A Research On Interest Risk Management Of China’s Commercial Bank

Commercial banks is an financial industry which offers money borrow and lend services, this feature in China is more obvious, the main source of income is interest revenue achieved on average70%-80%in china, interest rate is almost the only tool in Monetary policy. The impact to economic is more obvious.The pricing of assets and liabilities would be impacted by interest rate changes. Commercial bank as a profit-seeking business, need response to interest rate changes, find a way immune to the risks posed by changes in interest rates. It’s not only the needs of commercial bank risk theory, but also the requirements of commercial banks to meet the increasingly fierce competition.China’s interest rate market-oriented continues to accelerate, it put forward higher requirements the business model of China’s commercial banks, asset and liability management, risk management, internal control management mechanism, especially for interest rate risk management.This article based on the interest rate market-oriented, Proceed from the interest rate theory, with the duration model as the foundation to analyze the sensitivity to changes in interest rates of commercial banks and the dependence on the spread, then analysed the contents of the commercial banks to interest rate risk. Then made a comparative analysis of key descriptions on the more popular interest rate risk measurement tools:the interest rate sensitivity gap, VAR analysis, the model of the duration, especially on the duration. Focus on analysis of the applicability and feasibility of the F-W duration in China’s interest rate risk management,then introduce the convexity. Build the F-W duration model,use the bond data to calculate the spot rate. Then we select the2011annual report of the Huaxia Bank, and extract the balance sheet and the data processing, duration analysis, and use the EVIEWS, MATLAB statistical software on the data to calculated F-W duration gap and convexity. According to the conclusions give the interest rate risk immunization strategies and the current China’s commercial banks interest rate management count ermeasures.