Prevention Research And Measurement Of Interest Rate Risk Between Our Commercial Banks

The interest rate risk of commercial bank is one of the most important risks. The fluctuation of the interest rate not only affect the gains of the loans and securities,but also affect the deposits and the cost of borrowing money from other financial institutions. Interest rate changes will also change the market value of the assets and liabilities of the bank, then will change the bank’s net assets,and affect the returns to shareholders.Since our country relax the control of the interest rates in1997,the fluctuation of interest rate is more frequent,and the risk of interest rate is more and more bigger,which has brought huge impact and challenges to the banks. Capital cost and income and assets operation efficiency behind the interest rate are very important in the competition between banks. Theory reseach and practice is not enough in the management of the interest rate.In the commercial bank interest rate risk management model, this paper first introduces the general theory of interest rate risk management,do present situation research on our country commercial bank interest rate risk management present situation and points out its shortage and improvement methods. First, this paper studies the interest rates of commercial Banks operating risk;second Introduces measurement model of maturity of the international commercial bank interest rate risk;third with seven listed commercial Banks in China in2009-2012financial data for the data source, using the interest rate sensitivity gap model and VAR model,we do research on the situation of the interest rate risk, and thus find problems that exist in the commercial bank interest rate risk management;finally we get conclusion, and putforward suggestions for the improvement of interest rate risk management.Through the analysis of this paper, the commercial bank have problem that assets and liabilities structure does not match and commercial Banks face a greater risk of interest rate. Commercial bank interest rate risk prevention is not flexible, there is a big borrowing short and lending long. Facing these problems, we should take measures to guard against interest rate risk from two aspects of internal commercial Banks and the government. On the one hand, commercial Banks need to raise interest rates risk prevention ability, on the other hand, the government should build good market environment of interest rates.