Measurement Of Interest Rate Risk In The Banking Book Of Ticy Commercial Banks

The acceleration of interest rate liberalization has caused a great challenge to the interest rate risk management of commercial banks in our country. As a relatively special bank group, city commercial banks will face a more severe situation. To commercial banks especially city commercial banks,most of their businesses belong to the banking book, the acceleration of deposit and lending interest rate liberalization will definitely highlight the interest rate risk of the banking book. Therefore.systematically investigate the measurement and management of interest rate risk in the banking book of city commercial banks is very necessary.Based on the above argument, this paper choose10sample city commercial banks to investigate the measurement of interest rate risk in the banking book of our country’s city commercial banks. Firstly, this paper analysis the major kind of interest rate and defects of the interest rate risk measurement method usually used in the city commercial banks now days;Secondly,this paper empirically analysis the short-term and long-term interest rate risk in the banking book of the10sample city commercial banks using the common interest-sensitive Gap model method,the interest-sensitive Gap model method modified in this paper and the standard Duration model method. Finally, based on the conclusion of the empirical analysis,we put forward the relevant strategy and suggestion. The main conclusions of this paper as follows:(1) The interest rate risk condition in the banking book of city commercial banks varies from each other and is hardly relevant to the size of the banks;(2)Under different interest rate fluctuation situations, the short-term interest rate risk condition in the banking book have certain contradiction and the long-term interest rate risk condition in the banking book is in good uniformity;(3) The condition of economic value interest rate risk in the banking book of the city commercial banks is not quite optimistic, and the managers of city commercial attach more importance to the short-term interest risk management than the long-term interest rate risk management;(4) At present, the interest rate risk in the banking book of city commercial banks with balanced assets and liabilities structure is small relatively.