Interest rate risk management at Military Commercial Joint Stock Bank

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF COMMERCE

----------------------

NGUYEN THI MINH HANG

INTEREST RATE RISK MANAGEMENT AT

MILITARY COMMERCIAL JOINT STOCK BANK

MASTER'S THESIS IN ECONOMICS

Hanoi – 2016

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF COMMERCE

----------------------

NGUYEN THI MINH HANG

INTEREST RATE RISK MANAGEMENT AT

MILITARY COMMERCIAL JOINT STOCK BANK

SPECIALIZED:

: BANKING FINANCE
CODE	: 60340201

Maybe you are interested!

Current Status of Interest Rate Risk Management at Military Commercial Joint Stock Bank
Interest rate risk management at Vietnam Joint Stock Commercial Bank for Industry and Trade - 32
Credit risk management at Military Commercial Joint Stock Bank, Hue Branch - 12
Perfecting the interest rate management mechanism of the State Bank of Vietnam in the conditions of a market economy - 30
Applying Taylor rule in the interest rate management mechanism of the State Bank of Vietnam - 28

MASTER'S THESIS IN ECONOMICS

Scientific supervisor: Associate Professor, Dr. Nguyen Thi Mui

Hanoi – 2016

COMMITMENT

I hereby certify that this is my own research work and was scientifically guided by Associate Professor, Dr. Nguyen Thi Mui. The research contents and results in this topic are honest and have not been published in any form before. The data in the tables for analysis, comments and evaluation were collected by the author himself from various sources clearly stated in the reference section.

In addition, the thesis also uses some comments, assessments and data from other authors with cited sources.

I take responsibility for the authenticity of the thesis.

ACKNOWLEDGEMENTS

In the process of implementing the topic, although I have tried my best, due to limitations in level and time, the thesis still has many shortcomings, which need to be further developed and discussed. I would like to sincerely thank Associate Professor, Dr. Nguyen Thi Mui for her dedicated guidance so that I can complete this thesis. I also look forward to comments from teachers, seniors and friends on this topic to make the paper more complete.

Thank you very much!

INDEX


	Page
INTRODUCTION……………………………………………………………………….	1
CHAPTER 1………………………………………………………………….………	4
BASIC THEORY OF INTEREST RATE RISK MANAGEMENT AT BANKS COMMERCE……………………………………………………………….……..	4
1.1. OVERVIEW OF INTEREST RATES………………………………………….…….	4
1.1.1. Concept of interest rate…………………………………………………….……	4
1.1.2. Interest rate classification……………………………………………………………………………………..…..	4
1.1.3. The role of interest rates in the economy…………….……………………….…	6
1.2. INTEREST RATE RISK AT COMMERCIAL BANKS…..……….………	7
1.2.1. Concept of interest rate risk……………………………………………….……...	7
1.2.2. Classification of interest rate risk………………………………………………….……….	13
1.3. INTEREST RATE RISK MANAGEMENT AT COMMERCIAL BANKS….…..	15
1.3.1. Concept of Interest Rate Risk Management at Commercial Banks……………………….………...	15
1.3.2. The need for interest rate risk management…………………………………….…	15
1.3.3. Contents of Interest Rate Risk Management at Commercial Banks……………………………….….	16
1.3.4. Experience in interest rate risk management of some commercial banks in Vietnam and lessons learned for the Military Commercial Joint Stock Bank ……………………….	29
CONCLUSION OF CHAPTER 1…………………………………………………………...	34
CHAPTER 2………………………………………………………………………….	35
CURRENT STATE OF INTEREST RATE RISK MANAGEMENT AT BANKS MILITARY JOINT STOCK COMMERCIAL…………………………………………...	35
2.1 GENERAL INTRODUCTION OF MILITARY COMMERCIAL JOINT STOCK BANK……………..	35
2.1.1. History of formation and development……………………………………………...	35

2.1.2. Business activities of Military Commercial Joint Stock Bank in recent years

38
2.2. OPERATIONAL SITUATION OF MILITARY COMMERCIAL JOINT STOCK BANK……………………………………………………………………………….....................	39
2.2.1. Current market interest rate developments………………………………………....	39
2.2.2. Business activities of Military Commercial Joint Stock Bank under the impact of market interest rates……………………………………………….	43
2.3. CURRENT STATUS OF INTEREST RATE RISK MANAGEMENT AT MILITARY COMMERCIAL JOINT STOCK BANK…………………………………………………….……………..	47
2.3.1. Current status of interest rate risk management organization at Military Commercial Joint Stock Bank...	47
2.3.2. Forecasting and analyzing interest rate fluctuations at Military Commercial Joint Stock Bank…….	53
2.3.3. Measurement of interest rate risk and compliance with interest rate risk limits of Military Commercial Joint Stock Bank……………………………………………………….....	55
2.3.4. Using interest rate risk hedging tools at Military Commercial Joint Stock Bank…………………………………………………………………………………….	60
2.4. GENERAL ASSESSMENT OF INTEREST RATE RISK MANAGEMENT AT MILITARY JOINT STOCK COMMERCIAL BANK…………………………………….	62
2.4.1. Results achieved………………………………………………………………	62
2.4.2. Limitations and Causes……………………………………………………...	63
CONCLUSION OF CHAPTER 2…………………………………………………………...	67
CHAPTER 3………………………………………………………………………….	68
COMPLETE SOLUTION FOR INTEREST RATE RISK MANAGEMENT AT BANKS MILITARY JOINT STOCK COMMERCIAL GOODS…………………………………..	68
3.1. ORIENTATION OF OPERATIONS OF MILITARY COMMERCIAL JOINT STOCK BANK AND REQUIREMENTS IN INTEREST RATE RISK MANAGEMENT AT THE BANK………………………………………………………………………………...	68
3.1.1. Operational orientation of Military Commercial Joint Stock Bank….………………...	66
3.1.2. Requirements for interest rate risk management at Military Commercial Joint Stock Bank	70

3.2. SOLUTION TO IMPROVE INTEREST RATE RISK MANAGEMENT AT MILITARY JOINT STOCK COMMERCIAL BANK…………………………………….

75
3.2.1. Creating taste and culture of interest rate risk management in banks, raising awareness of managers, bank staff and customers………….	75
3.2.2. Perfecting interest rate risk management policy…………………………………	73
3.2.3. Improve the quality of information and interest rate risk reports…………………	78
3.2.4. Diversifying the Bank's business operations and training human resources………………………………………………………………………………………………………….	79
3.2.5. Modernization of Banking Technology…………………………………………...	81
3.2.6. Advise customers on interest rate risk hedging techniques, disseminate and popularize the advantages of derivative instruments……………………….	82
3.3. SOME RECOMMENDATIONS………………………………………………………...	85
3.3.1. For the State……………………………………………………………..	85
3.3.2. For the State Bank…………………………………………………	87
CONCLUSION OF CHAPTER 3 …………………………………………………………...	92
CONCLUDE …………………………………………………………………………..	93
LIST OF REFERENCES…………………………………………...	94

LIST OF ABBREVIATIONS

ALCO

Asset and Liability Management Committee
CSTT	Monetary policy
Board of Directors	Board of Directors
MB	Military Commercial Joint Stock Bank
State Bank of Vietnam	State Bank
Commercial Bank	Commercial Bank
Central Bank	Central Bank
TCKT	Economic organization
TCTD	Credit institutions
TMCP	Joint stock trading
TSC	Assets have
TSN	Liabilities
QTRR	Risk Management
QTRRLS	Interest rate risk management
RRLS	Interest rate risk

Interest rate risk management at Military Commercial Joint Stock Bank - 1

Comment