The Research On Interest Rate Risk Management Of Chinese Commercial Banks

Since 1980's, under the financial innovation's and the technology advancement's influences, the whole world financial market have had the huge changes, the interest rate risk has become one of commercial bank main risks. The various countries' commercial banks have set up the interest rate risk management organizations, studied the advanced management technologies and the methods, realized to the interest rate risk circumvention and own benefit enhancement. Many fruitful and emerged unceasingly by the widespread application models, like the gap management model, the duration model now are still the interest rate risk management mainstream technologies.Along with our country interest rate marketability advancement, the market rate undulation is day by day frequent, the interest rate risk is rising the main risk which faces for our country commercial bank management and operation in, the interest rate risk guard and the management will also become our country commercial bank an important work. Because our country continuously has implemented the strict interest rate control policy years ago, causes the commercial bank the interest rate management is in the low level. Not only from exterior management environment, but also from the internal management method and the mechanism, its resistance interest rate risk ability extremely is very weak. When our country commercial banks face to the interest rate risk which brings from this, the situation is extremely stern. Therefore in our country interest rate marketability reform in the advancement which advances with steady steps, how introduces the overseas advanced management ideas and the technology, how guards interest rate risk and how raises the interest rate management level have become an item vital and the urgent duty in front of our country commercial bank.Under this background, in view of our country in the interest rate marketability reform advancement, unifies the commercial bank interest rate risk management and our country interest rate marketability reform, research interest rate marketability to commercial bank interest rate risk management influence, our country commercial bank interest rate risk management present situation and existence insufficiency, next reform direction and mentality and so on, have the strong theory and the practice significance.The present paper altogether divides into five chapters, the primary coverage is as follows:First chapter mainly summary the commercial bank interest rate risk management research situation of domestic and foreign countries. Looked on the commercial bank interest rate risk management overall research situation, the overseas scholar must be more thorough than regarding the commercial bank interest rate risk research the home. The present stage domestic research majority aims at the theory, how should carry on to the commercial bank actual operation rarely has the elaboration. Therefore, our country scholars have the necessity through the study and the absorption overseas scholar's in commercial bank interest rate risk management research results, then acts according to our country concrete economy movement situation, strengthens to the commercial bank interest rate risk management research, enhances the commercial bank to manage the interest rate risk ability, finally promotes the entire economic system consummation and the development, promotes our country economy to grow.Second chapter detailed introduction west commercial bank interest rate risk management elementary theory. The commercial bank is facing four main interest rate risks is repricing risk, the fundamental point risk, the option risk, the income curve risk. In the interest rate risk management aspect, may the management realizes through the property debt outstanding in management and outside the property debt table. Manages the aspect in the property debt table, to the interest rate sensitive gap, the duration gap, the VaR method and so on the international general method definition, the characteristic and so on has carried on the exhaustive explanation, and has excavated respective good and bad points thoroughly. Manages the aspect outside the property debt table mainly is uses the financial derivation tool, outside the utilization table the tool mainly includes the forward interest rate agreement, the interest rate stock, the interest rate exchange, the interest rate option and so on. Third chapter has analyzed the interest rate marketability to our country commercial bank's influence. First reviewed our country interest rate marketability reform advancement, mainly has analyzed in the interest rate marketability reform main event as well as to our country interest rate reform vital significance. Then has carried on the analysis to the interest rate marketability to our country commercial bank's influence, mainly displayed is causing the commercial bank competition to intensify, the saves and the loans' difference reduce unceasingly, the financial product fixed price ability urgent need enhancement, interest rate risk management difficulty remarkable increase.Fourth chapter has carried on the analysis to our country commercial bank interest rate risk management present situation. First through the interest rate risk degree which faced to commercial bank's resistance interest rate risk ability and the commercial bank has carried on the analysis. In first several chapter of theoretical analysis foundation, through real diagnosis analysis method, using functionary capital sufficiency of capital, the property ratio of debt to net worth analyze our country commercial bank resistance interest rate risk ability; and through our country interest rate sensitive gap present situation, the interest rate risk degree faces which to our country commercial bank has carried on the analysis. And question which exists at present to our country commercial bank interest rate risk management, has carried on the analysis from the commercial bank own existence question and exterior management environment existence question two aspects.Fifth chapter analyzes our country commercial bank interest rate risk through the first several chapter of theoretical analysis and the real diagnosis, put forward some proposals to our country commercial bank's interest rate risk management strategy. Including speeds up our country commercial bank interior reform, as well as improves commercial bank interest rate risk management external environment, all are advantage to the commercial bank establishes as soon as possible advanced suits own interest rate risk management system.