Research On The Comparison Of The International Interest Rate Risk Management In Commercial Bank

With the development of interest liberation, the commercial banks face the rapid increase of interest rate risk. The interest rate volatility and market pricing mechanism effect the business and risk management of commercial banks directly. The financial institution and scholars pay big attention about the interest rate risk and management ability of the commercial banks, and also make efforts according to the Actual situation. This article introduces the types of interest rate risk, measure models, strategies of risk management, comparative analysis the different among the U.S.A., German and Japan. According to the analysis, the paper concludes the successful experience and makes the suggestion. After all, there is no ready-made method that suitable for our commercial banks. The management of interest rate we used is all coming from the developed countries. So it is important to learn the of foreign commercial banks, practice the successful experience in our own Financial environment, and find a suitable way of risk management.The paper includes six chapters.The first chapter firstly analyses the background of the article, the significance of the research, the content and the method of the paper, point out the innovation points between the others.The second chapter is a theoretical analysis for the management of interest rate risk in commercial banks, including the type and formation of interest rate risk, the development of the interest rate risk management in foreign countries.The third chapter includes the four types of measure models:interest rate sensitive gap model, duration gap model, VAR model and pressure test. These four models are used differently in the U.S.A, German and Japan.The fourth chapter is a theoretical analysis for the instruments which include forward-rate agreement、interest rate futures、interest rates swap and interest rate option. The type of risk supervision and control include of BIS and OTS. Different countries have their own instruments and type of supervision and control.The fifth chapter analyses the development of our nation’s interest rate risk liberation and the forms of the risk, indicate the problem about the risk management of our commercial bank, point out the mechanism of the formation of the interest rate risk.The last chapter analyses the different among the three countries about the interest rate liberation、the measure model、the instrument and the supervision. Our commercial banks should study the suitable way of risk management.