The interest rate risk of commercial banks is closely related to the effectiveness of the LPR mechanism. In this paper, the interest rate market is divided into three stages according to the process of interest rate marketization, and a six-sector New Keynesian MS-DSGE model is constructed by adding monetary regulation variables. The parameters in the model that are influenced by interest rate marketization and the new LPR mechanism are transformed by Markov zone transformation. The interest rate risk of commercial banks is measured by the impulse response functions of uncertain interest rate shocks to the interest rate sensitivity gap and the duration gap, and the volatility characteristics of interest rate risk in different stages of interest rate marketization are compared and analyzed. The results show that in the third stage (2019-present), the LPR mechanism is transformed from old to new. Under the δR = 0.5 shock, the commercial lending interest rate tends to stabilize around 0.00038, and the borrowing interest rate tends to 0 in all 3 differentiated target parameters in the 10th period. For this reason, the differentiated interest rate pricing behaviors of commercial banks should be considered comprehensively, and the LPR target should be set reasonably so as to get the optimal policy effect.