The Research Of The Interest Rate Risk Measurements Of Commercial Banks In China During The Process Of The Interest Rate Liberalization

Profits come basically from interest income in Traditional commercial bank, despite increasing proportion of off-balance sheet revenue in the modern commercial bank, but in our country, the interest income remains the main source of income. Therefore, Interest Rate Risk is still the one of the main risks in China's commercial banks, and the Interest Rate Risk Management is still risk an indispensable component of Risk Management in China's commercial banks. As China's interest rate liberalization developed, The Interest Rate changed more and more frequently, which made the interest rate risk of China's commercial bank grow acutely, so we should be pay more attention to interest rate risk management.The interest rate risk management process is often divided into four processes, namely, interest rate risk identification, interest rate risk measurement, and interest rate risk monitoring, interest rate risk control. Among these, the interest risk-measurement is an effective basis for the implementation of interest risk management. Therefore, this article will discuss interest rate risk measurement problems of China's commercial banks as the main object of the survey. how to develop or seek a best kind of interest rate risk measurement for China's commercial bank under the background of interest rate risk liberalization is the main objective of this study.In order to better explore the interest rate risk measurement problems of China's commercial banks; this paper first introduced the meaning, the type and the cause of Interest Rate Risk, then discussed the three major interest rate risk measurement models based on it, namely, the Interest-sensitive Gap models, Duration Gap models, and VAR models. The three main models have different merits, shortcomings and applicability.In the end what kind of interest rate risk measurement model is more adaptive to the needs of current Interest Rate Risk Management needs of Chinese Commercial Bank? At present, China is on the critical stage of the interest rate liberalization, the interest rate liberalization exacerbated the extent and frequency of China's interest rate fluctuations, thereby greatly increased the interest rate risk of China's commercial banks. Therefore, we have to choose the most suited interest rate risk measurement model to China's commercial banks, and it is very necessary to study more about the interest rate liberalization and the interest rate risk caused by it of China's commercial banks. It proved to be that the interest rate liberalization aggravated the interest rate risk of China's commercial banks evidently.Meanwhile, with the further development of the interest rate liberalization in our country, China's commercial banks faced a further deterioration of interest rate risk, which made the weak points of current interest rate risk measurement techniques in Chinese commercial banks exposed more and more markedly. Those weak points went against the further development of the interest rate measurements techniques and the validity and accuracy of measurement results in the interest rate management of china's commercial banks. Thus it is essential to explore the problems of the interest rate risk measurement of commercial banks in the process of the current interest rate liberalization in China further.So then, this article analyzed and compared preciously the three main interest rate risk measuring models of commercial banks in the round from the angles of the complexity of their business, the volume of the business, combined with the characteristic of different measurement models, different Cost-benefit, different model application conditions and so on.As the further development of China's interest rate liberalization, commercial banks continue to create new business and financial derivatives, so the shortcomings of the traditional the Interest-sensitive Gap model exposed even more obviously, thus increasingly unable to meet the needs of modern commercial bank interest rate risk management. Although the VAR model has a higher accuracy, effectiveness and comprehensiveness than the Duration Gap model, however, the sophisticated data, the corresponding model of computer hardware facilities and related software supporting facilities, the management personnel of high quality, which the VAR model needs, can't be afforded by present commercial banks in China because of the behindhand level of financial development.besides, the application of VAR model does not conform to the principle of cost-benefit for China's commercial banks. Therefore, theoretically, the Duration Gap model is the best choice of China's interest rate risk management under the background of the interest rate liberalization at present. And, through the feasibility analysis, it is provided that the application of the Duration Gap in the interest rate risk management of China's commercial banks is feasible.To a certain degree, it can be said that China's interest rate liberalization has promoted the introduction, the development and the popularization of the Duration Gap model in the interest rate risk management process of China's commercial banks, but at the same time, it can not be denied the present interest rate liberalization in China also bring the application of the Duration Gap model some urgent problems in commercial banks'interest rate risk measurement.The main innovation of this paper is to explore the best choice of the interest rate risk measurement based on the discussion of China's interest rate liberalization, the characteristics of interest rate risk caused by it and the urgent problems on present interest rate risk measuring process of China's commercial banks, thus succeeded in finding a most suitable interest rate risk measurement for China's commercial bank in the process of the interest rate liberalization.A t the same time, there are many shortcomings of this article, such as the discussion of the three main interest rate risk models is not careful enough, and the feasibility analysis is not completed. So the accuracy and the validity of the conclusion we reached need further study.