysis above. It put forward the suggestion that how to guard against the interest rate risk in the long-run and how to establish management mechanism of interest rate risk. The bank should pay attention to the five points:1. Practice the mode with the interest rate risk for center of assets and liabilities management.2. Establish the basic process of the interest rate risk management, include the interest rate risk to identify, measure, handle, evaluate four stages.3. Build up the model of interest rate risk calculation according to macroscopic economic condition, the central bank monetary policy of basis...