The Interest Rate Risk Management Of Small And Medium-sized Banks Under The Rate Marketization

In the 1970 s,the world began the process of marketization,the main basis for the wave of financial liberalization is “theory of repression” and “financial deepening theory”,that interest rate controls cause interest rates deviate from the market equilibrium level,the fUnds will not be effective allocation.Our country's interest rate marketization reform officially began in 1996.Since then the reform of interests rate accelerate,and on October 24,2015,Peopled bank of china announced that it is allowed to cancel the deposit rate floating ceiling,that imply nearly 20 years marketization reform basically completed.Interest rate marketization provides an efficient and fair market environment to the development of financial market,but at the same time,frequent fluctuations of interest rate cause interest rate more difficult to predict.From other country9 s experience,most of the country which implemented the interest rate liberalization occurred small and medium-sized commercial banks“bankruptcies”.So the study of the small bank interest rate risk control is significant.First of all,the paper reviewed the interest rate liberalization process and put forward the demand of further deepening the reform of interest rate marketization.;Then,from the perspective of the types of interest rate risk and traditional interest rate risk measurement model to analyze commercial bank interest rate risk;In fourth chapter,the paper analysis the advantages and disadvantages of small and medium-sized commercial banks,the influence of interest rate marketization reform and the problem of the small and medium commercial bank interest rate risk management.The fifth chapter is the empirical part of this paper,including tow parts,the first part on the basis of the GARCH-GED model and TARCH-GED model,using VAR model to measure the overall interest rate risk of our country5 s small and medium-sized commercial banks under the background of the interest rate marketization reform.;The second part use interest rate sensitive gap model and stress testing to test the difference of three types of small and medium-sized commercial bank^ interest rate risk.The last chapter in this paper is policy recommendations.