Research on the Interest Rate Risk Management of Commercial Banks in China under Interest Rate Liberalization
- 10.2991/icesem-18.2018.33How to use a DOI?
- China; Interest rate risk management; Interest rate liberalization; Commercial banks
As the liberalization of interest rate is basically completed, interest rate risk becomes a major risk of commercial banks. Based on the interest rate risk management model, this paper combines interest rate theory with practice and uses GAP model and GARCH model to analyze the interest rate risk management. Empirical evidence shows that commercial banks in China have actively managed short-term GAP values in the face of interest rate risks. Meanwhile, the yield sequence has the characteristic of long-term memory. Finally, this paper puts forward reasonable suggestions for commercial banks from five aspects.
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Xiaokang Sheng PY - 2018/08 DA - 2018/08 TI - Research on the Interest Rate Risk Management of Commercial Banks in China under Interest Rate Liberalization BT - Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018) PB - Atlantis Press SP - 153 EP - 156 SN - 2352-5398 UR - https://doi.org/10.2991/icesem-18.2018.33 DO - 10.2991/icesem-18.2018.33 ID - Sheng2018/08 ER -