Interest Rate Futures In Commercial Bank Interest Rate Risk Management Technologies And Applications

As one of the important variables of the economy, the interest rate can optimizethe allocation of resources and influence the supply&demand of funds, and it is a veryefficient tool to adjust the economy adopted by the government.Interest rate marketization is the key to realize finance and economymarketization and the process of interest rate marketization is indispensable in financeand economy marketization. At present, our government has made out the frame ofthe interest rate marketization, and the goal of interest rate marketization is also clear.From now on, the reform of the interest rate marketization will be acceleratedprogressively. We can predict that the interest rate marketization will influence thefinancial circles of China and even the whole economic operation deeply. On onehand, it can optimize all kinds of resources distribution and allocate funds accordingto the market law. On the other hand, it will bring uncertainty to different kinds ofeconomic subjects, since the fluctuation of the interest rate will increase greatly. Asone of the subjects of our economy, the commercial banks will face greater risks too.Interest rate risk management becomes one of the commercial bank's corebusinesses. The text analyzes the different interest-rate risk that our country'scommercial banks are facing with academic and practical methods. Then analyzes themethods (interest sensitive gap & duration) to measure and manage commercialbank's interest rate risk and their limitation in practice. After that, it expounds how toavoid commercial bank's interest rate risk through the utilization of financialderivative instruments especially interest rate futures. Finally, it introduces how tocalculate the hedge ratio and how to control the basis risk And now in our countryhow to utilize interest rate futures in avoiding the interest rate risk of our commercialbanks.