Research On Deepening Of Interest Rate Liberalization And Commercial Banks' Interest Rate Risk Management In China

With the establishment of market economy mechanism and development of financial market, interest rate supervision has already not been fit for the economic development, and in some degree even limiting it. In order to get with the world economy development and satisfy the necessity for release on interest rate supervision, the Chinese government began promoting interest rate marketalizaiton. Due to implement of it, there appears interest rate risks and with its variability. However, our country is striving for it and this is also the problem faced by commercial banks and needed to be solved suitably.The thesis has six chapters. The first chapter shows the subject of circumstance, goal,meaning and the condition in and outside of China,finally it presents the content and methods of research.The second chapter lists theory of interest rate marketalization,the theory and models of management of interest rate risk.The third chapter analyses meaning,purpose,procedure if mterest rate marketalization and content of deeped reformation.The forth chapter analyses the models,methods and problems in management of interest rate risk in commercial banks in China.We could see , as the deepenedd of interest rate marketalization,new interest rate risk appear,however the risks can't be solved effectively by commercial banks.Take Interest Rate Sensitive gap for example,it only consider the static relationship between assets and liabilities not showing present value and options factors.The result can't reflect the true condition of interest rate fluctuation,These ways such as interest rate sensitive gap,duration model and so on couldn't demand commercial banks to manage the mterest rate risks.So in chapter five,based on the theory of interest rate risk management from abroad we discuss the application of VaR method for interest rate risk management in commercial banks.The method analyse the data of mterest rate,predict the interest rate risk in commercial banks in the future.The last chapter suggests the proposals for interest rate risk management for commercial banks.It shows how to improve the Sensitivity of economic entity,expand intermediate business and innovation of interest rate risk management and so on.From the thesis, we could see using combination of logic and history analyse to interest rate marketalization and interest rate risk management. Using qualitative analysis and quantitative analysis predict interest rate risk on VaR.VaR collect the interest rate date to combine in the model getting the value of interest rate risk.