Study On The Interest Rate Risk Of Commercial Banks In China In The Context Of The Interest Rate Liberalization

After2000, the market-oriented reform of interest rate in our country entered a new stage of rapid development, the frequency and amplitude of fluctuations in interest rates increased, interest rate risk has become one of the major risks faced by Chinese commercial banks. Although the margin income of China’s commercial banks accounted for slightly lower than in the year of business income, commercial banks are also given some attention to the management of interest rate risk, but because of the long-term interest rate control, consciousness of our country interest rate risk management of commercial bank interest rate risk management system is weak, interest rate risk management methods and means are backward, the interest rate risk management the high-end talent shortage and financial derivatives tools development is backward, ability to manage interest rate risk obviously can not keep up with the pace of market-oriented interest rate reform. So the effective measurement and management of interest rate risk is one of the problems in China’s commercial banks need to solve. This is a starting point, using theoretical analysis and empirical analysis, qualitative analysis and quantitative analysis combined, in the analysis of commercial bank interest rate risk and interest rate risk management methods and analyzing our country commercial bank interest rate risk management situation of empirical analysis, revealed the existence of the interest rate risk management of commercial banks in China the problems. Finally, put forward to strengthen the corresponding countermeasures and suggestions on the management of interest rate risk of commercial banks in China, has the practical significance is far-reaching.This article consists of five main parts. The first part of the introduction describes the research background, research at home and abroad, the research framework and main innovation. The second part explains the connotation of the mercerization of interest rate, the interest rate market in China is reviewed, and analyzes the trend of reform of interest rate mercerization, the final analysis of the impact of interest rate mercerization of interest rate system and the interest rate risk of commercial banks. In the third part, based on the traditional interpretation of the three interest rate risk measure sensitivity gap, duration gap, VaR, on three main interest rate risk management methods, aggressive management, gap management and hedging management. The fourth part firstly to Merchants Bank as an example of empirical analysis on the current situation of interest rate risk management of commercial banks in China, and analyzes the main problems existing in the management of interest rate risk of commercial banks in china. The fifth part is the countermeasure and suggestions of this paper:in view of the existing interest rate risk management of commercial banks in China, should establish scientific and perfect interest rate forecasting system, product pricing system to establish highly coordinated, the training and the introduction of advanced talents for interest rate risk management, strengthening the financial market construction and choice of interest rate risk management model suitable.