The Study To Interest Rate Risk Management Of Chinese Commercial Bank Based On Duration Model

Along with the speeding up of market advancement of Chinese interest rate, thefrequency and the scope of interest rate's Fluctuations will be bigger and bigger. Theinterest rate risk will be the main risk of commercial bank gradually. It will becomeextremely important to strengthen analysis and research to the interest rate risk.The research starts from the background of market-oriented interest rate, andanalyzes each kind of interest rate risk which under the Market-oriented interest ratecommercial bank face, describes the interest rate risk Chinese commercial bank faceunder the trend of market-oriented interest rate present and the interest rate riskmanagement situation of Chinese commercial bank. Then the paper analysis each kindof main model of weighting interest rate risk, like the sensitive gap mode, durationmodel, the VAR model, compares with each kind of model's strengths andweaknesses, The paper carries on the detailed explanation and the comparisonresearch to duration model, carries on explanation to each kind of strategy ofinterest rate risk management.Because the interest rate deadline structure is important in the measuring interestrate risk and in the interest rate risk management, the paper conducts a detailedresearch to the interest rate deadline structure. Finally, according to the theory ofAssets and Liabilities Management and using duration model principle, the paperconstructs management model of interest rate risk based on the stochastic duration.The paper conducts the Empirical Study of rate deadline structure using our bonddata. using the annual report data of Merchant bank, paper carries on the exampleexamination to the model, confirms the model validity in order to provide somereferences for Chinese commercial bank's interest rate risk management.