The Study Of Interest Rate Liberalization On Interest Rate Risk Of Joint-Stock Commercial Bank

The liberalization of loan interest rate was realized on 07/20/2013. The upper limit of deposit interest rate was adjusted to 1.2 times of the benchmark rate on 11/21/2014. The upper limit of deposit interest rate was adjusted to 1.3 times of the benchmark rate on 03/01/2015. The upper limit of deposit interest rate was adjusted to 1.5 times of the benchmark rate on 05/11/2015, and "Deposit Insurance Regulations" came into effect. On 06/02/2015, "Interim Measures for the administration of certificates of deposit" came into effect, and the liberalization of large deposit interest rate was realized. And so was more than one-year deposit interest rate on 08/26/2015. The liberalization of deposit interest rate was realized. Thus, the liberalization of RMB interest rate has been realized. The fluctuation of interest rate will change frequently. The implicit interest rate risk has been effectively released.Under this background, this paper makes a systematic study on the interest rate risk of the joint-stock commercial bank. First of all, this paper analyzes the causes of interest rate risk and four forms of interest rate risk. The advantages and disadvantages of the current measure-instruments are compared. Secondly, this paper uses the gap analysis method to make the sensitivity of the distribution table, the gap rate distribution table, the sensitivity ratio distribution table and the deviation degree distribution table in 3 months. The paper uses press-test method to assess the compressive strength and the ability to respond to extreme events of interest rate of the joint stock commercial bank when deposit and loan interest rate rise by 100 basis points and100 basis points or 300 basis points and 200 basis points or 700 basis points and 500 basis points. The paper uses VaR method to estimate the average daily VaR of joint-stock commercial bank by setting up the GARCH model when the market interest rate can fluctuate freely.By the result of gap analysis, it can be known that joint-stock commercial bank avoid interest rate risk by positive-negative model or negative model or positive model. By the result of pressure test, it can be known that the earnings of joint-stock commercial bank are significantly influenced by Interest rate volatility. And the ability to deal with extreme market situation remains to be further improved. By the result of VaR method, it can be known that the daily VaR of the joint-stock commercial bank is gradually enlarged. And there are obvious differences among different bank.In order to effectively prevent the interest rate risk, the following measures can be taken. First of all, make monthly table of interest rate risk by Gap analysis, pressure teat and VaR model. It may be helpful to strengthen the digital measurement of interest rate risk. In second, promote the securitization of credit assets, and it can make all participants undertake some risk and benefit.In third, it is a better choice to avoid part of the interest rate risk by expanding the intermediate business income and reducing the high dependence on interest income. Last but not least, it is very necessary to set up one high level management team, which can improve the professional level and strengthen the central power of interest rate risk management.