Study On Interest Rate Risk Management Of Commercial Bank

With the development of interest rate revolution in Chinese financial market, the commercial banks have already experienced the influence of interest rate risk. Also interest rate risk is one of the most important risks among all the ones commercial banks must to face them. Actually, western banks have researched and used several measurement models and control systems on interest rate risk. For instance, the GAP model is the easiest and oldest way for banks to measure whether the asset and the liability of a bank are match. For those international banks like citi-bank, standard charted bank and HSBC, they use more complicated models to measure the interest rate risk. In China, we still stand on the first stage of research about it, which is why we have to study it now.There are six main parts in this thesis, including introduction,summary of interest rate risk,research models,data demonstration and suggestion. First of all, this study analyzes what cause the interest rate risk in China. What is more, it also introduces different three models to measure the interest risk. They are GAP model, duration model and VAR model. This study uses the method of demonstration and statistics, adopts Industrial and Commercial Bank of China's data and makes use of SPSS statistics software to analyze the interest rate of ICBC.The conclusions show that the Chinese commercial banks have experienced interest rate risk already. It affects the bank's benefits and customer trust. At the end, according to the conclusion of this study, the writer gives some suggestions to the banks manager, such as improve the organization of the risk management, train the talents, and use suitable models to measure the interest rate risk. Finally this thesis also figures out the limitation of this thesis.The innovations of this thesis are that it studies the reasons lead to interest rate risk in Chinese financial market, and clarify the interest rate risk into four kinds, they are reprising risk, yield curve risk, basis risk and optionality risk. Adopt data then use GAP model, duration model to demonstrate the interest rate risk is another innovation of this thesis. For all the commercial banks in China, it is obvious that interest rate risk research is becoming more and more important and hopes this thesis can provide practical and pertinent ways for them.