Interest Rate Risk In The Market Process Research

In China' money market,CHIBOR is the earliest rate which is marketed.This paper narrates the main characters of interest rate liberalization and basic situations of interest rate liberalization in China,introduces the types,measurement and management of interest rate risk.It elaborates the generation,development and current situation of the inter-bank lending market briefly.Meanwhile,it discusses the relationship of Inter-bank Offer Rate and the interest rate structure of commercial banks.In the empirical part of this paper,ARMA Model is quoted and 30 days Inter-bank Offer Rate is taken for example,and 84 samples are chosen.At first,we get a smooth time series after dealing with the series and we determine the model' order initially.By comparing the Adjusted R-squared,AIC and SC of models,we set the order of p and q separately.At last,we can draw ARMA(2,2) fits best.It is concluded that ARMA Model can be used to forecast the short-term rate in the inter-bank market.This paper suggests we should avoid interest rate risk from multiple perspectives. Firstly,comprehensive management system is considered.Concretely,the importance of establishing the forecasting model of interest rate should be stressed,and the analysis of movements in interest rates must be strengthened,and the system of information-gathering and information-analysis should be established.Then,effective analysis of the trend of interest rate should be made and attention should be paid to speed up the collection of data.Otherwise,internal control system and external environment are referred behind.It also emphasizes the importance of financial derivatives and management talents.