The Commercial Bank Interest Rate Risk Management Research Using Shibor

With the growing pace of financial reform in China, especially the degree of marketization of interest rates has further deepened, the interest rate risk problem of the commercial banks in our country is becoming more and more prominent. Due to the influence of official interest rates in the past,the management capacities of the interest rate risk in the commercial banks are weak,so the new situation for the commercial bank interest rate risk management puts forward more severe challenges. Especially in the area of interest rate risk measure, although after years of exploration, the use of Va R method is proposed, but in the practical model of improving accuracy there is still a big space to improve.According to a large number of scholars for interest rate risk measurement method research, Va R model based on the GARCH(1,1)model can well eliminate the time data of volatility. But the model does not fully consider the leveraged existing in the financial time series and the influence of asymmetry. The introduction of asymmetric GARCH such as TARCH model and use the overnight interest rates, and the test results are relatively good fitting, and we get more accurate Va R value in theory. And according to the result of empirical analysis, we propose the corresponding suggestions for interest rate risk management of commercial bank, and hoping to provide reference of commercial Banks.