The Interest Rate Management Under The Background Of Interest Rate Liberalization On Joint-stock Commercial Banks

The interest rate is the benchmark for pricing of financial asset, the marketization of interest rate is the inevitable trend with the development of economy and the deepening of financial liberalization. China has moved to reform the interest rate liberalization since 1996, the marketization of interest rate makes the deposit and loan spreads gradually narrowing, the traditional business of the commercial bank is under attack. The interest rate market makes the commercial bank interest income lose,especially the interest income of our commercial banks accounts for a very high case.With the deepening of interest rate liberalization, Chinese joint-stock commercial bank interest rate risk further highlights.This article studies on the main form of Chinese joint-stock commercial banks interest rate risk and analyses the anti risk ability of the Chinese joint-stock commercial banks based on the background of the interest rate liberalization in China.In the study of the basic model of interest rate risk management, this article analyses the interest rate sensitivity of 9 banks by choosing the semi annual report data of five major state-owned banks and four rapid developing joint-stock commercial banks,and does a preliminary understanding of the interest rate risk of commercial banks,and focuses on the short-term interest rate risk period of three months. Generally found that there are large short-term negative gap in commercial banks. GARCH(the generalized autoregressive conditional heteroscedasticity) model are used to describe the volatility clustering models in common, it can effectively reflect the return volatility and heteroskedasticity phenomenon of financial asset. So in the empirical study of VaR, this article accurate calculates three months of the value at risk for the banks by using AR(2)-GARCH(1,1) model to describe the aggregation effect of Shanghai interbank overnight lending rate time series and the variance effect.The results show that, especially the state owned commercial banks, the short-term interest rate risk of the Chinese joint-stock commercial banks is very big.The joint-stock commercial banks should focus on the regulation of interest rate risk,and prevent fluctuations of interest rates causing huge losses when the proportion of the interest income and short-term interest rate risk are very high. Therefore, the joint-stock commercial banks should improve the risk consciousness of interest rate,and establish risk management mechanism of interest rate.