The Study Of The Interest Rate Risk In China Listed Commercial Bank

Interest rate marketization is an important content of China's financial reform, It will promote the reasonable distribution of the social capital and helping the economy continues to stable growth. But with the deepening of the reform, the commercial bank interest rate is no longer a fixed, market forces will determine the interest rate, financial institutions' interest rate floating range and variable frequency also will continue to expand, this bring huge challenges to the risk management of commercial Banks. Interest rate marketization process has made significant achievements from1986. Interest rate marketization reform of interest rate risk also gradually revealed. The paper analysis our country commercial bank interest rate risk in theoretical under Interest rate marketization.And the paper selected the 16 listed Banks' data of 2004-2011 analyzing the listed commercial Banks' interest rate risk and its influencing factors in empirical.In this paper, the full text is divided into five parts. The first part mainly introduces the background of thesis research significance and research content. The second part theoretical analysis and literature review. It analyzes our country commercial bank interest rate risk, the reason for interest rate risk and interest rate risk identification and analysis. At present, the interest rate risk measurement method is mainly interest rate sensitive gap analysis, duration analysis, VaR model, analysis model. The paper also reviews the content of research on the Chinese and foreign scholars. The third part mainly introduces our country commercial bank the most commonly used the theoretical foundation of the interest rate sensitivity gap. According to the theory, the paper use stress test to measure the size of the current risk of 16 listed Banks in our country the current risk, and analyze the results simply. The forth part is analyzing the influence factors of interest rate risk faced by Chinese commercial Banks. We analysis the external factors, which conclude marketization, domestic macro environment (including growth level, the domestic price level and the central bank on money supply). Internal factors conclude the middle business of opportunity cost, loan structure, management level and reserve. According to the results of theoretical analysis to select 16 listed Banks in 2004-2011 annual data, the paper analysis of listed the influence factors of interest rate risk in empirical. Part 5 conclusion and policy recommendations.(1) The whole structure of listed commercial Banks in China the face interest rate risk;(2) State-owned Banks, joint-stock commercial Banks and city commercial Banks to resist the ability of the interest rate risk is different;(3) The degree of marketization of interest rate, the intermediate business of commercial bank and the management level of commercial Banks, savings and loan structure are influence factors of listed bank interest rate risk, and the influence is different. Based on result, the paper puts forward the corresponding Suggestions.(1) Improve the ability of commercial Banks risk management;(2) In order to strengthen the management of assets and liabilities;(3) Developing banking business for diversification.