Study On The Chinese Commercial Bank’s Interest Rate Risk Under The Rate Marketization

Commercial banks are the core sectors of our economic and financial development, and plays a vital role in risk measurement and management. At present, China’s interest rate market to accelerate, the upper limit of the floating range of deposit rates have been gradually increased to 1.5 times the benchmark rate, in May 2015, in June the deposit insurance system were introduced negotiable certificates of deposit and, so far, China’s RMB interest rate market from the full realization of the deposit interest rate controls liberalized worse. Because of government regulation of financial markets gradually relaxed, financial product innovation, increasing the lead to more frequent fluctuations in the financial market uncertainties, risks faced by financial institutions more complicated, more difficult risk management. From our reality, the impact of long-term interest rates by the central bank bundles, commercial banks slow response to changes in interest rates, risk management and the Western countries are far apart. Therefore, China’s commercial banks at market reform trend, the prevalence of interest rate risk measurement accuracy is not high, the low level of risk management and other issues.As a measure of interest rate risk overall risk management and key premise accurate measure determines the degree of scientific, rational risk management. Currently, VaR model has become the main tool to measure risk in Western countries, but China’s actual point of view, the current is still the traditional measure of interest rate sensitivity gap measure based model, but more advanced, more accurate VaR model is not enabled for Commercial banks are widely used, can not cope with progressively increasing interest rate risk. Therefore, given the realities of commercial bank interest rate risk management, the different metrics used in combination, is important.This article will use and development of the interest rate risk measurement and management strategies as context, through the foreign, comparative analysis of different scale domestic commercial bank interest rate risk management, the status quo of different types of banks at the present stage the size of interest rate risk measurement and control levels and the presence of insufficient. Methodological, theoretical analysis and empirical research in conjunction with analysis of the advantages and disadvantages of different interest rate risk measurement models and management policies, bank accounts and trading accounts for China’s commercial banks difference, using a combination of policy research and exploration of commercial bank interest rate risk. In theory, describing contrast the traditional interest rate sensitivity gap model, duration model and modern more accurate VaR model; empirical, for banking accounts and trading accounts of different bank’s interest rate risk using interest rate sensitivity gap analysis, respectively Law and VaR analysis, detailed analysis of the interest rate risk measurement explore and control the process of marketization of interest rates in different types of bank size. The results showed that: on the one hand, there are different types of banks to take the size of the interest rate risk stress and risk management and control policy adopted by the differences, small and medium sized commercial bank pressure, are more willing to take a proactive risk management strategy, and large commercial banks pressure is relatively small, now stage to take a passive risk management strategy; on the other hand, inter Shanghai interbank overnight lending rate for the sample data for different types of scale of commercial banks on the interbank market in interest rate risk analysis was calculated and found that the number of transactions due to the small and medium banks more frequent, large turnover, the greater the face of interest rate risk. Finally, based on the results of the theoretical and empirical, China’s commercial banks made a number of specific suggestions.