A Study On Interest Rate Liberalization And Interest Rate Risk Of Commercial Bank

As the pace of the interest rate liberalization reform gradually accelerates, the interest rate will face greater variability and uncertainty. Interest rate risk has become the main risks of commercial banks by gradually replacing the credit risk. As the microscopic main body of financial markets, commercial banks will directly face the challenge of interest rate marketization—the spreads narrows, and the interest risks increase.Although the proportion of the off-balance-sheet income has increased among the commercial bank, but the interest income is still the main source of income. In assets and liabilities management, the "remaining short and lending long" has been the main problem among the commercial banks which means the period of validity of assets and liabilities doesn't match. From 2012 to 2015, as the benchmark interest rate decrease, deposit and lending interest rate floating range has reached unprecedented strength.The adjustment of deposit interest rate floating range has been 1.3 times of the benchmark interest rate. While the adjustment of loan interest rate floating range has been 0.7 times of the benchmark interest rate, the spreads of the interest rate further narrowed. The increase of the adjustment frequency of central bank's benchmark interest rate also contributed to the interest rate risk of the commercial banks.The instability of the central bank interest rate policy and the bank's own assets and liabilities matching problem aggravated the interest rate risk of commercial banks.The interaction of internal and external factors has great impact on net interest income of the commercial banks, we should pay more attention to the management of the interest rate risk.The interest rate liberalization has a direct influence on the benchmark interest rate.As the price of the money, the changes of the interest rate have huge impacts on the bank's net income. Under the condition of the marketization of interest rate, in order to explore the interest rate risk management issues of commercial banks, in my paper, First three chapters expounds the basic theory of interest rate marketization in our country, reviews the market-oriented interest rate reform process in our country, compares interest rate marketization reform and interest rate risk control methods of the foreign countries, puts forward the precious experience of interest rate risk control.The fourth chapter makes empirical analysis of the interest rate risk under the marketization of interest rate.The first part uses the interest rate sensitivity gap (ISG) model to analyze the repricing risk of China Merchants Bank.The second part analyzes the influences of the basic risk on the net interest margin of China merchants bank. Finally, in combination with the practical situation of China merchants bank, suggestions have been proposed to tackle the market-oriented interest rate reform and manage the risk of the interest rate.The innovation of this article is the empirical analysis of the interest rate risk. The interest rate sensitive gap model was used to analyze the interest rate risk of China merchants bank. We analyzed the changes of the operating profit structure: Interest income decreases, while the proportion of intermediary business increases.,which puts forward a novel thinking for financial innovation to avoid the risk of the interest rate for the commercial bank in our country.