Research On Bond Investment Interest Risk Management Of Commercial Banks In China

Along with the development of commercial banks, bond investment becomes more and more important in commercial banks. Meanwhile with the acceleration of the process of market-oriented interest rate system, China has liberalized the control of various interest rates, the liberalization of interest rate has a very significant impact on the bond market, and the price of bonds will fluctuate with changes of the market interest rate. In these years, interest risk has become the crucial risk in commercial banks. At present, the research on bond investment interest risk of commercial banks is very little. Hence, this thesis devote to the research on interest risk will reveal its theoretical and pragmatic contribution.Based on a systematic research of interest risk's cause, measurement and control, the thesis tries to clarify its influence to commercial banks' interest risk. Firstly, the thesis analyzes Chinese bond market's development history and its status quo. It confines bond investment interest risk, Pointing out the causes of interest risk in China, including macro economy, monetary policy, market interest ratio, option, etc. Then it analyzes the interest risk of bond investment, and introduces the measurement methods of interest risk. These methods contain VaR methods, duration and convexity.Thesis combines with the present situation of commercial banks' bond investment, analyzes the difficulties faced by bond investments, and proposes many questions which exist in the investment bond interest risk management of Chinese commercial banks, such as lack of management ideology and administrative mechanism. These are questions which need to be solved urgently. Finally, the thesis gives some views and suggestions to the above-mentioned questions. I hope that through the above recommendations for the commercial banks, they will circumvent the effective interest risk bonds.