The Applying Research of Duration Model in the Management of Interest Rate Risk of Chinese Commercial Bank |
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Author | ChenMin |
Tutor | ZhangChangQuan |
School | Anhui University of Finance |
Course | Finance |
Keywords | duration model commercial bank interest rate risk management |
CLC | F832.33 |
Type | Master's thesis |
Year | 2012 |
Downloads | 72 |
Quotes | 0 |
In June1,1996, the opening of interbank offered interest rate signified the formal launch of China’s interest rate marketization. Subsequently, the country has made great strides in interest rate relaxation and the promoting of interest rate marketization. The country has opened interbank bonds repurchase interest rate、treasury bond market interest rate、the loan interest rate of foreign currency、the large time-deposit interest rate of foreign currency,and so on. With the promotion of interest rate marketization, the fluctuation frequency and range of interest rate will enlarge; interest rate risk will be one of the main financial risks; Chinese commercial bank will be faced with challenge of interest rate marketization directly.As a result of the long-existing policy of restrictions on interest rate, Chinese commercial banks have very little sense of interest rate risk management.With the deepen of interest rate marketization, Chinaese commercial must enforce interest rate risk management.Interest rate risk measurement is core of interest rate risk management, how to accurately measure interest rate is one very realistic problem which China’s commercial banks are faced with.Duration and its gap technology are publicly regarded as one of the effective tools in interest rate risk.On the base of the relevant theory of interest rate risk,this article introduces the meaning and kind of interest rate risk;makes quantitative analysis on the interest rate risk of Chinese commercial bank; compares the advantages and disadvantages of interest rate risk measures,from the actual situation of China’s commercial bank, select duration model to measure the interest rate risk of commercial bank; modify traditional duration,relaxes two constrains of traditional duration:smooth yield curve and there is a linear correlation between bond prices and yield; combines F-W duration gap with convexity gap and construct a more accurate measure of interest rate risk;gets interest rate risk condition which China’s commercial bank is faced with through empirical analyse and discusses how to actively defend against interest rate risk. At last, to beter use duration model to measure the interest rate risk of commercial bank, this article puts forward corresponding countermeasure proposals.