Determinants Of Interest Rate Exposuie Of Chinese Banking Industry

Interest rate risk (IRR) represents one of the key forms of financial risk that banks face in their role as financial intermediaries. For a bank, IRR can be defined as the risk that its income and/or market value will be adversely affected by interest rate movements. This risk stems from the peculiar nature of the banking business and it can be predominantly attributed to the following reasons. The resulting mismatch between the maturity (or time to repricing) of the assets and liabilities exposes banks to repricing risk, which is often seen as the major source of the interest rate sensitivity of the banking system. Apart from repricing risk, banking firms are also subject to other types of sources of IRR. Basis risk arises from imperfect correlation in the adjustment of the rates earned and paid due to the use of different base rates; yield curve risk is associated to changes in the shape of the yield curve with an adverse impact on a bank’s value; and optionality risk has its origin in the presence of option features within certain assets, liabilities, and off-balance sheet items.From the existing research on many experts and scholars in our country, the main research interest rate risk management and measurement tools, and little interest rate risk decision factors for researcho This article mainly from the particularity of the bank itself to study the characteristics of the bank itself to the influence of interest rate risk, that is, the scale of the bank, savings ratio and the interest income, etc and bank interest rate of the open relationship.This paper first is through the use of traditional two factors of stock returns bank model to interest rate changes with the sensitivity of the least square method, regression and get the interest rate risk of the coefficient.。seconds, reoccupy15listed Chinese commercial Banks from2005to2010years of panel data, the scale of capital from the bank, equity rate, total capital ratio, loans and the proportion of total assets, deposit and the proportion of total assets, net interest income and total assets, the proportion of the average total return on equity ratio of interest rate risk factors of the correlation coefficient regression analysis.