An Analysis Of Interest Rate Sensitivity Gap In China 's Small And Medium - Sized Commercial Banks Under Interest Rate Marketization

Interest rate risk refers primarily due to changes in market interest rates can not be determined, which may result in losses to commercial banks uncertainty. In 1997 the Basel Committee issued the "interest rate risk management principles" will be the interest rate risk is defined : leading to the possibility of damage which changes in interest rates due to the uncertainty of the expected return makes the commercial banks and the actual income deviates to commercial banks called for interest rate risk. Mainly refers to the risk due to rising interest rates of commercial banks to invest a fixed interest income related to investment vehicles falling prices. Commercial bank interest rate risk factors are many, including the central bank’s policy, changes in China’s economic environment, the period in which the bond market, and so on. Interest rate risk, the risk of assets and liabilities within the balance sheet gap created is the most basic and most important a risk.In our country, interest rates has relied on the government’s control for a long time. Interest rate level is adjusted by primarily with the needs of the development of our economy and the implementation of monetary policy. However, our country’s central bank will gradually relax restrictions on interest rates with the deepening of China’s interest rate marketization. In our country market interest rates is to make independent by the balance of financial institutions decisions, with currency supply and demand in the market. There is many problems for China’s commercial Banks with the process of marketization of interest rate, especially small and medium-sized commercial Banks, will have a great interest rate risk and be affected their net interest incomeThis paper is divided into five parts, the first part is introduction; The second part is introduced the process of marketization in our country for the risks of commercial Banks in China; The third part mainly introduced the empirical analysis part. and the measurement method of interest rate risk——interest rate sensitivity gap method It analyzed the interest rate risk of commercial Banks in China mainly by CHIBOR and China’s financial market interest rate risk through with the TARCH model GRACH model. Then to analyze small and medium-sized commercial Banks in interest rate sensitivity gap in our country between 2007 to 2013.The paper mainly rely on 11 small commercial Banks in our country interest rate sensitive assets and interest rate sensitive liabilities in the financial statements analysis measurement; The fourth part analyzes the problems existing in the small and medium-sized commercial Banks in risk management, and puts forward the management recommendations; The fifth part summarizes the research results,analyses the deficiencies in this paper, and prospects the future research direction.In this paper, we mainly through our country small and medium-sized commercial Banks of the interest rate sensitive assets and interest rate sensitive liabilities in the balance sheet which is analyzed by the gap, to study the commercial Banks’ ability of interest rates in 11 commercial Banks. We hope to point out our country small and medium-sized commercial Banks in the process of interest rate marketization of interest rate risk management deficiencies and Suggestions and improve the competitiveness of small and medium-sized commercial Banks in the process of marketization of interest rate from the perspective of assets and liabilities gap.