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Study Of China's Commercial Banks To Interest Rate Risk

Posted on:2006-01-19Degree:MasterType:Thesis
Country:ChinaCandidate:Z W ZhangFull Text:PDF
GTID:2206360152488118Subject:Finance
Abstract/Summary:PDF Full Text Request
With the gradual advance of the market-led interest rate process in China and the loosening of the interest rate restriction, interest rate fluctuates more greatly. At the same time, among the operations of our commercial banks the overwhelming majority are savings and loans which are rate-sensitive, so commercial banks face enormous interest rate risk. However, one side is that our commercial banks are not very conscious of interest rate risk, the other is that the research on the interest rate risk is not enough now and the banks are short of management methods of interest risk, so our commercial banks are in great risk and suffer more interest loss in the eight interest-rate-reduces since 1996. Taking example for five listed commercial banks and regarding some data from 2000 on as the sample, this thesis will do some positive research on the interest risk in the commercial banks to try to find if the interest rate risk exists all the same or even more. The method used in the thesis is rate-sensitive gap.There are four parts in this thesis. The first chapter gives the analysis on the general definition, performance and cause of the interest rate risk, then analyzes the speciality of the commercial banks in China. The second chapter systematically introduces the basic principle of the "Gap Model", and takes rate-sensitive gap, rate-sensitive ratio and gap ratio as the standards measuring the interest rate of the commercial banks. Then the article points out how the commercial banks evade or reduce the interest rate risk by means of adjusting the structure of the asset and debt. The third chapter regards five listed banks as the example. Using the data from 2000 to the first half year of 2004, make an analysis in detail on interest ratejisk of the commercial banks in China, and find that commercial banks suffer great risk all the same and are short of consciousness of interest rate risk. The fourth chapter gives the suggestions of the thesis, including scientifically estimating the variety of interest rate, making reasonable price of the asset and debt, strengthening the construction of the inner-controlled mechanism in the commercial banks, developing theintermediary business greatly, speeding up financial innovation, and educating a qualified team at interest rate risk management. At the same time it points out the shortage of the thesis and the problem for further study.
Keywords/Search Tags:interest rate risk, interest rate sensitive gap, inner-controlled mechanism, intermediary business
PDF Full Text Request
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