A Research On Causes And Prevention Of Interest Rate Risk Of China's Commercial Banks

With the advance of the liberalization of interest rate, interest rate risk will become one of important risks to commercial banks in our country. So, how to manage interest rate risk will be a practical task for financial authority and commercial banks in our country. Based on the situation of our country and foreign advanced theories and experience, the paper systematically researches the magnitude of interest rate risk of the commercial banks in our country and its management state with combining theory description and empirical analysis.First, the paper systematically and comparatively introduces four basic interest rate risks which include repricing risk, yield curve risk, basis risk and optional risk and their shows in the commercial banks in our country and measurement models of interest rate risk which include financial plan model, interest rate sensitive gap model, duration gap model, VaR model and dynamic simulation model. Second, under the condition of system transformation and liberalization of interest rate, the paper summarizes few special interest rate risks of the commercial banks of our country. Because of being short of data and backward in technique, the paper chooses interest rate sensitive gap model and the data of the second season of five listed banks of our country in 2004 and 2005 to analyze the magnitude of interest rate risk with interest rate sensitive gap, interest rate sensitive ratio and its deviation and gap ratio. At last, the conclusion shows that there are interest rate risks in the commercial banks of our country. And in management, these banks have some advance, but they are still old-fashioned in thinking. Their cumulative interest rate sensitive rates are close to 1. Finally, based on the above analysis, the paper puts forward basic principles and sets up...