Research On Interest Rate Risk Management Of Listed Commercial Banks In China Based On Treasury Bond Futures In China

Compared with the countries with high degree of development,the market development of interest rate in China is relatively slow,which makes the tools used by the banking industry in the management of interest rate risk relatively simple.Interest rate risk gap model is a kind of interest rate risk measurement method mainly used in China's banking industry,but for the duration model,VaR model,situational analysis and other interest rate risk measurement methods in the banking industry is not very wide,the level of application in real interest rate risk management is also relatively shallow,So that China's commercial banks in today's so high degree of openness in the international environment in a passive position,reduce their own competitiveness.At present,there are very limited types of interest rate derivatives available in China and interest rate swaps are the most traded interest rate derivatives before one,but because of their poor liquidity and high credit risk,it is impossible to meet the demand of commercial banks for interest rate risk management.The re-listing of treasury bond futures enriches the means of interest rate risk management in the banking industry,specifically refers to the use of treasury bond futures by commercial banks to hedge the spot,reduce the interest rate sensitivity gap on treasury bond assets,but also the overall interest rate risk exposure to cover,in order to achieve the interest rate risk they face to manage the purpose.Based on this,this paper puts forward the use of value at risk method(VaR method)to measure the interest rate risk of listed commercial banks in China,and then discusses the twoway Granger causality between the main contract of treasury bond futures and the spot of treasury bond,which provides a certain empirical basis for China's listed commercial banks to use treasury bond futures to cover the spot.Then use the treasury bond futures contract for the 5-year and 10-year period of different maturities of the treasury bond spot index hedging,and the use of OLS model,VAR model and GARCH model to estimate the hedging ratio,and finally use the test index to test the hedging effect.The empirical results are as follows: The bank is faced with the severe interest rate risk brought by the interest rate marketization,the price of the bond futures market has a stronger influence and predictive effect on the price of the spot market,and the commercial Bank is actively encouraged to participate in the bond futures trading,using the bond futures on the outside of the table to hedge the interest rate risk management.