Empirical Research On Interest Risk In Chinese Commercial Bank

Interest rate is coming into market quickly in China. Frequency and extent of its wave will become larger and larger, which causes high risk in commercial bank. Hence, interest rate risk will become main risk of commercial bank, which it is important to study and research.The text studies from background of marketed interest rate, analyzing each interest rate risk which commercial bank is confronting, describing its internal and external management status of commercial bank in China. Then, analyzing evaluation model of interest rate risk, comparing advantage and disadvantage of sensitivity gap,duration,VaR,simulation analysis. In particular, explaining duration model.Because it is passive for interest rate sensitivity gap analysis model to govern risk, text emphasizes F-W duration model which is available in being applied in interest rate risk management. (1), according to asset and liability management theory, making use of duration model theory, forming interest rate risk management model based on F-W duration. (2), utilizing Chinese bond market data and do a empirical research for term structure of market interest rate. (3), making use of Zhaoshang bank's year-end report and testing this model, and using LINGO8.0 LP software which gets result, validating F-W duration model's availability. Through theory analysis and empirical analysis of interest rate risk's evaluation method, pointing out interest rate risk management strategy of commercial bank in China:(1)During marketed interest rate, Chinese commercial bank should adjust financial product price system dramatically,innovation ability,product development ability,developing risk consciousness of staff and company culture step by step. (2) After marketed interest rate, commercial bank should take interest rate management strategy which combines duration gap management and dynamic simulation analysis,combines option adjust internal asset and liability table and interest rate derivation tool hedge of external asset and liability table.