On The Study Of The Interest Rate Risk Management Based On Cybernetic Theory

Along with the interest rate market， interest rate risk faced by thecommercial banks have become increasingly prominent, and interest rate riskmeasurement and control is imperative. In the21st century, the central bankgradually relax controls on interest rates, means that commercial banks have theinitiative in the regulation of interest rates, but also facing the risk arising due tomarket interest rates changes, which will inevitably promote the commercialbanks began toemphasis on interest rate risk management, and strengthen theprevention of the interest rate risk. The current financial environment of China’scommercial banks to control interest rate risk is still in its infancy, laggingbehind the technology and management level than those in Western countries,are weak. For the survival of financial institutions rely on the interest differential,the interest rate risk management and control is particularly important.Measure of interest rate risk is the commercial banks to control interest raterisk basis, the measure of interest rate risk is an important part of riskmanagement, the commonly used method have gap analysis, duration analysisand Value at Risk, these methods only are interest rate risk measurement, andInterest rate risk control of the corresponding analysis is mainly concentrated inthe management of the balance sheet within or outside, is a static control on thebasis of the interest rate forecast, and not a continuous dynamic control，Application of these methods is relatively passive, and often make adjustmentsof assets and liabilities,which are higher cost, Based on this, this paper try theintroduction of control theory.This paper is based on the combination of the linear quadratic optimalcontrol theoryand gap analysis. The control variables are the assets of the rate ofchange as time t, the state variables are liabilities of the rate of change as time t,establish a real-time continuous interest rate risk of the optimal dynamic controlmodel, based on a given target function J, introduce the hamilton function. In thispaper, the variational method and the minimum principle is used to find the optimal control solution of expression. In practical applications, we must firstdetermine the two ideal variable values, first, the ideal amount of net assets, andthe second is the ideal assets the rate of change. Determine the ideal net assets,with the front of the commonly used measure of interest rate risk is similar,based on interest rate expectations, it’s gived by Value at Risk; the ideal rate ofchange of the assets, according to the distribution of changes in assets andrealistic expectations given，these two numbers can be constants, can also be achange.Finally, an empirical study of China Merchants Bank, for example, theresults show that, through the adjustment of optimal control for the first threequarters, in the fourth quarter returned to the ideal state, which indicates that themodel is valid and stable. Compared with the commonly used measure of interestrate risk, this paper presents the optimal control of a dynamic management ofinterest rate risk, more flexibility than the static method.