Measurement And Prevention Of Interest Rate Risk In China's Commercial Banks Under Interest Rates Marketization

Interest rate as the price of funds,the process from regulation to marketization,for different economic entities,is subject to the beneficial and adverse effects of interest rate liberalization reform.In this process,the generation of interest rate risk has drawn special attention.Commercial banks are important participants in economic activities,so it is more and more important to take the initiative to measure and prevent interest rate risk.Based on the analysis of the factors of interest rate risk of commercial banks,this paper selects the measurement model suitable for China by comparing the three measurement methods of interest rate sensitivity gap,duration gap and var.The interest rate sensitivity gap was used to measure the gaps,deviations,and changes in net interest income of the nine listed commercial banks from 2012 to 2018,and the interest rate sensitivity combination line was used to conduct a comparative analysis in stages and by types.The supplementary duration gap model carries out interest rate risk measurement from the perspective of commercial bank economic value changes,uses exchange treasury bond data to construct China's interest rate term structure,and takes the China Construction Bank as an example to introduce the duration gap calculation process.The research results show that:(1)In the short term,from 2012 to 2018,the gap in the construction banks of state-owned commercial banks basically meets the requirements for interest rate risk prevention,and the net interest income is positive.Among the joint-stock commercial banks,China Merchants Bank first changed the gap strategy to make the net interest income positive,compared with large and medium-sized banks.The small city commercial bank gap prevention strategy is more rigorous,the interest rate trend is accurately grasped,and active interest rate risk prevention strategies have been adopted.(2)In the long run,the gaps of the three different types of commercial banks are generally positive from 2012 to 2018,indicating that most of them have the contradiction of “short deposit and long investment”.From the perspective of deviation,the deviation in the early stage is relatively small and the deviation in the later stage is small.The degree of increase is gradually increasing.From 2016 to 2018,three banks deviate between 2 and 4 each year.These are mainly concentrated in joint-stock commercial banks,indicating that such banks have serious short-term deposits and long-term loans,which are high-risk appetites.(3)From the duration gap,it can be seen that the gap of 9 commercial banks in 2018 is between 0 and 3,which is not zero and is in interest rate risk.According to the changes in economic value,the economic value of state-owned commercial banks has changed a lot,and small and medium-sized commercial banks have changed their economic value because of the apparently smaller gap.To this end,commercial banks should strengthen the prevention of interest rate risks from both internal and external aspects.Internally build a prevention system with interest rate risk as the core,strengthen the ability of commercial banks to innovate,reduce interest rate risk,and use interest rate derivatives to diversify and prevent interest rate risk.The outside should create a good external financial environment,improve the supervision of interest rate risk,and improve the level of interest rate risk prevention of commercial banks in China.