Study On Measurement Of Interest Rate Risk Of Internet Banking

The application of internet banking is increasingly popularizing around the world and begins to form a huge market. Nowadays, interest risk is gradually becoming the main risk of internet banking in the western countries. Interest risk is regarded as the main research object in many books about asset-liability management.This paper studies only on the interest rate risk of internet bank, which is better to reflect the characters of the risks and the strategy. First this paper clearly defines the relevant definition of internet bank. Then this paper emphatically analyzes the characteristics of interest rate risk, points out that the interest rate risk which the internet banks faced is different from the risk which traditional commercial banks faced. Interest rate risk control and management of commercial banks is mentioned a little.This paper combines theory with practice, qualitative with quantitative. Referencing to relative report of interest rate risk of internet bank and identifying the factors of interest risk of internet bank, this paper determines the interest rate indexes of assets and liability of internet bank, using the current interest rate risk management methods of duration, establishes a goal programming model. This model uses the data of Netbank which is listed by the United States to get the changes of some indexes of assets and liability at the end term of decision on the condition that an internet bank at the end term of decision satisfies minimized interest rate risk. Finally, the paper makes transverse and longitudinal comparability with Wells Fargo and Bank of America to provide reference for internet bank development of our country.