A Study Of Interest Rate Risk Management Of Commercial Banks In China

In the background of financial globalization, the process of financial deepening in China is promoted step by step and will be going on steadily. As part of the financial deepening process, the market-oriented reform of interest rate system will increase the frequency of interest rate fluctuation as well as widen the range of it, which would make Chinese commercial banks be faced with serious interest rate risk. Thus, how to identify, measure and manage interest rate risk becomes an urgent problem which has to be resolved by commercial banks. The paper is to conduct deep research on the western advanced countries' interest rate risk management technologies and methods, try to refer to and use them with the practice of the native commercial banks and hopes to improve the ability of the China's commercial banks to resist the interest rate risk.The main purpose of this study is base on the general principles of western interest rate risk management, introduces the interest rate risk measurement models and interest, rate risk management strategies in detail which is used in the commercial banks of the western advanced countries. Based on the specific circumstances reality of Chinese commercial banks, applying comparative analysis to analyze the commercial banks that facing reprising risk, basis risk, yield curve risk and optional risk systematically. The paper chooses interest rate sensitivity gap model to empirically analyze the interest rate risk of china's 5 five listed commercial banks, using the data from 2002 to 2008.The paper proposes several technical means of interest risk management which is suitable for the native commercial banks, gives some suggestions on how to enhance interest rate risk management ability by constructing an internal interest rate risk management system.