The Research On Interest Rate Risk Early Warning Of City Commercial Bank In Our Country

With the interest rate liberalization reform entered a critical stage, interest rate risk facedby commercial banks will be gradually increased, which challenges to its risk managementcapability. Due to excessive reliance on deposit-loan spreads, lack of capacity in resist risk,injustice of external competitive environment and other factors, interest rate risk of citycommercial banks is more prominent, and will be the main issue of risk man management ofcity commercial banks.By reading domestic and foreign scholars’ research findings about interest rate risk, thispaper find that scholars achieved certain advanced results in the study of risk measurementmethods and risk early warning model, however, study of interest rate risk warning is rarely,and research of interest rate risk warning on city commercial bank is less. Establishment ofinterest rate risk early warning model can benefit to prevent and reduce lose from interest raterisk, therefore, the research of interest rate risk warning is significant to improve the ability ofcity commercial banks to deal with interest rate risk.In the context of the interest rate liberalization reform, this paper takes city commercialbanks as the research object to design interest rate risk early warning model which can beapplied by city commercial banks in the current situation. Firstly, this paper introduces theconcept of interest rate risk and risk warning, and describes some econometric models whichare used in the process of writing this article. Secondly, this paper tries to analyzes theformation mechanism of commercial banks’ interest rate risk from the income effect, themarket value effect, dynamic effect and external effect from rate change, and selects netinterest come, net interest margin, capital adequacy ratio and others twelve indicators thatcombined with city commercial banks’ own characteristics to establish an interest rate riskwarning indicator system of city commercial banks innovatively. Thirdly, this paper selectsbank of Ningbo as s sample to calculate the interest rate risk comprehensive evaluation of thisbank by using factor analysis, and in accordance with the model principles of ARIMA toestablish interest rate risk prediction model successfully, and uses this model to predict theinterest risk value of the next four quarters of the sample bank. Fourthly, this paper sueK-means clustering analysis to divide risk waning, and analyze the state of interest rate riskvalue, and the results of analysis are “deserve attention”, it means that the sample bank haspotential interest rate risk. Finally, according to the results of empirical analysis andcombining the characteristics of city commercial banks, this paper proposes related policiesand suggestions to improve the ability of city commercial banks to deal with interest rate risk.