Study On Interest Rate Risk Management Of Commercial Banks Based On The Duration Model

As the core of modern economy,the interest rate,as an important variable in the financial field,represents the price of capital and its importance is self-evident.Since the disintegration of the fixed exchange rate,the wave of financial liberalization has emerged,and interest rate liberalization has gradually become a global trend.With the gradual advance of interest rate liberalization,the fluctuation of interest rate increases,which undoubtedly brings certain risks to financial assets with fixed income characteristics.Opportunities and challenges coexist,China is in the period of rapid economic development,and interest rate liberalization has achieved certain achievements,but interest rate risk also rises to the main risk of China's financial market.For China's financial market,the interest rate control policy has been adopted for a long time.The central bank directly sets the interest rate level,and the commercial Banks carry out the policy according to the central bank policy.So long time,the interest rate risk management in commercial Banks in China is relatively low.The unpredictable volatility of interest rates makes it harder for commercial Banks to manage interest rates.How to accurately measure interest rate risk is the first problem that commercial Banks should solve.The long-period model has been verified by the mature financial markets abroad as an effective means to measure the interest rate risk.The thesis based on the duration model our country commercial bank interest rate risk management question has carried on the certain study,Interest rate risk is a double-edged sword,we should make full and reasonable use of it,the bank of China,for example for interest rate risk has carried on the calculation and analysis,finally gives the reasonable Suggestions.The paper is divided into five parts.The first part puts forward the background and significance of the research,and has carried out the simple elaboration and the thought and method of writing.The second part mainly introduces the marketization of interest rate and interest rate risk,and analyzes the process and impact of interest rate marketization in our country,the interest rate risk of several measuring methods are illustrated,such as duration gap analysis,sensitivity analysis;The third part mainlyintroduces the basic idea and the latest development of the long-period model.The fourth part uses the government bond market data to match the interest rate curve,and then analyzes the interest rate risk based on the data of the annual report of bank of China.Finally,the paper draws the basic conclusion of the paper and puts forward five Suggestions on interest rate risk and points out the direction of further research.