A Study On The Feasibility Of Using National Debt Futures To Evade Interest Rate Risk In China's Commercial Banks

The interest rate has been a thousand years old.It is the ratio of the amount of interest to the amount of borrowed funds in a certain period of time,and it also determines the cost of capital,the ability of enterprises to raise funds,and invest.Therefore,it plays a very important role in business activities.Interest rate risk is the risk faced by all commercial banks and financial companies today.Since China's long-term interest rate was controlled by the central bank,the banking industry is not sensitive to interest rates.However,at the end of 2015,China's interest rate marketization was officially completed,and the banking industry's measurement,control and prevention of interest rate risk are extremely urgent.After consulting China Construction Bank's annual report,it is found that since 2013,China's banking industry has faced the current situation of narrowing spreads,falling profits and difficult operations.In the process of interest rate marketization,interest rate risk mainly faces risks such as maturity of borrowing amount maturity and basis risk.After marketization,it also faces the risk of affecting its operating ability,such as option risk and yield risk.The reference and innovative interest rate risk management approach has become a solution for the banking industry to overcome interest rate risk and calmly face large fluctuations in future interest rates.Treasury bond futures have long been a common derivative of interest rate risk in developed countries,but due to the painful experience of China's failed pilots,the research on treasury bonds futures still stays in the lessons of failure.With the deepening of interest rate marketization,under the premise of the internationalization of the RMB,commercial banks have to open their capital trading accounts,and the gradual liberalization of treasury futures products also provides commercial banks with effective tools for managing interest rate risk.This article analyzes and explores in this context.The full text is conceived as follows: Through reviewing the literature,we find and learn the detailed interest rate risk management theory and the practice of interest rate derivatives.The use of the interest rate risk management method,the treasury bond futures risk hedging method,and the innovative use of treasury bonds futures to manage the bank interest rate risk.The specific process is to first sort out relevant domestic and foreign related detailed literature on interest rate risk,interest rate risk management,and interest rate derivatives government bond futures.The second is to simulate the future term structure of interest rates through the term theory of interest rates,and lay the foundation for accurate measurement of interest rate risk in the empirical simulation process.By verifying the correlation between treasury bond futures and the spot of national debt,we are looking for alternatives for calculating the “long-term and convexity” of treasury bonds futures.After making the necessary assumptions,it is based on the commercial bank's asset-liability management theory to simulate the trading activities of treasury bonds and actively adjust the duration of assets and liabilities.The combination of qualitative and quantitative methods is used to observe the effect of commercial banks on managing interest rate risk through treasury bonds.Finally,according to the results of the previous practice of simulation,the paper analyzes the advantages of China's commercial banks in the development of treasury bonds futures business,and puts forward their own views in the face of the shortcomings and shortcomings in the process.