Research on Interest Rate Risk Management of Commercial Banks in Our Country

Author: Dai Guoqiang et al.
Publisher:
Publish Date: 2005-12-01
Features: With the acceleration of interest rate liberalization in China, Chinese commercial banks will inevitably face increasingly severe interest rate risks, including repricing risk, embedded option risk, and other risks. Selecting market benchmark interest rates, researching interest rate term structures, and conducting interest rate forecasts are prerequisites for interest rate risk management in commercial banks. Based on summarizing the basic attributes of financial market benchmark interest rates and analyzing foreign benchmark interest rate selection, this book compares and analyzes various interest rates in China's interest rate system around the four attributes of benchmark interest rates, and conducts a complete Granger causality test between the relevant interest rates. The results show that the stability and correlation of interest rates in the interbank bond market are superior to those in the exchange bond market.