The Study Of The Risk Management For Interest Rate Of Commercial Bank

The rate is one of the foremost variables in the financial market, and the change of interest rate will make an important influence on the whole financial market, even all the economical life. At present, the reform of China interest rate marketing advance by grading and steps, the interest rate risk also become the main risk of China's commercial bank. Our country carry out the control of interest rate in long time, the capability and the experience of interest rate management lag the advanced western commercial bank. So, how to manage the interest rate efficiently will become the main difficult problem for our commercial bank. This article will base on this fact, and try to systemic study the management of interest rate. According to the experience of international advanced commercial bank, the author will find the risk of our commercial bank in the interest rate marketing, analyze the capability of which commercial bank face and resist the interest rate risk, and finally put forwards the advices for enhancing the management of interest rate risk.Based on recognize and measure the interest rate risk of commercial bank, this article will use the methods of qualitative analysis, quantitative analysis, theory analysis and demonstration analysis, and analyze some interest risks, such as reprising risk, yield curve risk, basis risk, optionality, institutional risk and so on. This article will also study the sensitivity gap model, duration model, value at risk analyse method and simulation analyse method, and make comparison analysis of above methods. Though introducing the process of China interest rate marketing, the author will analysis its influence on whole economy and commercial bank, find the need of interest rate risk management, and put forwards the advices for enhancing the management of interest rate risk. In the tactical choice, we must adjust the financial product pricing mechanism, the capability of financial innovation, the capability of product exploitation; and also use the foreign experience to form the combination of duration gap management and dynamic simulation analyse method, and the combination of the adjustion of on-balance sheet asset liability position and derivatives offset; In the establishment of management system, we should establish the forecast system for the change of interest rate , the system for the measurement interest rate and the management system of modern interest rate as soon as possible; In the perfection of exterior circumstance, we should expedite to establish the financial market, adjust the active policy of rate and perfect the financial law and regulation.