OTC Interest-rate Derivatives Service And Risk Control Of Commercial Bank

With the rise of disintermediation phenomena and mutual fund all over the world since 1970s, the traditional function of commercial bank has been weakened on the whole. The function of commercial bank need to change from "Financial Intermedia" to "Service Intermedia", and risk management function should be a new way. With the process of marketization of interest-rate, the need for interest-rate risk management has increased gradually. Finance market has already opened to foreign banks, which has rich experience in the service of derivatives. Confronted with the chances and challenges, commercial bank in china should also develop this service.Compared with other scholars' research, most of which analyzed how commercial banks use interest derivatives to manage their own interest risk, this thesis studied how commercial bank provide interest-rate risk management with interest-rate derivatives in a new angle. This thesis applies the knowledge of economics and management to the analysis of whether the commercial banks in china need to develop this service or not, how to use interest-rate derivatives to manage risk for clients as well as the layout of this service.On the pricing of interest-rate derivatives, the current theory is based on No-arbitrage Pricing principle to price them, no research proposed how to measure the risk premium. Considering commercial bank has accepted all the market risk from clients, this thesis points out commercial bank could choose a risk ratio between that of single contract and all contracts as the risk premium according to their own competition and situation, which is the most important innovation of this thesis.In respect of the risk of the service, this thesis analyses the credit risks and operation risks with game theory and prospect theory respectively, and then give the countermeasures; on the market risks management, this thesis proposes using hedging method and VaR plus stess testing method. At the end, this thesis proposes some other problems and gives the suggestion.