The Study On The Interest Rate Risk Management In State-owned Commerical Banks Under The Interest Rate Marketization

With the development of China’s market-oriented reform of interest rate,interest rate gradually determined by market supply and demand sides,those changes in interest rate is uncertain.Frequent fluctuations in interest rate leads to interest rate for deposits and loans of State-owned Commercial Banks to change, having a great impact on State-owned Commercial Banks.Therefore, analyzing the risk management level of State-owned Commercial Banks’ interest rate,using the appropriate model to measure and predict trends in interest rate,and developing appropriate business strategy,can reduce the interest rate risk effectively.In this paper,combining domestic with foreign scholars to the basis theory of the interest rate marketization and interest rate risk management, combining with China’s market-oriented interest rate reform, and the study of the interest rate risk level of State-owned Commercial Banks.Firstly, elaborating the management of interest rate risk status and problems of State-owned Commercial Banks.Secondly,useing 2006-2015 annual report data of Industrial and Commercial Bank,Agricultural Bank of China,Bank of China,Construction Bank and Bank of Communications is based on the use of interest rate sensitivity gap,capital adequacy,asset-liability ratio and pure interest income over four indicators,to analyze the size of the interest rate risk level of five State-owned Commercial Banks.Then, selecting five banks offer interest rate of overnight bank lending rate of Shanghai as the research object, the interest rate on offer access log processing, data normality test,stability test,autocorrelation test and conditional heteroskedasticity test,building AR(p)--- GARCH(p,q) model empirical research,drawing the corresponding mean equation and conditional heteroskedasticity equation.Finally, by calculating the VaR to estimate the banks in lending funds hold the same positions in the largest loss of value,the comparator 5 bank’s interest rate risk size.Through empirical analysis,the conclusion is as follows.(1)Five banks short-term gap is negative substantially,long-term gap is positive substantially,State-owned Commercial Banks have higher gearing ratio and larger interest rate risk.These Banks pure interest incomeaccounted for operating income ratio,although declining,the proportion is still large,indicating that their spread income is a source of income.(2)Five banks are subject to interest rate volatility greater impact,and that impact is persistent and difficult to eliminate in the short term.(3)Agricultural Bank of China’s VaR estimate is maximum,Industrial and Commercial Bank’s VaR value is minimum,the same explanation when lending funds hold positions of interest rate risk faced by Industrial and Commercial Bank is minimum, the Agricultural Bank of China is largest.According to the results of empirical analysis, this paper presents suggestions from the development of intermediary business, innovative financial products, strengthen the development of qualified personnel, strengthen the measurement and control of interest rate risk,improve financial market conditions.