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Under the Interest Rate Market, China’s Commercial Banks Interest Rate Risk Management Research

Author: HouRuoYao
Tutor: YuanGaiXia
School: Shanxi University of Finance
Course: Finance
Keywords: Interest rate market interest rate risk risk management
CLC: F832.33
Type: Master's thesis
Year: 2014
Downloads: 13
Quote: 0
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Abstract


With the collapse of the Bretton Woods system in the last century, the tide of thefinancial market in the world continues to accelerate, the United States, Germany,Britain and other countries have carried out market-oriented interest rate reform. In thecase of the rapid development of the world’s financial situation, the process ofmarketization of interest rates also will accelerate this process, increasingly exposed tointerest rate risk, the risk of becoming one of the major banks. Thus, the use ofadvanced econometric models and tools to control risk, has important theoreticalsignificance and practical value. Therefore, empirical research, and to explorecommercial bank interest rate risk management theory managers for China’scommercial banks importance is self-evident.At this stage, China’s commercial banks in terms of interest rate risk managementstill lacks sufficient capacity, along with the interest rates continue to push forwardreform, how to use effective methods and models to control interest rate risk andimprove the competitiveness of commercial banks is a very challenging and practicalsignificance of the task. From the point of view of foreign countries, and itscommercial bank interest rate risk management not only has a wealth of experience andmanagement skills are also constantly innovate. Since they have gradually formed arelatively complete system of risk management systems, especially in terms of interestrate risk management, which is an important reference significance for China’scommercial banks.In this paper, China’s commercial banks for the study, analyze the situation ofChina’s commercial banks about interest rate risk (IRR) of impacts. Select Huaxia Bank,Bank of China, Minsheng Bank and China Merchants Bank four listed banks for thestudy, and the use of Gap and interest rate risk VaR method to study the issue of China’scommercial banks. In the empirical analysis, the paper argues that the degree ofimportance of internal risk control system of commercial banks compared to otherdeveloped countries, China’s commercial banks to control interest rate risk in the bankis not high on the prevention and control of risk is still relatively weak. Although the bank did not particularly significant interest rate risk in the short or long term there is acertain risk of re-pricing and optional. Finally, the interest rate risk in the elaboratetheories of Western countries, while the domestic interest rate risk management ofcommercial banks raise interest rates of commercial banks to strengthen riskmanagement recommendations.Reform and interest rate risk measurement in this paper will be combined togetherto study the interest rate reform may bring to commercial banks interest rate risk.Commercial bank interest rate risk in the measurement using the method of value at risk(VaR) and Gap, by these two methods to measure the interest rate risk faced by China’scommercial banks. In terms of bank risk management recommendations, on the basis ofcomparison of China’s commercial banks and international commercial banks advancedon our interest rate risk management of the bank to identify deficiencies in the current,as well as further improvements to the appropriate policy recommendations.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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