Assets And Liabilities Management Of Policy Bank From The Perspective Of Interest Rate Risk

With the acceleration of the process of reforming the interest rate market in China,the interest rate risk issues faced by commercial banks in China are highlighted.At the same time,asset liability management,a consequent issue,has even more attracted our attention.Assets and liabilities management refers to the expectation that financial departments will complete fund redeployment based on certain strategies in order to achieve the expected combination of liquidity,security,and profitability,or that,when market interest rates change,some strategies are adopted to adjust interest rate-sensitive funds.In order to meet these financial sector expectations or to resort to changing all the time limits for all assets and liabilities in order to ensure a positive net worth of the financial sector.This article starts from the research status of interest rate risk and asset liability management both at home and abroad,and discusses domestic and foreign scholars' understanding and application of interest rate risk and understanding of the concept of ALM(asset liability management).Then,this article elaborates the relevant theoretical foundations of interest rate risk and asset liability management.After reviewing the interest rate sensitivity gap and duration gap,we believe that we can proceed from this perspective and proceed from the perspective of interest rate risk.The management of assets and liabilities carries out specific calculations and analysis.Subsequently,this article will use the National Development Bank as a case study.Through the calculation of the interest rate gap of the China Development Bank and the calculation of the duration of equity,it is hoped that it can be concluded whether or not it can circumvent interest rate changes by adjusting the financing structure of the CDB and the proportion of the asset structure.The negative impact of the visit may come from whether or not specific adjustments should be made.Finally,through the case analysis of this paper,we find that for the China Development Bank,when the future interest rate is expected to show an upward trend,since the interest rate sensitivity duration is positive and the equity duration is negative,the net equity and net interest margin are different.It will increase.From this,we conclude that when it is expected that the future will rise,we should take the initiative to increase the duration of the debt(bond),and increase the duration of equity without changing the short-term gap of interest rate sensitivity.Get upcoming capital gains.Conversely,short-term bonds should be issued appropriately,and the circulation of long-term bonds should be minimized,so as to avoid losses due to the decline of future interest rates.This conclusion is not only for China Development Bank,but also has certain reference value for the entire financial industry and even non-financial companies' financing debt risk management.