The Recognition and the Measurement of Interest Rate Risk——An Empirical Study Based on Chinese Commercial Banks

The Chinese banking industry is facing unprecedented challenges of interest rate risk.Therefore,it is an urgent project to improve the interest risk management ability of Chinese commercial banks.However,systematic and dynamic recognition and measurement of interest rate risk are first problems of the project.The paper describes the manifestation of the interest rate risk of Chinese commercial banks,and based on the practical gap data of commercial banks,an empirical study is made on simple gap,benchmark risk,interest rate sensitivity,and pressure test etc.;a evaluation is made on the value loss of bond assets of commercial banks caused by interest rate fluctuation;and deeper analysis is made by taking China's interest rate system,assets-liability structure of banks and new Enterprise Accounting Standard into consideration.