Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018)

Research on the Interest Rate Risk Management of Commercial Banks in China under Interest Rate Liberalization

Authors
Xiaokang Sheng
Corresponding Author
Xiaokang Sheng
Available Online August 2018.
DOI
https://doi.org/10.2991/icesem-18.2018.33How to use a DOI?
Keywords
China; Interest rate risk management; Interest rate liberalization; Commercial banks
Abstract

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.

Copyright
© 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/).

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Volume Title
Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
August 2018
ISBN
978-94-6252-557-3
ISSN
2352-5398
DOI
https://doi.org/10.2991/icesem-18.2018.33How to use a DOI?
Copyright
© 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  - https://doi.org/10.2991/icesem-18.2018.33
ID  - Sheng2018/08
ER  -