The Management Of Interest Rate Risk Of Commercial Banks Of China

Since the 1970s, Western countries have implemented financial liberalization, relaxed the restriction of the interest rates. Soon afterwards, the interest rate fluctuated frequently and the change range increased, which had a great influence on the commercial banks. The interest rate risk gradually rose and became one of the main risks of commercial banks. As for China's banking industry, the gradual market-oriented interest rate reform is bound to have a significant impact on China's commercial banks on the survival environment and business management. As China's financial markets are not developed enough, financial derivatives are less various and the interest rate risk awareness of commercial banks is weak, management are backward, the commercial banks can not directly copy the advanced foreign technology, but must be combined with their own business operations when they manage the interest rate risk. Under the background, I do a study on how the commercial banks of China effectively manage and control the interest rate risk in the process of market-oriented interest rate at the micro-level in the dissertation and Point out two viewpoints. One is that China's commercial banks should effectively control the interest rate risk from the whole perspective to maximize the overall profit; the other is that they must do a good warning job and create an early warning mechanism to manage and covert the interest rate risk so as to make the exposure of interest rate risk be covered. The main research results of the dissertation can be presented as the following three aspects:First, I present an interest rate risk management pattern based the internal funds transfer pricing. The pattern uses the internal funds transfer pricing to realize the centralized management of commercial banks'internal funds through the capital flow network, and then the fund management center uses linear programming model to manage the interest rate risk, rationally guide the direction and amount of the bank's funds flow in order to make the funds flow to the low-risk and high-income areas and reduce the overall level of interest rate risk.Second, I design an interest rate risk warning system of commercial banks. In this paper, the warning system is divided into four subsystems including the risk evaluation system, the degree of risk identification system, the alarm transmission system and the alarm reception system. I use the Analytic Hierarchy Process to construct the warning model on interest rate risk and monitor the interest rate risk by sending warnings. Third, I create a three-dimensional integrated model on interest rate risk management system. The model uses the "interest rate risk management and supervision principles" published by the Basel Committee on Banking Supervision for reference .According to the idea of system, the model focuses on creating a sound business culture and make a analysis from three aspects of the interest rate risk management including the decision-making process, organizational system, regulations and technical means. This will help commercial banks to achieve the ultimate objective of the interest rate risk warning system.