資源描述：
《建設(shè)銀行利率風(fēng)險(xiǎn)管理.ppt》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在教育資源-天天文庫。
1、InterestRateRisk ManagementLecture#4InterestRateRisk:ADefinitionInterestrateriskistheprobabilityofanunexpectedchangeinbankearningsduetoachangeinmarketinterestratesInterestrateriskoccurswhenbankassetsandliabilitiesarerepricedatdifferenttimesInterestrater
2、iskdependson:thedegreetowhichbankassets&liabilitiesareinterest-rate-sensitivethebalanceinthebank’sportfoliobetweeninterest-rate-sensitiveassets&interest-rate-sensitiveliabilitiesThebankcaneliminateinterestrateriskbymatchingtheinterestratesensitivityofal
3、lassets&liabilities.Whatisthecostofdoingso?Onekeytomanaginginterestrateriskisagoodunderstandingofinterestrates2ManagingInterestRateRiskFactorsAffectingInterestRatesInterestratesarethepriceofmoney.Theyareaffectedby:realinterestratesinflationtermriskmarke
4、tdemandforcreditcentralbankmonetarypolicy3ManagingInterestRateRiskRealInterestRatesRemembertheFisherEquation:rnominal=rreal+ExpectedinflationTherealinterestrateisthecompensationfordeferringconsumptionOftensaidtoberelativelyconstantovertime(butthedatasho
5、wsotherwise)!4ManagingInterestRateRiskU.S.RealInterestRates 1860-1990DecadeAvg.Nom.RateExp.InflationAvg.RealRate1860-18699.84%0.64%9.19%1870-18797.41%-3.22%10.64%1880-18895.14%-0.97%6.12%1890-18994.51%-1.23%5.75%1900-19094.16%0.82%3.34%1910-19194.77%3.7
6、3%1.04%1920-19295.08%3.00%2.08%1930-19393.89%-2.12%6.01%1940-19492.71%4.49%-1.78%1950-19593.31%2.65%0.66%1960-19695.02%1.81%3.20%1970-19798.24%5.97%2.27%1980-198911.32%6.63%4.69%Source:AHistoryofInterestRates,Homer&Sylla,P.4305ManagingInterestRateRiskU.
7、S.RealInterestRates 1860-1990NotehowhighlyvariableUSrealrateshavebeenoverthepast130years.Source:Homer&Sylla,P.4316ManagingInterestRateRiskInflationInCanada1917-19977ManagingInterestRateRiskTermtoMaturityUsualshapeoftheyieldcurveisupwardslopingThisallows
8、banksto“ridetheyieldcurve”byborrowingshortterm&investinginlongertermbonds.Asthetermofthebondshortens,theyieldfallsandpricerises,leadingtocapitalgainsonthebondportfolio.TermStructureofInterestRatesRTerm8ManagingInterestRateRiskRis
