The Study To Interest Rate Risk Measurement And Control Of Chinese Commercial Banks

China is in the background of the reform of interest ratemarketization, so far,the loan interest rate marketization has been completed, and the marketization of deposit interest rate is gradually carried out. Commercial Banks of our country must face the increasingly serious interest rate risk after the interest rate marketization, and the changes on economic and financial policies of foreign economies also have an impact on our country. Let’s take the QE policy of America for example, it affects the nerve of all big economies and the fluctuation of interest rate, then the interest rate fluctuation will lead to interest rate risk. Interest rate risk is a kind of systematic risk, systemic risk can not be dispersed, and the consequences of it are universal and destructive. Finance is the core of the economy, commercial banks are the main part of China’s financial institutions, once commercial banks are at risk, it will have a great negative impact on our country’s finance and economy, so the interest rate risk management is particularly important. Interest rate risk management includes many aspects:interest rate risk recognition, measurement and control and so on. This paper firstly introduces the interest rate risk measure method which are western commercial banks often took use of and compare these methods, Through the comparison and based on the current situation of China, the most suitable method to measure the interest rate risk of commercial banks in China is interest rate sensitivity gap. Controlling interest rate risk is one of the key link in the effective management of interest rate risk, control of interest rate risk can be done in the balance sheet (Asset and liability management, ALM) and out of balance sheet (Control of financial derivatives). Combine it with our country’s current real station, domestic financial markets are not developed, the number of hedging tools is limited, the control of interest rate risk of Chinese commercial banks should mainly focus on the management of assets and liabilities, and focus on asset whose initiative is relatively strong.In the paper, interest rate sensitivity gap method was used in an empirical analysis for interest rate risk of listed commercial banks, the listed commercial banks are divided into three categories, and three indicators of interest rate sensitivity gap are selected to analyse the interest rate risk of the three types of commercial banks respectively, the empirical analysis showed:the interest rate risk of state-owned commercial banks is relatively greater, the interest rate exposure of city commercial banks can not be underestimated, these two types of commercial banks are more obvious in short-term deposit and long-term loan and the interest rate exposure of joint-stock commercial banks is relatively small. According to the results of empirical analysis and characteristics of the assets and liabilities of Chinese commercial banks and characteristics of commercial banks themselves, the paper recommended that different commercial banks should take appropriate strategy to control its interest rate risk. Finally, the paper gave some policy recommendations to improve our country’s commercial banks’ interest rate risk management from the perspectives of the bank itself and the external environment.