Research On The Interest Rate Risk Measurement And Management Based On The Net Interest Margin Analysis Of China’s Commercial Bank Under The Background Of Interest Rate Marketization

During the process of China’s improving financial marketization, the interest rate marketization is also continuously developing, which is the focus of financial reform. It can be said that the current marketization of China’s interest rate is just like a fast moving "high-speed rail train", which has broken a series of substantial barrier in its moving forward; however, the risk of interest rate is aggravated during the process as well. Commercial Banks are the "passengers" of this train, which are faced up with various risks as well. For Banks, interest rate risk becomes the main one that they will have to face, since once the interest rate is marketized, interest rate’s fluctuation amplitude as well as the frequency will be much greater than before. If the commercial banks can’t make accurate measurement and manage the risk, they will have big problems in their business.In order to better study the interest rate risk related problems in the process of interest rate marketization, this thesis makes a research on the control of interest rate, the meaning of interest rate risk, the practice of interest rate marketization and the types of risk in the process of this reform. This thesis describes the main advantages of the VaR Model in measuring interest rate risk, and chooses SHIBOR as the research object to measure the interest rate risk under this marketization. The demonstration of previous experiments has shown that, the VaR model, after introducing GARCH model, can better explain the data characteristics. But in this thesis, the calculation of Shibor overnight VaR value is lower than other research, and the reason is that the results of model, data, and the calculation are different; in addition, this thesis surmises that a second reason might be that the domestic commercial banks have made certain achievements in interest rate risk management, which needs further study.In terms of the management of the interest rate risk, this thesis is also different from other previous researches on bank interest rate risk. Based upon the previous researches, in this thesis, we use a panel data regression model. By analyzing net interest margin model, this thesis gets the conclusion that the BASE, interbank interest rate risk, operating costs, financial innovation, degree of risk aversion, and other indicators are affect bank to obtain the level of interest spreads.Of all the selected variables, all the variables are the same with the prediction and also provide a good explanation for the model, except the variable of the result of the financial innovation, which is contrast to the prediction. In the last section, this thesis puts forward some advice about the measurement and the management of the interest rate risk.This article has a lot of deficiencies, such as not being able to make a comparison with the current interest rate risk measurement model; and it also fails to give full consideration to other related variables in NIM model selection. Combined with the availability of data, this thesis is relatively rough in terms of real evidence, and the accuracy of regression model might be affected accordingly.