The Research On Interest Rate Risk Of National Commercial Banks

Our national commercial banks have to accept interest rate regulation for long time, who lack awareness and experience to manage interest rate risk so whose capacity of interest rate risk management could not match up with interest rate marketization in our country. Hence, with interest rate marketization and the five top national commercial banks listed on the stock market it is very important to measure and manage interest rate risk of national commercial banks, which help to not only reduce loss due to interest rate risk but strengthen competitiveness of our national commercial banks over international market.In addition, many scholars have suggested how to measure and manage interest rate risk of our commercial banks, but they have not separate national commercial banks from them to research. Therefore, based on preresearch this paper has chosen the quotation on overnight SHIBOR of five top national commercial banks-ICBC, ABC, BC, CCB, BOC to research and contrast interest rate risk level of them. From the empirical analysis, we can draw the following conclusions:AR(p)-GARCH(p.q) could measure the interest rate risk of five national commercial banks and then the risk level of per short-term assets on ICBC is lowest, and ABC is highest. This paper has also suggested how to enhance measure and management of our national commercial banks on interest risk rate in the end.