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Commercial Bank Interest Rate Risk Management

Posted on:2006-05-30Degree:MasterType:Thesis
Country:ChinaCandidate:F WenFull Text:PDF
GTID:2206360152982130Subject:Western economics
Abstract/Summary:PDF Full Text Request
Since the Bretton Woods System disorganized in 1970's, many countries have been initiating a wave of financial liberalization, one of the important contents in this wave is the market-based interest rate reform. The reform let the commercial banks in a diverse interest rate circumstance and brought the commercial banks lots of interest rate risk. Considering the risk, the theorists and practitioners of western commercial banks have made plenty of research work and devised many risk managerial models and technologies in order to avoid the loss in earning or economic value of commercial banks. Nowadays, the management of interest rate risk becomes one of the most important tasks in western commercial banks.China has accelerated the market-based interest rate reform since 1996. For our financial industry, the reform is the demand of building and perfecting the market economy and an important step of adapting to the economy globalization. With the progress of marked-based interest rate reform, the interest rate risk should become the most important risk that our commercial banks should face up to. Our commercial banks don't pay enough attention to the research of the interest rate risk now, thereby learning the advanced theories and technologies of interest rate risk management is significant for improving the commercial banks' management level, the earnings and the ability of competition.Firstly, the origin, the result and the types of western commercial banks' interest rate risk were analyzed in this article. Secondly, this paper made a deep analysis on the measurement models and the ways of control the risk in western commercial banks, analyzed the strongpoints and the shortcomings of these models and made an expectation about these models using in China. Subsequently, the article researched on the cause of Chinese commercial banks' interest rate risk, carried a demonstration analysis about interest-rate sensitive gap model and duration gap model. At the end of paper, some countermeasures and suggestions about setting up our own interest rate management system and advancing the management of our commercial banks' interest rate risk were came up with.
Keywords/Search Tags:commercial bank, interest rate risk, measurement technology, control strategy
PDF Full Text Request
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