The Empirical Analysis Of Interest Rate Risk On Commercial Banks Based On Asymmetry Movements Of Interest Rates

The marketization in China of interest rate began in January1986. In a long span of time period (1986-2012), Chinese monetary authorities had opened different levels of financial market interest rates sequentially. With this gradual and steady progress, we have succeeded in preventing the big fluctuations of the financial markets, and have kept our financial institutions safety institutions. Interest rate risk, however, is always the question that interest rate marketization which can avoid. So, it is a major issue to concern that how to reasonably and Precisely measure of interest rate risk faced by commercial banks in China, and to take appropriate measures to mitigate the impact of commercial banks.The marketization of China’s money market and bond market has been completed, and foreign currency deposit and loan interest rate marketization has basically liberalized. In June7,2012and July6, the People’s Bank of China lowered the RMB deposit and lending rates, and allowed commercial banks to go up deposit interest rates for10%, and adjust the loan interest rate lower but not less than70%. And the deposit rate can go up10%, while the lending rates float downward, this dual impacts inevitably have some impact to these banks. How much is the magnitude of this effect, and how is the extent of the impact of the commercial banks, what the managers of commercial banks should do to deal with this kind of impact better, etc. effectively placed in front of us.The substantial progress of Chinese interest rate marketization makes my research of important practical significance. On the basis of the results of previous studies of Reference, and Combined with the substantial progress of our country’s interest rate marketization, using Classic interest rate risk gap model and to make some improvements on the traditional interest rate risk analysis ideas, and with a more timely and more comprehensive and credible banking data, I tentatively analyzed interest rate risk of the Banks and through empirical analysis, I want to seek a conclusion to interpret the commercial banks that what should to do to better cope with the interest rate risk.Started from a theoretical and practical point of view of the interest rate marketization, this article describes the development process of interest rate marketization in the United States, Germany, Japan, Korea, Malaysia, Argentina, Chile and other countries and the financial risks experienced in these countries. In the study of foreign interest rate market practice, I find that most of these countries Suffered unrest and instability in the banking industry. Although there are different manifestations of the banking crisis, but they are largely caused by the fermentation and evolution of interest rate risk due to fluctuations in interest rates, so it is very important to analyze the matter of interest rate risk.I first discuss the theory of the interest rate risk and systematically expounded the definition of the interest rate risk, the occurrence of conditions, Four manifestations and Two different idea to assess the interest rate risk. Then I focus on two types of interest rate risk measurement and management:the interest rate sensitivity gap analyze and management methods and duration models and management methods.In chapter4, I discuss the impact of marketization in China from a biased point of view of the theory. Studying the impact to foreign commercial banks, summarizing practical data and experience of these banks.and studying national commercial banks’data of operation and management, I summed up in five aspects that affect our banks.I do some empirical research of interest rate risk in Chapter five. First I select two sample banks, make certain assumptions about the changes of interest rates, and do some simplification of the bank’s financial statements,then I use Interest rate sensitivity gap analysis methods to specific analyze the impact and influence of interest rates cut in the mid-2012which might affect the two banks.At last I discuss the results of the analysis in Chapter6:to Analysis the conclusion, I think that the two interest rate cuts has brought substantial influence and pressure to commercial banks. I find that the hypothesis of a parallel shift of the interest rate curve in the interest rate sensitivity gap model has gradually deviated from the actual, and negative interest rate sensitivity gap in the process of falling interest rates will not necessarily bring about an increase in interest income.To get a more accurate and credible conclusion we must explore in detail various maturities of interest rate changes, and analysis of such changes for each specific assets or liabilities of the interest rate risk independently. This discovery has put forward higher requirements for managers of commercial banks to measure and respond to interest rate risk; I also made a preliminary study about how to use the interbank business to cope with the interest rate risk better.The innovation of this paper is reflected in the following aspects:(1)With the latest trends and data of the China’s marketization process,1analyze two banks, and discuss the different management philosophy and the different strategy response to interest rate risk of the two banks, and try to find whether there are methods and ideas to improve the interest rate risk exposure;(2)No longer follow the dogmatic assumptions that deposit and lending rate move in the same pattern, but make certain estimates according to the actual situation in the case of changes in interest rates, and analyze the interest rate risk that assets and liabilities may expose to;(3)Interest rate risk analysis is not limited to commercial banks for deposits and loans only, but a comprehensive analysis of all interest rate risk exposure of the interest-earning assets of the commercial banks (credit assets, interbank assets, currency in central banks, and investment assets) and interest-bearing liabilities (deposit liabilities, interbank liabilities).