The Study Of Commercial Bank's Interest Rate Risk Measurement Models, And The Realistic Choice Of Commercial Banking In Our Country

With the continual development in the reform of the economic system and financial system, the reform of interest rate liberalization has been gradually advancing. However, on the premise of interest rate liberalization, the interest rate will take on more volatile and uncertain, so the interest rate risk will be the main risk in our commercial banks. Besides, as our country has implemented interest rate control for a long time, commercial banks ignored the management in interest rate risk, without adopting appropriate means and tools to measure the interest rate risk. Therefore, how to choose right model to effectively measure interest rate risk will be the important problem brought out to commercial banks in China. This paper tries to systematically investigate the measure models in interest rate risk, based on the advanced experience of the international commercial banks in this field, analyses the features of the interest rate risk and the impact resulting from the interest rate fluctuation to commercial banks in China from theory to practice, finally discusses the topic about how to choose our measure models.The paper consists of five parts: the first chapter is the introduction, which explains why to choose this subject, summarizes the present research both inside and outside our country, analyses the frame and research means in this paper and sums up the innovation of this paper. The second chapter mainly introduces the most common used interest rate risk measure models in the world, which is divided into three sections, interest rate sensitivity gap model, duration model and VaR model. The third chapter tells the history evolution of interest rate risk measure models. The fourth chapter analyses the interest rate risk our commercial banks may confront in the interest rate liberalization, which provides evidences in the selection on suitable model. The fifth chapter analyses the current situation in the measurement in interest rate risk, talks about the difficulties about the introduction and the choice of advanced models, lastly presents the works we should consolidate in the measurement in interest rate risk.This paper has several innovations as follows: (1) introduces the most common used measure models in interest rate risk, with deep analysis, and discusses their evolution rule. (2) Associated with interest rate liberalization and our commercial banks' asset and liability structure, analyses the interest rate risk our banks confront and the impact, which these risks bring. (3) Discusses our commercial banks' realistic choice in the risk measurement models.