Research On Interest Rate Risk Based On Fractal Market Theory

From the beginning of China's implementation of market economic system,China's interest rate control has been relatively strict.But since the Shanghai interbank market began formal operation,in January 4,2007 and July 19,2013,the central bank announced that since July 20,2013 the full liberalization of lending rates of financial institutions regulation,cancel the lower lending rates of financial institutions 0.7times.After the central bank announced on October 23,2015,commercial banks and rural cooperative financial institutions and other deposit rates are no longer floating cap.These show that China has basically canceled interest rate controls,the realization of interest rate market.Therefore,the research on the identification and prevention of interest rate risk under the complete interest rate market has reappeared in people's line of sight.At present in our country,the financial industry is booming,various types of financial institutions involved in the capital continuously,continuously enriched,increasing the number of association between financial institutions and the capital chain more complex.In financial engineering more and more now,identification and control are becoming more and more complex and the system of interest rate risk,the past simple position matching and use accounting method to control the interest rate gap is more and more difficult.At the same time,financial market participants are not simply commercial banks,more privatefinancial institutions and investment banks also make the type of interest rate risk is no longer a few simple categories in the past.Therefore,in the face of the identification and prevention of interest rate risk,we need other theories and methods to further broaden the horizons.The main content of this paper is through the introduction of fractal market theory,analysis of two different levels of financial interest rates,interbank lending market and P2 P net loan market.China's commercial banks and net lending platform representing large financial institutions and small and medium-sized financial institutions,interest rate risk,to Shanghai interbank interest rate of commercial bank interest rate risk,the net loan interest rates to real-time analysis of financial risks facing small and medium sized financial institutions.From the nonlinear point of view,this paper puts forward a more practical basic hypothesis of the interest rate market,the fractal market hypothesis,to solve this multi-level nonlinear interest rate market problem.The risk value of fractal distribution of modified calculation of interbank positions and net lending institutions positions(Value-at-Risk,VaR),and analyzed the theoretical summary and empirical method of its position through the interest rate risk,shows that the fractal distribution to fit the interest rate risk is reasonable,change based on complex interest rate risk the interest rate environment measure rating and risk aversion mode.Finally,how to strengthen the interest rate risk management of commercial banks in china.This paper combines the fractal market and interest rate risk to study the interest rate risk brought by the interest rate marketization to large commercial banks and small and medium-sized Internet financial enterprises.In the interest rate risk measurement method,this paper uses fractal distribution to calculate the risk value(VaR),through this method to measure the interest rate risk faced by China's financial enterprises.In the aspect of risk management recommendations,the paper puts forward the quantitative rating of interest rate risk prevention and the change of risk aversion mode under the complex interest rate environment.