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Commercial Bank Interest Rate Risk Management

Posted on:2005-10-11Degree:MasterType:Thesis
Country:ChinaCandidate:H T LiFull Text:PDF
GTID:2206360122481475Subject:Systems Engineering
Abstract/Summary:PDF Full Text Request
Since the 1980's, the economic globalization, the financial liberalization and the rapid development lead to remarkable financial market risk. Of risks, the interest rate risk will become one of the most important risks. The crisis of American Saving and Loaning Association in the 1980's had proved that if commercial banks couldn't manage the interest rate risk effectively, they would face grave financial crisis and even led to bankruptcy. So western commercial banks research and develop advanced management technology of the interest rate risk, and manage it effectively.Although liberalization of the interest rate is an evitable trend, due to long-term interest rate regulation, the interest rate alternation is under central bank's control, so commercial banks don't need to initiatively adopt according interest rate management method through forecasting interest rate trend, with the result that our interest rate management remains at a low level both in theory and experience accumulation. Besides, our banks only adopt gap management knowing little about west commercial banks' advanced interest rate management technology. With the proceeding of the interest rate liberalization and the flooding into China of the foreign-owned banks, it's urgent that our banks choose management method fitting ourselves and establish efficient interest rate risk management based on our actual conditions by learning advanced management technology of the interest rate risk.Based on this condition, this thesis firstly makes a deep analysis on the types and measurement models of the interest rate risk adopted by western commercial banks; secondly, discuss at length the preventive tactics; thirdly , under the condition of liberalization of the interest rate analyzes the interest rate risk encountered by our commercial banks, causes and the influence aiming at our commercial bans, and combined with our commercial banks, carries a demonstration analysis about interest-rate sensitive gap model and duration gap model, while make an expectation about the prospect of practicing the latter and VaR model and the preventive tactics in China; lastly, comes up with some countermeasures and suggestions aiming at the status quo of interest rate management mechanism by our commercial banks.
Keywords/Search Tags:Commercial bank, Interest rate risk, Measurement model, Risk Prevention, Management mechanism
PDF Full Text Request
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