China's Commercial Banks To Interest Rate Risk Management Research And Empirical Analysis

Since the early seventies, the breakdown of the Bretton Woods Agreement, coupled with a liberalization of the financial markets and the inflation and oil crisis of the same time, led to increased volatility of interest rates of fixed-income securities. The international banking witnessed operational plight stemming from interest rate risk.Under this background, the significance of the measurement and management of interest rate risk both in theory and practice is distinct for commercial banks. This paper is just motivated by the outstanding problems existent in the measurement of interest rate risk management of commercial banks.The purpose of this article is to explore some excellent methods to solve these specific problems that exist in the management of interest rate risk of the commercial bank in china.The essay performed the demonstration and analysis from the five aspects:1 Foreword. I analyzed the problem both in theory and practice. Besides, the introduction outlines the main subjects of interest rate risk and provides an overview of relevant literatures on interest rates studies.2 Interest rate reform and its influence on commercial bank. This part expounds special function of interest rate and its decisive factors.Besides, this part also introduce the successful and fail experience about interest-rate risk management in the interest rate reform in western countries.3 The causes & identification of commercial bank's interest rate risk in our country. This part analyzes the status in quo of our commercial bank, then completely analyzes the causes & types of our commercial bank's interest rate risk.4 The measurements of interest rate risk. This part is the emphases of the article. It expounds the measurements of interest-rate risk used in banking commonly: interest sensitive gap and duration.5 The management strategy for the commercial bank in our nation. This part first analyzed the basic experience in interest-rate risk in the western commercial bank. Then the thesis puts forward some suggestions to establish china's managerial system of interest rate risk.