A Case Study On Interest Rate Risk Management Of China Development Bank Financial Leasing Company

With the further advancement of interest rate marketization and the rapid development of finance leasing industry,interest rate risk is increasingly becoming one of the major risks for financial leasing company.If the financing leasing company cannot accurately measure and manage its interest rate risk,the company will face losses if the interest rate is unfavourable.In this context,taking China Development Bank Leasing Co.,Ltd.as a case to analyze its characteristics of interest rate risk,which is helpful to strengthen the interest rate risk awareness of the finance leasing industry and also guide their interest rate risk management.After introducing the finance lease industry and the company,it is found that,the long-term assets of company can not match their liabilities and its fixed income does not match floating costs.It is analyzed that the original interest rate risk management is inflexible,low efficiency and too much emphasis on short-term income,so it is possible to find the problem from both internal and external angles.Then based on the interest rate risk characteristics,proposing to estimate risk by duration analysis and Va R model,and to control risk with swap and treasury bond futures.Finally,using the duration model to measure the company's overall interest rate risk and establishing the GARCH model to estimate the interest risk of interbank borrowing.The empirical results show that the interest rate risk of the company is relatively large and risk management is necessary.Therefore,risk management is carried out through interest rate swap and bond futures.By comparison,the interest rate risk management system established above is more advantageous than the original strategy adopted by the company,which can better avoid the negative impact of interest rate fluctuation on the company.