Research On Interest Rate Risk Stress Test Of The Agricultural Bank Of China

As the process of interest rate liberalization advances,market interest rate fluctuations intensify,and factors that affect market interest rate uncertainty increase.Moreover,the source of profits of state-owned commercial banks has long depended on interest income from deposit and loan spreads,and their ability to withstand interest rate risk is relatively weak.However,state-owned commercial banks play a vital role in the stability of the financial system.so this article focuses on the Agricultural Bank of China,Conducting interest rate risk stress test on Agricultural Bank of China through interest rate sensitivity gap model and Markov system transfer vector autoregressive model,Analyzing Systematically the interest rate risk faced by Agricultural Bank of China,and basing on the final results of the interest rate risk stress test,Puts forward relevant policy suggestions on the interest rate risk management of Agricultural Bank of China.Firstly,this article sorts out relevant literature on interest rate risk and the stress test on interest rate risk in commercial banks,clarifing the source of interest rate risk,the method of measuring interest rate risk,and the process by which commercial banks conduct stress tests on interest rate risk.Further,this article sorts out the relevant theories of the source of interest rate risk and makes a preliminary analysis of the factors that affect interest rates in combination with the theory of interest rate impact relationships.Secondly,the empirical part of this article uses the Markov system of transfer vector autoregressive models to dynamically characterize the relationship between the market benchmark interest rate,the rate of change in the Shanghai stock price and the rate of change of the exchange rate of the RMB to the US dollar,and applies the influence relationship between the three to the Agricultural Bank of China interest rate sensitivity gap stress test model.Further,basing on the previous empirical analysis,the empirical part of this article conductes interest rate risk stress tests onAgricultural Bank of China,The main conclusions of the stress test on interest rate risk are: First,the interest-sensitive assets and interest-sensitive liabilities of the Agricultural Bank of China are unevenly matched and there is a serious maturity mismatch.The interest rate sensitivity gap of the Agricultural Bank of China is positive,and it is mainly exposed to the risk of a decrease in net interest income caused by falling interest rates.Second,by analyzing the data of the Agricultural Bank of China's balance sheet for the past five years,it is found that the interest rate risk faced by the Agricultural Bank of China may rebound in the short term,but the interest rate risk is reduced in the long run,and Interest rate risk is asymmetric under different districts.Third,without considering regional factors and time lag effects,the Agricultural Bank of China faces greater interest rate risk.Finally,combining with the actual situation of the Agricultural Bank of China,it is found that there is a serious maturity mismatch between the interest-sensitive assets and interest-sensitive liabilities of the Agricultural Bank of China.The phenomenon of short borrowing is common,and there is a large interest rate sensitivity gap.Management should increase flexibility.In view of the characteristics of interest rate risk and the current situation of interest rate risk management of Agricultural Bank of China,this paper proposes that Agricultural Bank of China should strengthen the construction of interest rate risk measurement methods,interest rate stress test scenarios and interest rate risk management system in order to improve the interest rate risk Management and risk resistance.