Simulation Study On The Market-oriented Lending Interest Rate Risk Management

As one of the important levels of the economy, the interest rate can optimize the allocation of resources and influence the supply and demand of fund; it's one of the effective tools in the role of the national macro-control. Interest rate marketization is the key to the financial entities and national economies, to realize the liberalization; the process of the interest rate marketization is also an impassable stage in the financial marketization economy.Since the reform of interest rate liberalization started in 1992, the interest rate market-oriented reform has been steadily pushed forward in China. of course, it will bring uncertainty to different kinds of economic activities, the financial risks faced by economic agents will be gradually increased, and the presence of various risks will also affect the whole national economy and the financial system. But this does not prevent the interest rate market-oriented reforms, as long as government and financial institutions raise the levels and abilities of managing the risks caused by the interest rates marketization, totally understand the transmission mechanism of the interest rate risk, grasp the effective factors about interest rate risk, use sophisticated interest rate risk management methods and tools, establish effective interest rate policy system, they can weaken or even prevent the risk from occurring. Besides, only in this way, we can steadily push forward the market-oriented interest rate reform process, optimize the allocation of financial resources, strengthen financial supervision and prevent or defuse the financial risks so as to provide better banking services for economic and social development.With the market-oriented interest rate reforming,the lending rate liberalization is gradually put on the agenda, then, in the process of market-oriented lending rate, how many kinds of risks exist and how much the risk measurement will be ?This is the important content in the paper.The contents arrangement of the paper includes the following sections: The first part:systematically introduces the research significance, research purpose, gives the main research methods and framework of the paper.The second part:Introduces the domestic and foreign scholars'research on the interest rate marketization and interest rate risk, as well as briefly reviews the current situation of the China's interest rate reform ideas and processes, analyzes the issues related to the interest rate risk management and the influencing factors in more detail.The third part:introduction of the quantitative methods:the main steps of the statistical analysis, the basic principles of the risk value measurement method, three main computing methods and the pressure test on the extreme circumstances and so on.The fourth part:combines statistical analysis software with risk measurement software, initially explore and measure the size and manifestations of the lending rate market-oriented risk. According to the linear relation equation and the statistical distribution of the variables, use Crystal Ball software to do 5000 times Monte Carlo simulation, get the size of VaR and do the pressure test on the extreme circumstances, finally provide the data base for the risk management strategies in the Chinese lending rate risk.The paper mainly combines both the quantitative and qualitative analysis methods to measure the lending interest rate market-oriented risk, and the main innovation point also lies on the analysis and study of the lending interest rate marketization.