| The measurement, valuation, management of interest rate risk is the important content ofmarket risk of the banks. The study about the term character of asset and liability, adjustmentspeed and interest rate risk, further study the interest rate fluctuations influence oncommercial bank of different characters, is very important for the asset and liabilitymanagement and interest rate risk management.Empirical target of this study is11commercial banks. Will it into state-ownedcommercial Banks and joint-stock commercial bank two kinds. The study period from thethird quarter of2007to the third quarter of2011, using CCERDATE’s profit and loss and thebalance sheet data, using the Flannery part of the adjustment model of our country’scommercial bank interest rate risk management conducted a long time window empiricalanalysis. Through the study, the conclusions are as follows: the two types of commercial bankassets and liabilities of the average value adjustment speed and the gap between the averagematurity date is, face interest rates fluctuate will appear the interest rate risk. One of thejoint-stock commercial bank assets and liabilities adjust speed is greater than the state-ownedcommercial Banks; In the assets and liabilities of the average maturity date, the performancefor the "borrow short loan long"; In earnings, two types of bank regardless of short and long,as long as interest rates rise, gains will rise, and is down; Due to the state-owned commercialBanks are more traditional business, interest rate fluctuation on large effect on its earnings,and the joint-stock Banks will be able to adjust the assets and liabilities with the faster speedto respond, reduce the possibility of loss, earnings are not easily affected by interest ratefluctuations.At the end of the paper to improve business bank respectively from the assets andliabilities management, to speed up the pace of financial innovation, prevent liquidity risk, itputs forward some Suggestions. |
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