The Study On Interest Rate Risk Management Of Commercial Banks In China

With the gradual reform of interest rate liberalization and the advance of our financial market, the risk of interest rate faced by the assets and liabilities of commercial banks will be worse. If the means of interest rate risk management of commercial bank is not perfect, it is very difficult to survive in the interest rate risk of erosion. Therefore, the research on the interest rate risk management of commercial bank has important practical significance.Among the interest rate risk measurement model, duration model has larger risk coverage, fewer assumptions and operability advantages, thus gradually become the main means of commercial bank interest rate risk measure. Paper selects F-W duration model, combined with the convex gap model, chooses CITIC Bank as the research object, measures interest rate risk and finally makes recommendations.Firstly, paper summarizes the outstanding achievements of scholars on interest rate risk management, and reviews the classical theory. Secondly, uses qualitative methods to study the four main kinds of interest rate risk and five kinds of measurement model. And in turn analyzes and compares the interest rate sensitivity gap model, duration model, convexity gap model, simulation techniques and VaR analysis, and ultimately select F-W duration and convexity model which has strong applicability and operability as a model of this article theoretical Model. Finally, uses empirical analysis. The empirical analysis in this paper has two main aspects:One is to collect sample data bonds traded on the exchange, make regression analysis of three curves by eviews software, and ultimately select the best fit of the power curve; the second is to choose the CITIC Bank as the research object,and use excel software to calculate the F-W duration and convexity gap in balance of the project.Measurement results of the model show, F-W duration and convexity gap of CITIC Bank are positive. There is a certain maturity mismatch of assets and liabilities and interest rates rose 1 percent would reduce the net assets of about two billion. Managers can take interest rate risk management strategies:they can adjust the term structure of assets and liabilities based on market interest rate changes, creating a negative gap when interest rates rise, continuing to increase positive gap when interest rates fall or maintain a zero gap during interest rate changes uncertain; On the other hand they can use financial derivatives to hedge risks. Paper use F-W duration and convexity model to measure the interest rate risk of commercial bank, hoping to further increase awareness of risk management for China's commercial banks and improve interest rate risk management system.