interest rate risk management加拿大著名咨询公司在建设银行的讲座.ppt

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1、InterestRateRiskManagementLecture#41ManagingInterestRateRiskInterestRateRisk:ADefinitionInterestrateriskistheprobabilityofanunexpectedchangeinbankearningsduetoachangeinmarketinterestratesInterestrateriskoccurswhenbankassetsandliabilitiesarerepricedatdiff

2、erenttimesInterestrateriskdependson:thedegreetowhichbankassets&liabilitiesareinterest-rate-sensitivethebalanceinthebank’sportfoliobetweeninterest-rate-sensitiveassets&interest-rate-sensitiveliabilitiesThebankcaneliminateinterestrateriskbymatchingtheintere

3、stratesensitivityofallassets&liabilities.Whatisthecostofdoingso?Onekeytomanaginginterestrateriskisagoodunderstandingofinterestrates2ManagingInterestRateRiskFactorsAffectingInterestRatesInterestratesarethepriceofmoney.Theyareaffectedby:realinterestratesinf

4、lationtermriskmarketdemandforcreditcentralbankmonetarypolicy3ManagingInterestRateRiskRealInterestRatesRemembertheFisherEquation:rnominal=rreal+ExpectedinflationTherealinterestrateisthecompensationfordeferringconsumptionOftensaidtoberelativelyconstantovert

5、ime(butthedatashowsotherwise)!4ManagingInterestRateRiskU.S.RealInterestRates1860-1990DecadeAvg.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%19

6、10-19194.77%3.73%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.4305ManagingInter

7、estRateRiskU.S.RealInterestRates1860-1990NotehowhighlyvariableUSrealrateshavebeenoverthepast130years.Source:Homer&Sylla,P.4316ManagingInterestRateRiskInflationInCanada1917-19977ManagingInterestRateRiskTermtoMaturityUsualshapeoftheyieldcurveisupwardslopin

8、gThisallowsbanksto“ridetheyieldcurve”byborrowingshortterm&investinginlongertermbonds.Asthetermofthebondshortens,theyieldfallsandpricerises,leadingtocapitalgainsonthebondportfolio.TermStructureofInterestRatesRTerm8Ma