Research On Interest Rate Risk Of China's Listed Banks Under The Interest Rate Marketization

Under the background of accelerating interest rate liberalization,commercial banks are subject to greater pressure and risks brought by interest rate fluctuations.Under the background of interest rate liberalization,it is of great theoretical and practical significance to study the interest rate risk of listed banks in China.By summing up the research of domestic and foreign scholars on the marketization of interest rate and interest rate risk,clarify the m echanism of market-oriented interest rate affect bank interest rate risk,analysis in the process of marketization of interest rate and interest rate risk of commercial Banks face after interest rate marketization,the interest rate marketization of intere st rate system argument fluctuation amplitude and frequency increasing,spreads,reduced,bank management risk of the overall capital adequacy ratio,etc.And by using the data of 16 listed commercial banks in China,using the interest rate sensitivity gap analysis,duration analysis,VaR model analysis to evaluate its face interest rate risk,to discover the listed Banks in the assets and liabilities structure matching,long-term assets and liabilities management,portfolio selection,risk control system a nd the establishment of risk prevention,etc are a series of problems.Then,it introduces the index of interest rate liberalization and makes empirical analysis on the random effect model of panel data to more accurately calculate the influence of interes t rate liberalization on the interest rate risk of list banks.The empirical results show that with the advancement of marketization of interest rate,commercial bank does face the increasing interest rate risk: interest rate fluctuation amplitude and frequency increasing,spreads,the bank management risks,etc,marketization of interest rate to commercial Banks repricing risk,basis risk,yield curve risk and embedded option risk management more difficult.Given the marketization of interest rate in the process of China's listed bank interest rate risk management are widespread interest rate risk consciousness weak,unreasonable structure of assets and liabilities,and imperfect management system and backward management methods and techniques,the problem such as interest rate risk and imperfect supervision mechanism,to do a good job,interest rate marketization of interest rate risk prevention suggested Banks to strengthen risk prevention consciousness actively,improve the interest rate risk management s ystem;Strengthen the bank assets and liabilities management,optimize the business structure;Increase the variety of bank assets and liabilities to realize diversified operation;Improve the internal and external pricing system of Banks to achieve the sep aration of interest rate risk management;Accelerate the transformation of business operation,improve the overall anti-risk ability of Banks and other countermeasures.