The Applying Research Of Duration Model In The Measurement Of Interest Rate Risk Of China's Commercial Bank

As the importance aspect of constructing socialist market economic structure and playing to the role of the market in the allocation of resources, the interest rate marketization is the key of strengthening financial indirect regulation and controlling,meantime, it is also the necessary condition of perfecting independent management mechanisms and raising the competitiveness of financial institutes.The reform of interest rate marketization of china adopts the progressive model. Since 1996, the country has opened the interbank offered rate,bond market rate and the issuing rate of interbank market treasury bonds and policy financial bonds; and has opened the loaning rate of foreign currency in China and depositing rate of large-sum foreign currency interbank offered rate; had the try of RMB long-term agreement certificates of deposit; and has enlarged the floating zone of RMB loan interest rate step by step.Especially in 2004, great strides had made in efforts to the marketization of the interest rate:enlarging the loan interest rate floating zone of financial institutes in 1st, Jan; executing floating interest system of reloan in 25th, March; opening the upper limit of loan interest rate of commercial banks in 29th, Oct, the upper limit of the loan interest rate floating of credit corroborative in both urban and has been enlarged to 2.3 times of basis rate, executing down-floating of deposit interest rate.With the marketization of interest rate, the commercialization management reform of china's commercial bank will be accelerating, meantime, the frequency and span of waving of the interest rate will be wider, thus one of the important market risks that our commercial bank confront–interest rate risk will be bigger. Therefore, strengthening the interest rate risk management is one of the directions that our commercial banks are especially ahead for.The interest rate measurement methods and their accuracy are the keys to commercial bank interest rate risk management. With the rapid propelling of interest rate marketization reform of China, in order to confronting the competition of foreign countries and leveling the comprehensive strength, the commercial banks of China are pressing for putting out and developing new-type and practical quantitative interest-rate risk analysis management tools. Putting out and developing new-type and practical quantitative interest-rate risk analysis management tools is also the earnest need of perfecting interest rate risk management theory of China commercial banks and practice development.The most widely used financial tool for measuring interest rate risk in the world is duration model and duration gap technology.The duration model and its gap technology are publicly regarded as one of the most reliable stands in interest rate risk management and measurement in international bank industry since 70th of the twenty century. As the efficient tool for measuring the effect caused by change of the interest rate to the net value of the bank, the duration model and duration gap technology can cover the shortage of the traditional interest rate sensibility gap, and avoid the complex and large calculation which the VaR method need to.This article fully compares the traditional interest risk measurement methods: Rate-Sensitive Gap, Duration Gap and VaR Methods. meantime, it also analyze the interest rate risk that our commercial banks are facing. The article the systemically compares, analyzes and comments of modern duration models on the basis of briefly introducing the duration models and theories. By constructing the relative duration model, it measures the whole interest rate risk of the commercial bank in detail and accurately.At last, this article gives the positive analysis according to actual condition of some commercial bank , and gives the strategies and advice according to result of the analysis.