The Comparative Analysis And Countermeasure Study Of Interest Rate Risk Management Of Commercial Banks In China

With the collapse of the Bretton Woods System,the global financial system has had a profound and extensive change and then because the whole macro-financial environment changed a lot,developed countries started interest rate liberalization one after another.Since 1996,China has been through interest rate liberalizing process step by step but with a late beginning and a slow process.The interest rate nearly changed under the not-full market-oriented background.Thus the financial market was not affected a lot.But China liberalized the deposit interest rate top limit in 2015,which means our reform has a great breakthrough.In the current situation that international economic situation is complicated and changeable and China’s economic development is stepping into The New Normal,interest rate as the focus of contradiction among economic operations,is accelerated apparently.And also the difficulty to manage interest rate risks for commercial banks is increasing unprecedentedly and objectively.Therefore,it is important to do some researches on management of interest rate risks of commercial banks.This paper following the idea of problem solving,is a study of a combination of comparative and empirical research using a lot of data,charts and measurement.To begin with,we straighten out the theories of interest rate risk and interest rate management such as analysis of the domestic and foreign researches,the concepts,causes of interest rate risk,the interest rate risk management methods and theories.Then,we summarize and analyze the problems of interest rate risk management existing in the commercial banks in China.Furthermore,we demonstrate our opinions of interest rate risk management of commercial banks between 2004 and 2015 divided into different stages of interest rate liberalization by employing interest rate sensitive gap model as a static method,analyze empirically interest rate risks of interbank borrowing business of different kinds of commercial banks by Value at Risk model based on GARCH family models as a dynamic method and test commercial banks under different interest rate shocks as a supplement.Last but not least,it is necessary to build an effective interest rate risks management system to achieve the perfect management effects of interest rate risks,which is the most valuable experience of interest rate risk management of the banks in the world.In the recommendation part,we provide feasible suggestions for the construction of interest rate risks management system of commercial banks mainly from the perspectives of culture,the organization structure,the internal process,measurement models and information system of interest rate risk management of commercial banks in China.Comparable and empirical results are as follows.First of all,the commercial banks in China are facing a great many interest rate risks which have become larger with the deepening of interest rate liberalization at the present with maturity mismatching of assets and liabilities.Secondly,state-owned banks have great interest rate risks with generally negative interest rate sensitive gap in short term,positive interest rate sensitive gap in medium and long term.Thirdly,compared with state-owned banks,medium-sized and small banks have greater flexibility in adjusting the structure of assets and liabilities only in short tem.Moreover,the interest rate risks of interbank borrowing business are large,which of stock-holding banks are the largest,which of the state-owned banks are next to them and which of the city commercial banks are the least.Lastly,commercial banks can only undertake the interest rate risks under mild and moderate shocks,but not under heavy ones.