The Interest Rate Risk Management Of Commercial Bank During The Process Of Interest Rates Liberalization In China

Since1.980s, Interest rate liberation has become a worldwide trend,the United States, Britain, France, Japan, Germany and other developed countries and many emerging market countries have undertaken and realized Interest rate liberation.Interest rate liberation is the price of money is mainly decided by market demand and supply of financial market players. Interest rate liberation can promote the efficient allocation of financial resources, and improve efficiency in the use of funds.Now, the interest rate reform of China is an important stage, we have made great progress, on the other hand, interest rate liberation has not fully implemented, deposit rates, which is the most important part of the market, has not been liberalized. At this phase, interest rate risk of commercial banks has become more complex.Western countries first began to interest rate risk theoretical and practical research, and developed relatively mature. The Chapter3mainly introduces the different types of interest rate risk measurement methods, such as interest rate sensitivity gap analysis, the duration gap, VaR (value at risk) model, and describes in detail the advantages and disadvantages of each method. Combined with the facts of China Banking Industry, the last part of the Chapter3presents the interest rate risk measurement methods, which currently used in China commercial banks. According to annual report shows that the major domestic banks viewed in recent years, both state-owned commercial banks or joint-stock commercial bank or City firm, have adopted the interest rate sensitivity gap analysis of the re-pricing of risk banks were disclosed. In addition, for the VaR model, the report can be drawn from the data collected, not all of the state-owned commercial banks have adopted the VaR method measure interest rate risk in banking transactions accounts, and this phenomenon is more obvious in the joint-stock commercial banks.Taking the VaR model to measure the trading accounts’interest rate risk in the joint-stock commercial banks, such as China Merchants Bank, China CITIC Bank, China Everbright Bank, and Huaxia Bank. Sample data is the overnight lending rate from2009to2013, which is offered in the Shanghai interbank market.The last chapter of this paper describes that how to improve the interest rate risk management of China commercial banks. I have put forward several ideas and proposals on interest rate risk management and hope these recommendations will be helpful for further research in this field.