Study On The Interest Rate Risk Management Of China Construction Bank Branch In Jilin Province

In twentieth Century60s, many countries realized that the control of interest ratebrought negative effects to the financial market. So they gradually liberalized controls ofinterest rate. These countries adopted gradual reform or radical reform. Ones of them weresucceed or failed. It shows that the interest rate liberalization is a very complex project.Since1995, our country has proposed the interest rate liberalization. Interest rateliberalization has experienced a long process in our country. So far interest rate liberalizationhas achieved great results. On the one hand, interest rate liberalization brings the developingopportunity for commercial bank, such as to help to optimal allocation of commercial banks’resources, to increase the autonomy of commercial banks. However, it also brings a lot ofrisks to commercial banks, especially interest rate risk.The commercial bank’s interest rate risk is the possibility that with the volatility ofinterest rate, making the assets and liabilities of the banks fluctuate. There are many kinds ofinterest rate risk, including repricing rick, yield curve risk, basis risk, option risk and so on.Interest rate risk is the unvarying risk. It will exist with the changes of interest rate in a longterm. Especially under the increasing of the interest rate fluctuation amplitude and frequencyincrease, the commercial bank’s interest rate will be more serious. With the process ofinterest rate marketization reform of our country is accelerated, the interest rate fluctuationamplitude and frequency is increasing. Interest rate risk has become the main risks faced bycommercial banks in the process of operation. The interest rate risk management has becomeone of the major tasks to commercial bank. If the interest rate do not change or change alittle, then the commercial banks will face less or even no interest rate risk. Therefore, one ofmain jobs is to predict the interest rate volatility for the commercial banks. If the commercialbanks can predict the change of interest rate, the banks can make the reasonablecountermeasures to reduce the interest rate risk. It is a widely attention question how to helpcommercial banks to deal with the interest rate risk in the financial sector and financial issue.Many scholars studied the interest rate risk under the interest rate liberalization. And theyhave achieved abundant research. The paper studies the interest rate risk under interest rate liberalization, taking the ChinaConstruction Bank as the research object. The paper summarizes the current situation ofinterest rate risk of China Construction Bank. The paper shows that the measurement is notaccurate； the prevention tools are not perfect. The ability to deal with interest rate stillremains to improve. Based on the current situation of dealing with interest rate risk underinterest rate liberalization, the paper mainly provides some measures to deal with interestrate risk. It contributes on dealing with the interest rate risk of commercial banks. Therefore,it has certain theoretical and practical significance.The paper mainly uses the literature research method, mathematical statistics method,case analysis method and others. The paper is divided into six parts. The first part is theintroduction, mainly introducing the research background, purpose and significance, researchmethods, research ideas and contents, and summarizing the status of research on interest rateat home and abroad. The second part mainly introduces the theory of interest rate risk of thecommercial banks. In this part we know that the interest rate risk of the commercial banksmainly includes reprising rick, yield curve risk, basis risk, and option risk and so on. We alsoknow that adopt a certain methods to measure. The measure methods are commonly usedinterest rate sensitive gap analysis method, duration gap analysis method, VaR modelanalysis method. Each metric method has its own advantages and disadvantages. We can usethem synthetically. The commercial banks can use many tools to prevent the interest rate risk,including forward rate agreement, interest rate swaps, interest rate futures, interest rateoptions and so on. These financial tools can help the commercial banks for preventing theinterest rate risk to reduce, transfer and disperse the interest rate risk to some extent. Theycan reduce the risk of impairment of assets or increasing of the cost because of the change ofinterest rate. A part of the financial tools can also increase the profitability of commercialbanks. The third part mainly analyzes the status of the interest rate risk management in ChinaConstruction Bank of Jilin Branch of and introduced general situation of Jilin Branch ofChina Construction Bank, draw the main income is still net interest income, so the interestrate risk is still the main risk. Based on the analysis of the interest rate fluctuation, theselection of interest rate risk analysis method and the choice of data, the interest rate risk ofBank of China Construction Bank Jilin branch is analyzed.. Followed by further analysis ofthe existence of China Construction Bank of Jilin Branch of interest rate risk managementproblems, including institutional and technical level, and these problems include internalcauses and external causes. The fourth part is mainly to analyze the Jilin Branch of China Construction Bank interest rates on preventive measures and management processes werestudied. Firstly, it analyzes the status of China Construction Bank of Jilin Branch interestrates in response to risk ability, through the analysis of the obtained the Jilin Branch ofChina Construction Bank should interest rate risk capacity needs to be improved, mainlythrough strengthening management of assets and liabilities ratio and make rational use offinancial derivative tools to prevent the interest rate, and according to the interest rate riskmanagement of interest rate risk management process in four steps of the Jilin Branch ofChina Construction Bank has been re built. The fifth part is mainly for Jilin Branch ofConstruction Bank of China put forward countermeasures for some deal with the interest raterisk, can be taken to strengthen the asset liability management, improve the pricingmechanism of financial products, interest rates to regulate the internal risk controlmechanism, pay attention to personnel training and other measures. The sixth part is theconclusion of this paper, the main summary of the research results and shortcomings.