A Study Of Inetrest Rate Risk Management Of Chinese City Commercial Bank Based On The Interest Rate Liberalization

The practical experience of developed countries and the objective needsof China’s financial markets show that interest rate liberalization is the inevitable trendof the development of our country. Along with the deepening of China’s interest rateliberalization, the increase of the interest rate risk makes China’s financial markets andfinancial institutions face with the challenges of the management of the interest rate riskand the pressure of operating management. At present, China’s theoretical research onthe interest rate risk management of Chinese city commercial banks based on theinterest rate liberalization is rare, and practical experience is even scarcer. Comparedwith large banks, city commercial banks is disadvantaged whether from the aspect ofscale or the aspect of the competitiveness; moreover, the mechanisms for the predictionand prevention of the banks’ internal interest rate risk are not sound enough, so theimpact of interest rate volatility for city commercial banks will be more intense.Therefore, the interest rate risk management of China’s city commercial banks, which isunder the condition of interest rate marketization, is an urgent problem to be solved.Because the process of foreign interest rate marketization develops rapidly, theirtheoretical research and practical experience of interest rate risk management are moreabundant, methods for the measurement of interest rate risk management are plenty,such as interest rate sensitive gap analysis, duration convexity model, VAR model etc..This paper selects twelve city commercial banks as the samples to analyze the currentsituation of Chinese city commercial banks’ interest rate sensitivity, which used theinterest rate sensitive gap analysis and duration convexity model to measure ChengduBank interest rate risk, including interest rate changes on the impact of changes in netassets of City Commercial Bank in china.The empirical results of this paper show that: the whole interest rate risk of citycommercial banks is higher than large banks, reflected in a strong sensitivity to interestrates. Due to the lack of appropriate interest rate prediction mechanism, the maintainingof micro gap cannot effectively avoid interest rate risk. City commercial banks shoulduse their own characteristics and advantages to avoid the disadvantages of development,and actively carry out reform. This paper put forward three suggestions for the reformof city commercial banks: the interest rate risk management ability, the target customergroup selection and profitability.