Research Of Interest Rate Risk Of China’s Listed Commercial Bank Measurement Based On The Assets And Liabilities Gap Management Perspective

Risk control has always been one of the mean concerns of commercial bank management. Since the founding of China in 1949, banks are under the policy of interest rate controls, until June 1,1996, the central bank set the inter-bank offered rate free. In recent years, China has increased efforts to promote market-oriented interest rates, the central bank also announced full liberalization of lending rates of financial institutions control since July 20,2013, interest rate controls’phasing out makes the interest rate risk become the most important risk of commercial banks in China. Interest rate risk(IRR) management mainly includes risk identification, measurement, control, and evaluate the effectiveness. And the most critical is measurement of IRR, which also is the greatest technically difficult one, this paper focuses on the measurement of listed commercial banks IRR.This paper is divided into four chapters, the first chapter summarizes a detailed introduction to the classification and identification of methods of IRR, IRR measurement and domestic literature studies.The second chapter divides the constraints of commercial bank IRR measurement factors as macro factors and micro factors, macroeconomic factors includs China’s interest rate formation mechanism’s not-fully-market-oriented, inadequate commercial banking regulatory mechanisms, the interest rate market-oriented periodic risk, underdeveloped financial markets lack of interest rate derivatives, as well as the impact of financial opening-up; microeconomic factors includes the interest-based revenue model of China’s commercial banks, imperfect of interal IRR control, and technical constraints.The third chapter first introduces three main methods of IRR measurement Interest rate sensitivity gap model, Duration model and the VaR model, then analyses them,and finds out the interest rate sensitivity gap model and the duration model is the most applicability in China’s commercial banksIn Chapter Ⅳ,first, according to data of the annual report of 16 listed commercial banking calculate the 2007-2012 interest rate sensitivity gap and coefficient, the data show most of China’s listed commercial banks having positive gap, and the gap has a slow upward trend, where state-owned five banks’ gap are volatile; then, use regression model and Nelson-Siegel model of parametric models carried Treasury yield curve fitting of the listed State debt, and select the best (Nelson-Siegel model); then use modified duration-convexity yields data model and Nelson-Siegel model fitting calculate the Minsheng Bank’s the duration and convexity of assets and liabilities, and also the bank’s net worth while the changes in interest rates, which prove that the modified duration-convexity model suitable for China’s commercial banks.Finally, according to the analysis and measurement results of this paper, I put forward relevant proposals.