商业银行利率风险管理探析（Discussion on interest rate risk management of commercial bank）Discussion on interest rate risk management of commercial bankAuthor: YY thesis net source: Click: 9 update time: 2011-04-03Abstract:The interest rate is one of the most important variables in the financial market, with the marketization of interest rates accelerated, interest rate uncertainty of the assets, liabilities and items of commercial banks is more sensitive to the interest rate increase, interest rate risk awareness of individual customers also increases, coupled with the present stage of our country for customers early repayment default behavior is also a lack of policy restrictions, so the embedded option risk in commercial banks China have become increasingly prominent, the urgent need to carry out the commercial bank interest rate risk management with embedded option project. This paper mainly introduces the effective duration, duration gap and option adjusted spread method of interest rate risk of implicit options, and gives some suggestions for risk management control.Keywords: gap management; effective duration; option adjusted spread; implicit option risk; controlCLC number: F83, document identification code: AI. IntroductionHidden option risk is one of the forms of option risk. It may be derived from the relevant provisions of the financial law in many countries, but most existing in the bank and the customer sign the terms of the agreement, and is increasingly becoming a bank means to attract customers, non standardized terms and is not transferable to maturity more flexible to meet the needs of both the liquidity demand. In accordance with the present provisions of our country, the commercial bank customer has the right to withdraw funds or repayment of borrowing, and the two sides signed the specific contract, often retain a part of the right to choose, so that market dramatic changes can exercise the option and avoid loss. For banks, the interest rate increase may force depositors to withdraw money earlier (such as demand deposits, and early withdrawal) with a new interest rate to re deposit the money; if interest rates fall, the borrower may also advance repayment of loans (such as individual housing loan prepayment) to lower interest rates to borrow money this behavior causes the income to the bank, the uncertainty is a typical embedded option risk.Because of the acceleration of interest rate marketization in China, the risk of implicit option has become a common problem in Chinas commercial banks. It is a new and important task for banks to measure and control the risks of implicit options. The main methods of measuring interest rate risk is the duration and convexity assumptions, but the duration and convexity model is the cash flow of the assets and liabilities and changes with the fluctuation of interest rate, we study the embedded options and financial instruments of future cash flows is vary with the interest rate fluctuations. Therefore, we should introduce the econometric model and the new management method of the risk measure and control.Two, the traditional management method of interest rate risk(I) static funding gap. When analyzing interest rate risk, the main considerations are those assets and liabilities which are sensitive to changes in interest rates, that is, interest rate sensitive assets (IRSA) and interest rate sensitive liabilities (IRSL). The GAP is used to measure the sensitivity of Bank net interest income to interest rates. The formula is defined as follows:GAP=IRSA-IRSLClearly, the results of the funding gap come in three cases: positive, negative, and zero. Without considering other risk such as basis risk, if the banks funding gap is positive, when market interest rates, although the bank needs to pay more interest rate sensitive liabilities, but can get more interest income from interest rate sensitive assets, net interest income will increase. Similarly, net interest income decreases when interest rates fall. If the banks funding gap is negative, net interest income will decrease when interest rates rise; net interest income will increase when interest rates fall. No matter the positive or negative of the cash gap, the greater the funding gap, the greater the reaction to the change in interest rates, the greater the interest rate risk of the bank.In theory, banks can manage net interest income through gap management and maintain or adjust interest rates when short-term interest rates are expected to rise; when short-term interest rates are expected to decline,To maintain or adjust the interest rate gap is negative. If banks want to dramatically reduce their response to changes in interest rates, they can try to keep the gap to zero. But the reality is often not so simple. Because there is a certain deviation between the predicted value and the actual value, there are many factors that affect the interest rate change