An Analysis On The Interest Rate Risk Management Of China's Commercial Banks

Since China formally started interest rate marketization in 1996, it has been ten years so far. Economic globalization and financial liberalization in the world undoubtedly accelerated the step of interest rate marketization in China in the course, thereby, it generated positive effects to China's economy. Whereas, interest rate marketization is a double-sided sword. Because interest rate marketization penetrate deeply in China, the larger scope and quicker frequency of fluctuation in interest rate appear in financial market in China, and the influence of interest rate risk to financial system stands out in China. But, because of interest regulation, China's commercial banks lack the consciousness of interest rate risk, and the technology of interest rate risk management stay in low-level which focus on proportion of asset and labiality. When interest rate fluctuates severely, interest rate risk emerges. So, it's important and urgency to study the topic about interest rate risk management of China's commercial banks.First,the paper, based on reform experiences on interest rate marketization in many countries, divides interest rate risk into policy interest rate risk in regulation period, interest rate risk in transition period, interest rate risk after interest rate marketization, and the paper thinks the three interest rate risk exists in China's commercial banks now. Moreover, there are many problems in present situation in interest rate risk management of China's commercial banks, like the thinner interest rate risk management consciousness, lagging technology, single balance sheet structure, defective internal mechanism and so on. Then, the paper, analyzing and comparing many interest rate risk management models, thinks it's appropriate to give priority to interest rate sensitive gap model and assist by duration gap model to measure and evade interest rate risk.Second, the interest rate risk management situation of China's 14 listed banks in 2007 and 2008 was analyzed by using the two gap management models, the results showed that: there was a severely monstrous structure which is shorter debt time and longer credit time in balance sheet in China's commercial banks, therefore, interest rate risk severely exists in China's commercial banks; the level of interest rate risk management of large scale commercial banks falls behind middle and small scale commercial banks.Last, based on interest risk and interest risk management situation of China's commercial banks, the paper puts forward some policy suggestions like strengthening consciousness of interest rate risk management, setting up one interest rate risk management system which includes different periods from short-term to long-term, promoting financial market and balance sheet structure, promoting external supervision and internal mechanism in China's commercial banks and so on.