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China Interest Rate Market Interest Rate Risk Management, The Process Of Reform Of Commercial Banks

Posted on:2006-10-30Degree:MasterType:Thesis
Country:ChinaCandidate:Z Y PengFull Text:PDF
GTID:2206360152990736Subject:Western economics
Abstract/Summary:PDF Full Text Request
For a long time, the interest rate regulation in our country has been strictly controlled. Strict interest rate regulation caused frequently the low interest rate level and credit that are chose, which seriously distort the function of interest rate as a price of capital. With the reforms of market economy speeding up in china, interest rate market 1ization has become an inevitable trend.The commercial banks face four kinds of main interest: Fix the price risk, basic point risk, option risk, yield curve risk. In our country's interest rate market 1ization, should face these four kinds of interest rate risks too. Western commercial banks have already generally used the gap analysis, duration analysis, VAR analysis and dynamic simulation analysis to measure interest rate risk. In these four kinds of methods, our country mainly uses gap analysis and duration analysis. VAR analysis and the dynamic simulation analysis method are more accurate. In the long run, the commercial bank of our country should introduce these two kinds of methods. In managing the interest rate risk, there are balance sheet management strategies and some strategies that beyond the balance sheet to hedge interest rate risk. Using Balance sheet strategies to manage interest rate is a traditional way. The strategies beyond the balance sheet Manage tactics mainly use interest rate risk management tools. The main interest rate risk management tools have forward rate agreement, interest rate futures forward, interest rate swap, interest rateoption and interest rate upper limit and lower limit, etc. Commercial bank combines the two tactics to manage interest rate risk becoming a kind of development trend.There are a lot of questions in the interest rate management of the commercial bank in our country. The interest rate management of commercial bank in our country is relatively backward, and the whole interest rate management system has not been set up. For this reason, the commercial bank in our country must perfect the risk management system of the interest rate.
Keywords/Search Tags:Interest rate market1ization, Commercial bank, Interest rate risk management
PDF Full Text Request
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