Research on the Interest Rate Risk Management of Commercial Bank Based on F-W Duration Convexity Model

Feng Liu; Ping Zou

doi:10.4028/www.scientific.net/AMM.644-650.5825

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 644-650Research on the Interest Rate Risk Management of...

Research on the Interest Rate Risk Management of Commercial Bank Based on F-W Duration Convexity Model

Abstract:

With the pace of interest rate marketization reform accelerates, interest rate risk faced by commercial banks increasingly prominent, so a higher demand for its interest rate risk management capabilities is required. This article describes the type of interest rate risk, then use F-W Duration Convexity model to make an empirical analysis in five large commercial banks. The results show: the five large bank duration and convexity gap are all positive, when interest rates rise, the five bank NV will be reduced, interest rates decline, then increased. According to ΔNV/PA, ICBC CCB and ABC faced the biggest interest rate risk, BOC followed, BCM minimum.

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Periodical:

Applied Mechanics and Materials (Volumes 644-650)

Pages:

5825-5827

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.644-650.5825

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Online since:

September 2014

Authors:

Feng Liu*, Ping Zou

Keywords:

Convexity, F-W Duration, Interest Rate Risk

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