Research On Interest Rate Risk Of Commercial Banks Under The Background Of Interest Rate Marketization

It's well-known that financial globalization deeply promoted the reform of financial system,and the interest rate marketization is the important content of deepening the reform of financial system in our country.For the rational allocation of capital and the internationalization of RMB is of great significance.At present,China's interest rate liberalization has been fully implemented and nearly completed.Implementation of market-oriented interest rate makes our commercial bank's management changes in the environment.As the market interest rates increase,the interest rate risk of commercial Banks face with also will increase,which has become one of the risks of commercial Banks need to focus on.Therefore,in order to adapt to the trend of interest rate liberalization,the commercial Banks themselves must implement a series of reforms.Commercial Banks must attach importance to the measurement of interest rate risk and adopt risk management measures that are suitable for themselves according to the situation.Therefore,this paper studies the influence and strategy of interest rate liberalizationon commercial Banks in China.This article firstly introduces the background,the purpose,the method and thearticle framework of the research.It analyzes the innovation and shortcomings in the research.Then,it introduces the concept of interest rate marketization and its impact on commercial banks,the classification of interest rate risk,the means of the measure of interest rate risk,such as Interest rate sensitivity gap method,Duration method and the VaR model.The management of interest rate risk in China is studied,and the application of interest rate sensitivity gap method in China's commercial banks as well.It was found that most of the commercial banks failed to take full advantage of the asset management method to effectively avoid interest rate risk in the interest rate changes in recent years,and the volatility of interest rate Commercial banks have increased their interest rate risk.Compared with the large-scale joint-stock commercial banks,the interest rate risk of small and medium-sized joint-stock commercial banks is low and the interest rate sensitivity gap adjustment is more flexible.It can better prevent interest rate risk in the interest rate adjustment process.Next is the subject content of the article,and the empirical analysis of interest rate risk.GARCH model(generalized autoregressive conditional heteroscedasticity)is a common model of the volatility First of all,we select the data of 2012 to 2016 Shanghai Bank overnight market interest rate Shibor,and describe its characteristics,concluding that GARCH model can be established.Then the AR(1)-GARCH(1,1)is established to characterize the aggregation effect and heteroscedasticity effect of the overnight intercity rate of Shanghai interbank under the t-distribution and the generalized error distribution(GED).The empirical results show that the AR(1)-GARCH(1,1)model under the generalized error distribution GED has the best fit for the logarithmic yield.Therefore,based on the this model,this part calculates the risk value of the logarithmic rate,obtaining the overall interest rate risk level of China's commercial banks accurately and quantitatively.It passed the back test,which is Indicating that the VaR method is a realistic and effective way to measure interest rate risk.Combined with the third chapter,we conclude that the VaR model is the mainstream method of international interest rate risk measurement and should be the direction of the interest rate risk measurement method of commercial banks in China.Finally,the conclusion is drawn,and the article points out that under the background of high interest rate risk,China's commercial banks should focus on the development of China's financial industry,Vigorously pursue the VaR model,interest rate sensitivity gap supplemented by the bank interest rate risk measurement model,improve the financial product pricing mechanism to promote the development of financial derivatives,and develop the intermediary business and other recommendations.Then the focus of different types of commercial banks interest rate risk management is put forward specifically.In this paper,some innovative points are set up.Firstly,the GARCH-VaR model is established to calculate the risk value,and it is more quantitatively analyzing the bank's interest rate risk than many scholar's interest rate gap model.Our commercial banks should implement the most advanced VaR measurement mechanism in response to the interest rate risk,and make full use of the "Internet+"model to measure customer credit risk in order to improve the pricing mechanism of financial products,strengthen cooperation with enterprises such as Internet,e-commerce and professional data processing to realize data sharing and improve the risk assessment level effectively.Finally,this paper puts forward the emphases of interest rate risk management of different types of commercial banks,including the selection of mutual cooperation mode and the establishment of "Internet+"sharing platform,which makes it possible to improve the customers' convenience and satisfaction in the comprehensive financial supermarketHowever,this article also has insufficient places,such as the access to the data has some limitations,individual banks can not be studied due to lacking of data,.Empirical analysis involves only two types of large and medium-sized commercial banks,and urban commercial banks are not considered.Because of my ability to the operation of the model,the GARCH-VaR model is used to calculate the VaR value of the logarithmic rate of Shibor,only the overall interest rate risk of China's commercial banks is measured.Actually the interest rate risk of a bank is also deserved to be calculated and compared.