Practical Choice Of Interest Rate Risk Measurement And Control In Chinese Commercial Banks

As market-oriented reform of interest rates the continuous progress, more frequent changes in interest rates, the interest rate risk is increasingly becoming commercial banks will be facing one of the main risks. But for a long time, because our country has been the implementation of interest rate control policies, China's commercial banks have generally lack of interest rate risk management experience, the lack of interest rate pricing mechanisms, the lack of interest rate risk measurement and monitoring systems. Therefore, the interest rate commercial banks how to deal with the risks arising from environmental change, how to identify, measure and manage interest rate risk as the current commercial banks need to solve the problems. Raising the level of interest rate risk management is the key to the establishment of a set of scientific interest rate risk measurement systems.Interest rate risk measurement model, among other things, a more representative model of the interest rate sensitivity gap, as well as the current long period of the Western model developed by the commercial banks widely used simulation technology and VaR model. Different interest rate risk measurement techniques, the specific application of the complexity of the input cost and the accuracy of calculation results are different. Faced with this situation, this paper will attempt to commercial banks through the interest rate risk measurement systems research, to find the most suitable for China's commercial banks interest rate risk measurement methods. The full text is divided into five chapters.Chapter I outlined the development of the theory of the interest rate decision, while recalling the western commercial banks course of the evolution of risk management.Chapter II expounded China's interest rate system in the evolution of the control interest rates gradually evolving as a market-oriented interest rates. This chapter also introduced China's commercial banks face interest rate risk and interest rate risk management in the process of the existing problems.Chapter III described in detail on the sources of the various interest rate risk, such as the re-pricing of risk, yield curve risk, poor-risk and the right to choose risk. At the same time, this chapter also elaborated on various interest rate risk measurement methods. A detailed presentation gap analysis, long-period model, simulation technology and VaR, and detailed analysis of each model and the advantages and disadvantages of applicable conditions.Chapter IV is devoted to the general interest rate risk management process, including risk identification, the measure of interest rate risk, interest rate risk and interest rate risk supervision and control. In light of China's actual situation and that the interest rate sensitivity gap analysis methods and duration gap analysis methods currently in China have some applicability.Chapter V is given to enhance China's ability to control commercial banks found that the proposal.Through the system described in this paper, can be seen as a measure of interest rate risk one of the important tools in our country Duration model has better adaptability. After lengthy test of practice, long-period model has been recognized as the 20th century since the 1990's the international banking industry in interest rate risk management and unified supervision one of the most reliable standard, it was capable gap relative to the interest rate sensitivity of the traditional method of measurement of interest rate risk more accurately measure of a bank assets and negative debt interest rate risk borne by its additive may also make it very conducive to the complex portfolio management, and the conditions necessary for its application is relatively lower than the more complex VaR method. Therefore, from the direction of development, China's banking system is the introduction of management of the duration of useful and feasible. However, the long period of model itself there are certain limitations, combined with the reality of China's adverse conditions, long-period model in China's commercial banks in the measurement of interest rate risk universal application also need the support of other policy measures, such as the marketization of interest rates, the bond market's further development and perfection of professional training.This paper discusses a comprehensive analysis of commercial banks and interest rate risk measurement commonly used technology related theoretical model, and a simple conclusion, finding the most appropriate at this stage of China's commercial banks interest rate risk measurement techniques - long-period model. Combined with the model, with the bond market, as well as China's commercial banks conduct a feasibility analysis of the data, with persuasive. Finally as a basis for a long period by the application of technology prospects, and with the current market rate of the process of integration, based on this also proposed a corresponding policy recommendations.