The Study Of The Measurement Of Interest Rate’s Risk In Commercial Banks In China Under The Interest Rate’s Marketization

Since the1980s, with the further deepening of economic globalization, the patternof the world economic has happened unprecedented changes, in order to adapt to thechange of economic environment, western countries have removed the interest rate’scontrols, which took to the road of the market-based reform of interest rates, powerfullypromoting the development of world economy. Since1992, our country also joins themarket-based reform of interest rate. Along with the development of the market economyand the deepening of the financial system reform, the process of marketization of interestrate in our country is accelerating, making the interest rate’s risk in the commercialBanks increasing gradually, which has become a determine whether commercial Banksin the fierce competition can keep sustainable development. So Our country commercialbank must attaches great importance to the interest rate marketization of interest rate risk,and take action of interest rate risk measurement on bold innovation and practice.Based on the interest rate’s marketizayion, This article has analyzed themeasurement of interest rate risk in our country commercial bank, through thecombination of qualitative analysis and quantitative analysis, theoretical analysis andempirical test, the combination of empirical analysis and normative analysis andcomparative analysis method. Firstly elaborate the basic connotation, reform mode ofinterest rate marketization, and the process of interest rate marketization in our country;Secondly analyze the influence of the interest rate marketization to our country financialenvironment and commercial Banks; Again, the comparative analysis of severalcommonly interest rate risk measurement model used in interest rate risk, the interest ratesensitivity gap model, duration model, VAR model.On this basis, select the date of2011-2014in China Shanghai interbank lendingrates Shibor overnight in China, and based on student’s t and GED distribution, do theempirical analysis of the interest rate marketization of interest rate risk of commercialbank in China by the VaR method. The empirical results show that at present our countrycan use VaR method analysis the interbank lending market interest rate risk; Finallyanalyses the applicability of the VaR method in our country, it is concluded that thepresent stage our country can consider to use VaR technology to measure the interest raterisk in of our countryMost innovation point of this article is selecting the VaR model based on GAECH method compared with the measurement models of interest rate risk, and then carry onthe empirical results based on the student’s t, and respectively GED distribution. Finally,chose the based on GED distribution GARCH (1,1) model for the calculation of VaRand research. Hope that it can provide certain reference to measurement of the interestrate risk in our country commercial bank...