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

With the proposing and deeply development of financial liberalization,in the 70 s,80s of 20 th century,financial deepening reform was gradually launched in the world,and the core of financial deepening reform is interest rate marketization reform.Learning from the successful experience of foreign reform,China began to promote interest rate marketization reform in the nineties of last century.It is of great significance in optimizing the allocation of resource,improving the outer operation of commercial banks,elevating the abilities of interest rate pricing and financial innovation,optimizing the structure of clients,assets and liabilities by relaxing the control of interest rate,but at the same time,it also exacerbates the interest rate fluctuations,and the interest rate risk of commercial banks faced shows some new changes.Especially for China's commercial banks,who are heavily dependent on loan-deposit interest margin as a source of income,interest rate was controlled for a long time,which make them lack of interest rate pricing ability and interest rate risk prevention consciousness and make it more difficult to manage interest rate risk for commercial banks when the interest rate changes sharply and interest rate between loan and deposit becomes smaller.On the one hand,studying on interest rate risk that commercial banks faced under the background could enrich the interest rate risk management theory,on the other hand through the specific analysis of the interest rate risk that commercial banks faced,it could reflect the changes of commercial banks' interest rate risk and the circumstances of interest rate risk management,thus to promote the commercial banks to pay attention to interest rate risk and its management,and constantly enhance the risk control ability.Through the analysis of domestic and foreign scholars' researches,it was founded that,as of now,there were plenty of foreign theory and empirical researches on interest rate risk management,while in the domestic,most of the current researches were focused on the applicability of interest rate risk measurement model and strategies of risk management.Recently quantitative study on interest rate risk that commercial banks faced becomes more and more,but most of them are only focused on one or several banks,doing in-depth study on different types of banks is very scarce,and the conclusions were controversial.Therefore,this article firstly carries on the analysis of the basic theory of the causes of interest rate risk,the measurement model,and interest rate risk management strategy.Then comprehensively considering the measurement model's advantages and disadvantages,applicability,cost,effect,data availability and accuracy,the author try to use the interest rate sensitivity gap model to do horizontal and vertical quantitative comparison on 16 commercial banks of different types of China,according to the data of their relevant financial statements from the year of 2010 to 2015,and found that : Overall the interest rate risk management capacity of China's commercial banks has been greatly improved recently,but the long term assets and liabilities are seriously mismatched,especially in the large state-owned commercial banks and city commercial banks;relatively speaking,the interest rate management of joint-stock commercial banks have a comparative advantage,and their interest rate risk is less exposed,and their interest rate sensitivity gap adjustment is more sensitive when interest rate changes;for the large state-owned commercial banks,their reaction lags behind,although the interest rate gap rate is not large,but the gap is so big that they must attach importance to;when interest rate changes,the city commercial banks are more sensitive,and can carry on the flexible adjustment to the gap,but the result is not ideal,leading to big interest rate risk exposure;the delay in the interest rate transmission mechanism and the uncertainty of the central bank's interest rate adjustment would increase the interest rate risk and make it harder to prevent the interest rate risk.Considering that stress test as an important complement to risk measurement,in the chapter 4,the author use stress test model,combine the international loan-deposit margin trend and our country's current macroeconomic situation,by setting the future interest rate changing scenarios and selecting the net interest income and net interest margin change indicators,to analyze repricing risk,basis risk and yield curve risk that commercial banks would be bear when interest rate changes extremely.The results show that repricing risk and basis risk are the two major types of interest rate risk faced by commercial banks of China;for the repricing risk,the different types of commercial banks are different,and that the city commercial banks faced are the maximum,emerging joint-stock commercial banks faced are the smallest;and all of the commercial banks would bear great basis risk,but for different banks,basis risk of city commercial banks and emerging joint-stock commercial banks are must bigger;as to the rend of smaller loan-deposit margin,large stated-owned commercial banks are more resilient,but their huge net interest incomes changes alsoneed to attach importance to and controlled.At the end of this paper,according to the front quantitative research,the author firstly analyze the problems that commercial banks faced in managing interest rate risk,including that interest rate risk management system is not sound,management means are backward,lacking of talent,the external environment is not sound,etc.Then the author puts forward some suggestions on the interest rate risk management from the angle of external environment and commercial banks themselves,and furthermore give different commercial banks some specific advice.