| Chinese financial system will inevitably adapt to international norms with reforms in economic and financial system gradually deepening. The market-oriented reform of interest rate is a significant task of the financial system reform in china. The uncertainty of interest rate can lead to exchange rate's fluctuation. At the same time, the target of exchange rate syetem reform is to realize RMB's perfect convertibility and establish floating exchange rate system. Chinese commercial bank's interest rate risk and exchange rate risk will be further released. The risk management of our commercial banks is facing with new challenges. It is a very pressing mission how to use advanced methods of measuring and managing interest rate risk and exchange rate risk and how to improve the risk management of our commercial banks. This thesis aims at making theoretical analysis in the field, and setting up a framework for the risk management of our commercial banks.The paper starts with the brief review of reform process of interest rate system and exchange rate system, it emphatically explains and compares advanced methods of measuring and managing interest rate risk and exchange rate risk of modern commercial bank. On this basis, it expounds the correlation between interest rate, exchange rate and other economic variables in short run and long run. Finally, it analyzes and compares the application of various risk management methods in our commercial banks, then fut forward the management technique suitable for Chinese commercial banks and corresponding measures for the time being.The paper consists of 5 parts as following:Ⅰ.A brief review of Chinese reform process of interest rate system and exchange rate systemThe reform of interest rate altogether underwent three stages.The first stage started in 1978 and ended in 1990 during which the main task was the adjustment of the level of interest rate.The second stage from 1990 to 1995,was the dajustment of the structure of interest rate.And the third stage form 1996 to present,the main reform of mechanism of interest rate,aimed at making the interest rate market-oriented.Similarly,the reform of exchange rate experienced three stages.Before 1980,the fixed exchange rate was made by the government.The second stage from 1981 to 1993,official fixed exchange rate and marketing exchange rate coexisted.The third from 1994 to present,realization of single,managed floating exchange rate system whose base is market supply and demand.Ⅱ.The measurement and the management of commercial bank's interest rate riskAt first,the definition of interest rate risk and the category interest rate risk are made out.Then it describes the causes of the risk.On the basis of these,it explains the relation of interest rate and net interest income(NII) or net economic value(NEV) of commercial bank.Secondly,interest rate risk management theories are expounded such as interest rate maturity structure theory and asset/liability management theory.The representatives of the former are pure-expectation approach,risk compensation theory,market separation theory and CIR etc.Thirdly,the advanced methods of measuring interest rate risk of international financial fields are introduced and elaborated in detail.Because of the importance of quantification in commercial bank's risk management,it is explained in detail which includes the most popular risk measurement methods such as repricing model,duration and value-at-risk.This lays the groundwork on application analysis.At the end of this part, it raises management and hedges of interestrate risk. One means is on-the-balance-sheet management,the other is off-the-balance-sheet management by utilizing financial derivative instruments.Ⅲ.The measurement and the management of commercial bank's exchange rate riskFirst, it introduces some basic issues of exchange rate risk including the definition, types and causes. Then it explains in detail the measurement method of commercial bank's exchange rate risk. The means is by determ... |
PDF Full Text Request