Risk Analysis Of Mismatching Interest Rate Maturity In China’s Listed Commercial Banks

The interest rate marketization reform has greatly improved the ability of market resource allocation,enhanced the comprehensive competitiveness of banks,and enabled the operational efficiency of the entire financial system to be rapidly improved.But what followed was an increase in market price uncertainty,financial risks began to rise,and interest rate volatility became more intense.However,China’s interest rate marketization reform started late,and it has been controlled and restricted by the central bank for a long time.Therefore,commercial banks have insufficient awareness of the risk of mismatching interest rate maturity,and the risk management methods are relatively simple and backward.Studying the risk of mismatching interest rate maturities of listed commercial banks can strengthen the construction of the interest rate risk system and ensure the sound development of the banking industry.Considering the complexity of the market environment and the comprehensiveness and accuracy of the risk measurement,this paper will use the stress test approach and the VaR model approach to characterize and measure the maturity mismatch risk.The paper firstly uses the single factor analysis of the stress test approach---sensitivity test approach to calculate the interest rate sensitivity gap of 16 listed commercial banks within 3 months from 2010 to 2017,and distinguishes different interest rate change periods for comparative study.At present,China’s commercial banks have serious problem of maturity mismatch in the allocation of assets and liabilities.The size of the gap position is huge,and the risk of mismatching interest rate maturity is prominent.In different periods of interest rate changes,commercial banks can continuously adjust their balance sheets to reduce net interest income loss or increase returns,but in the adjustment process,different banks show different market lag periods.The paper further considers the test of different levels of pressure scenarios for market interest rates.Based on the interest-sensitive assets and liabilities of the above-mentioned 16 listed commercial banks on December 31,2017,the assumed increase in interest rate volatility will increase the maturity mismatch risk and reduce the net interest income of commercial banks,and the size of commercial banks themselves will have a different impact on this result.The two indicators of net interest income to operating income ratio and asset-liability ratio further demonstrate the high risk of mismatching interest rate maturities of commercial banks in other aspects.After a basic qualitative understanding of the risk of mismatching interest rate maturity,this paper uses the SHIBOR(O/N)from 2010 to 2017 to establish a GARCH-VaR model to empirically study maturity mismatch risk.The distribution of financial time series data has the characteristics of sharp peaks and fat tails.After comparative analysis,the GARCH model under the GED distribution can better fit the fluctuation of market interest rate.Then we use the GARCH model to obtain the volatility of the yield data,and apply it to VaR calculation.In the calculation of the value,the average maximum loss of per unit of interbank borrowing position held by commercial banks is 32.40% of the value of the position.Different interbank borrowing positions will generate different real currency losses between various categories of banks.The reasons for this are also different.It is worth noting that in reality,commercial banks are faced with greater risk of mismatching interest rate maturities.Therefore,banks should strengthen the diversification of bank assets and liabilities,promote their structure upgrading,strengthen their risk management capabilities,try to use financial derivatives to hedge the risk of mismatching interest rate maturities and promote the long-term development of the banking industry.