Research On Interest Rate Risk Management Of Commercial Bank

With the opening up of our country, the function of market system has changed fundamentally through deepening the market-oriented reform. Goods market having been established, the interest rate marketization is being pressed ahead steadily. The main income of the commercial banks of our country comes from the interest rate spread between depositing and loaning, therefore their income source will become more unstable due to the interest rate marketization which includes the deposit interest rate and loan interest rate. Although the commercial banks of our country is developing the intermediate business in order to lessen the effects, it cannot avoid completely the risk brought by the changes of interest rates so long as the gap position between deposit and loan exists.By using the method of theory and practice combination, This thesis introduced the relative theories and concepts of interest rate risk management, Moreover, combining the experiences and lesson of foreign countries'interest rate marketization with the facts of the interest rate marketization of our country, and probed deeply into the problems that the commercial banks of our country has met and that it will meet. Also, The thesis makes some suggestions on the principles, structure of organization and personnel and so on ,which the interest rate risk management should adopt. In addition, the tools of gap position and duration management, which are used by the deposit and loan interest rate risk management, is presented. A brief introduction of the advanced interest rate risk management tools, such as interest rate future management and interest rate option management is made. In the end, The thesis analyzed the development of the commercial banks of our country in the aspect of deposit and loan interest rate risk management.The risk management of deposit and loan interest rate marketize studied in this thesis is one of the problems that are faced by the commercial banks of our country. This thesis could enlighten the commercial banks of our country on the risk management of deposit and loan interest rate marketization.