Empirical Research Of China's Commercial Banks Interest Rate Risk Management

The process of interest rate marketization has been accelerated.And now,it has been finished basically.Commercial banks play an important role in China's financial system.How to deal with the adverse impact of marketization of interest rate on their own is particularly important,but also becomes a major problem in the industry and academia to study.We discuss the gap management theory,VaR model and financial derivatives,exploring the current situation of risk management of our commercial banks and existing problems,studying from some developed countries'(mainly the USA,the UK and Japan)strategies of commercial banks interest risk management.By using VAR analysis method,combined with the actual situation,SHIBOR has been selected as the benchmark interest rate now.Then we use VaR model to measure the risk level and manifest that if the model is validity.Finally,we put forward some strategies from two aspects.The results show that the risks of the commercial banks are mainly from four aspects:(1)Interest rate spreads narrowed,bringing the risk of profit;(2)Risk of asset liability maturity mismatch;(3)Risk of long-term income can't cover short-term cost;(4)Faced some potential risks.The basic comprehensive risk management system has been established in China's commercial banks,but the management consciousness and methods need to be improved and perfected,the VaR model has not been widely used,and slow development of derivatives market restricts the management.At present,China's market benchmark interest rate is SHIBOR,commercial banks need to pay close attention to its changes,and actively determine its trend in future.The empirical results show that the Va R model can describe the volatility of interest rate very well.ARMA(1,1)-GARCH(1,1)can measure the VaR value effectively.In order to manage the interest rate risk effectively under the new situation,commercial banks should improve the risk management system,and innovate risk prediction method,improving mismatch of asset and liability.Regulators need to strengthen the transmission efficiency,promoting the positive role of self-regulatory organizations and developing derivatives market.