Commercial Bank's Optimal Gap Management On Interest Rate Risk And Its Empirical Evidence

Under the trend of the liberalization of interest rate market, the variation the interest rate will be more frequent, and this means that there will be compound change in the interest rate risk management of commercial bank, thus the development of new method to the interest rate risk management is becoming more and more crucial.The interest rate risks which the banks counter are staggered risk and permanent risk, and then the process and the methods of interest risk management are summarized. The traditional gap management doesn't include the precise solution to the optimal gap and detective the relation between the interest rate variation and bank performance. The thesis trying to solve this problem under the framework of expected utilization maximization.In the empirical part, this thesis takes data from 2001 to 2005 as the basis and analyzed the related issues of gap management of commercial bank. We find that there is lagged management of commercial bank. Next, a simulation analysis is conducted, then, Flanery partial adjustment model is taken to detective the features of gap management and relation between gap management and the performance of commercial bank.At last, according to the interest rate forecast and formal analysis, the thesis discuss the application of Optimal gap management from the degrees of premises, operational methods and financial engineering.