Study On Interest Rate Risk Management Of Commercial Banks Under Interest Rates Market-oriented

With the marketization degree of China’s financial markets continuing to improve, the interest rate market is also growing. June8,2012, the central bank decided to expand the floating range of deposit and lending rates of financial institutions in the upper and lower limits, which indicates that China’s interest rate market-oriented reforms has taken a most critical step. The interest rate market is able to optimize the resource allocation function of the capital market, to improve the efficiency of the national financial system, and to promote the economic development of all countries. Of course, it also increases the difficulty of the interest rate risk management of commercial banks at the same time. At present, China’s commercial banks lack of understanding of the importance of interest rate risk management and the way of interest rate risk management. Besides, the management system is not perfect, and the regulatory is imperfect. So researching on improving the ability to guard against interest rate risk is very meaningful. This paper focuses on the study of interest rate risk measurement issues of commercial banks.In order to research what rate risk management difficulties the interest rate market brings to commercial banks, it describes the concept of market-oriented interest rate first, and then generalize the four main manifestation of the interest rate risk:re-pricing of risk, the risk of interest rate structure, yield curve risk, and risks of the embedded option. And it theoretically analyses the risks posed by the interest rate market.Followed are three current interest rate risk determination ways. They are interest rate sensitive gap analysis, duration gap analysis, Value at Risk. I outline the principle of each method of calculation formula, the core idea. And compare the advantages and disadvantages of the three methods. I found that the interest rate sensitivity gap is easy to understand, the duration gap analysis intuitive and easy to compare the interest rate risk of the portfolio, while the Value at Risk measures the interest rate risk of financial institutions roundly. The key part of the article is the empirical study of the interest rate risk in commercial banks. It respectively uses a different approach to the quantitative analysis of the two key points in the interest rate risk management-the structure of assets and liabilities as well as the benchmark interest rate forecasts. For the first point, taking into account the characteristics of the strong capital market liquidity, we select the three months as a study period after the statistical analysis of the12listed banks in the2012semi-annual financial statements and horizontally compared them. Subsequently, we take Shanghai Pudong Development Bank for example, and make a detailed analysis of the main component of its interest rate sensitivity gap. For the second point, the article selects the Shanghai interbank overnight lending rate as a research object. We plot the data on a logarithmic scale, and test its stationarity, self-correlation, normality. We found this time series is stationary, with2order autocorrelation, non-normal distribution and heteroscedasticity effect. After a comprehensive comparison of several residual distribution models, this article chooses residual conform GED distribution of the GARCH (1,1) model. Through the model we get the daily fluctuations in interest rates of Pudong Development Bank at the current interest rate sensitivity gap.Followed is VAR value.The end of the article presents recommendations on the risk management of commercial banks from the asset-liability management and interest rate forecasts, which echo around the empirical part. For the former, it is necessary to improve by accelerating the business transformation. Specifically, it depends on the continuous development of the wealth management business, a small micro market, and advancing intermediate business specific measures. For the latter, we must constantly improve the commercial bank interest rate risk management system. The first is to determine the benchmark interest rate trend, and the second to establish an effective interest rate risk management mechanism, and the finally to use derivatives to hedge interest rate risk actively.