The Research On Interest Rate Risk Measurement Of Commercial Bank

Interest rate is the core of economy and finance. In financial market, the fluctuation of interest rate can determine the movement of currency market and capital market. Along with the liberalization of interest rate of our country, the risk of interest rate becomes one of the major risks of financial market gradually. The rapid increase of the risk of interest rate has increased the possibility that the commercial bank loses or goes bankrupt. But for a long time, our commercial banks are short of management experience of interest rate risk. Most of them have no interest rate pricing mechanism and lack of interest rate risk measurement and controlling system. Thus, how to deal with the risks associated with interest rate environment changes, how to identify, measure and manage interest rate risk become the urgent problem have to be resolved by commercial banks. Our commercial bank should improve the ability of managing risk of interest rate, which is inherent requirement in our banks' adaption to the reform of deregulation of interest rate. At this moment, it's necessary to put forward the issue of interest rate risk, and study it deeply.The key for raising the level of interest rate risk management is to establish a scientific interest rate risk measurement system. This paper comprehensively analyzes the commercial bank interest rate risk measurement techniques used commonly. This paper tries to systematically investigate the measure models in interest rate risk, based on the advanced experience of the international commercial banks in this field, analyses the features of the interest rate risk and the impact resulting from the interest rate fluctuation to commercial banks in China from theory to practice, finally discusses the topic about how to choose our measure models. In this paper, I introduced the types of interest rate risk, the principles of measuring risk of Basle committee on banking supervision and the main models of measuring interest risk in occident commercial bank. Then I analyzed the internal and external reasons of interest rate risk. After comparative analysis, we study the applicability of each model in China commercial bank. At last, I provide some feasible methods to improve the ability of our commercial banks to control their interest rate risk.