The Market Value Of Commercial Banks And Interest Rate Risk Management Research

According to Principles for the management of Intense Rate Risk, which was enacted by Basel Committee on banking supervision, interest rate risk is what financial condition of bank will confront when interest rate fluctuates unfriendly to the bank. As most of financial instruments in bank are priced by means of interest, so when interest rate changes, the on balance and off balance of bank will confront the risk of receiving loss. In the angle of interest rate risk management, the thesis advanced that the interest rate risk embedded in the financial instruments can be identificated and measured by market value analysis, and the risk can be controlled in sufferable extent of bank by some technology instruments, which will assure the bank will get stable income in the fluctuated market environment.In the first chapter, general theoretical analysis is made about the meaning, the sorts and resulting causes of interest rate risk .The chapter introduces the history of the appearance and development of interest rate risk management, and puts how significant the market value analysis is in the interest rate risk management.In the second chapter, the instruments (for example, duration, convexity ect.) and how to apply these instruments in market value analysis were formulated through examples. At the same time, with the embedded options in the innovative financial instruments, the chapter added the embedded options into market value analysis, which will enhance the practicability of market value analysis.The third chapter analyses the characteristics of interest rate risk in China and the actualities of interest rate risk management in Chinese commercial banks. In addition, the chapter probes into the unfriendly influence resulting from frequent fluctuation of interest rate and the tendency of interest rate , on the basis of which the chapter puts the imminence of market value analysis.Considering practical situation in China, the last chapter analyses the current difficulties of application of market value analysis in interest rate risk management in China, and puts forward how to strengthen bank interest rate risk management by application of market value analysis in aspects of improvement of the behaviors of commercial banks and supervisory authorities in China.