A Study of Commercial Banks Interest Rate Risk Management under Interest Rates Liberalization

Interest rate risk emerges with the development of interest rate marketization in China, which makes rate risk management become more and more important.Interest rate risk sensitive gap is one of the most useful management tool to assess and control interest rate risk.This paper uses interest rate sensitive gap model to analyse several Chinese commercial banks' current interest rate risk level and their control over the risks.By conducting a study on four domestic banks in China, it is found that the risk level of state-owned banks is higher than that of joint-stock banks.However, their risk management is weaker comparing to that of the joint-stock banks.