Solutions To The Interest Rate Risk Control Of Commercial Banks

In recent years, with the development of the deepening of financial markets, the continuousprogress of the interest rate market, more and more of the financial instruments have been developed anduse. For changes in the interest rate risk, and how to create a more effective interest rate derivative products,the operation and management of the financial institutions more effective solutions, banks and many otherfinancial institutions on how to use these tools, their assets liabilities effective risk control and management,has been elevated to a new height.The bond futures upcoming, China’s commercial banks how to take advantage of this low-cost,high liquidity, high flexibility of the tool to manage interest rate risk, and individually or collectively forassets of the banks how to use the T-bond futures to hedge risk exposure adjustment through the rationaluse of the T-bond futures, to reduce the value of assets and liabilities subject to interest rate risk due tofluctuations, and enhance the safety and soundness of commercial banks, is the focus of this article.But how to effectively use the T-bond futures to hedge the assets of the commercial banks, howthe hedging theory applied to the calculation of the actual, individual, or a combination of asset hedgingrate, how to verify the effect of hedging, to do a practice based on empirical question hedge ratiocalculation, through a variety of methods, and empirical validation comparison and optimization, toeffectively develop a theoretical risk for commercial banks to control the solution to the problem. guidancehedging needs of the commercial banks recommendations.This paper first introduces the research background of commercial bank interest rate risk, asimple description of the problem, and put forward the need for research. Then introduce a commercialbank interest rate risk hedging, Research scholars at home and abroad, the situation and development trendof the current commercial bank interest rate risks, the need to solve the problem and realistic value, forinterest rate risk management tools brief introduction, the simultaneous analysis of the the upcomingTreasury Futures advantage, for interest rate risk control tools provide an effective solution. Interest raterisk of commercial banks to control the design of the solution, a brief introduction of the T-bond futurescontracts and related concepts defined, the solution design concept explores the theoretical basis for its use,and explain the various hedging strategies designed The specific method and content, are based on the thethe the CF weighting method, Duration law, PVBP law and the strategy based on the yield of β Adjustment Act.And is based on empirical research and analysis, design solutions empirical and verify a citycommercial bank real asset status and real-time long-term trading data, in this paper, the empirical analysisand validation, using the latest market data, the use of Wind database, Bloomberg database and gold in theTreasury bond futures simulation trading database of real continuous transaction data, apply the hedgingmethod and model calculation, a city commercial bank research to get the true asset value of the hedgingratio is calculated City firm holds interest rate sensitive asset class, treasury bonds, financial bonds andcorporate bonds held by commercial banks, commercial banks held a variety of methods true hedge ratiodata calculated, the actual data analysis, compare the pros and cons of the effect of the hedging strategy,given the risk control solutions, practical reference for city commercial, and ultimately the actual outcomeof the program income, can be drawn from the actual data, the program income cost ratio is very higheffective strategy worthy of the implementation and promotion.This paper studies the hedging solutions to help commercial banks, to a certain extent on the useof bond futures to manage interest rate risk, provide effective help, I believe the official to be Treasuryfutures contracts listed, along with the deepening of market-oriented degree should The effective interestrate risk of the bonds held by commercial banks to hedge and asset management. The launch of the T-bondfutures, as a very important step in the process of marketization of interest rates, trading strategy worthfurther research and study.