Interest Rate Risk and ALM
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Interest Rate Risk and ALMInterest Rate Risk and ALM
第二組組員 財研一 張涵媁 財研一 陳彥旭 財研一 梅原一哲
小叮嚀小叮嚀 :: 同學列同學列印時印時 ,, 請記得選取請記得選取“純粹黑白”“純粹黑白”功能功能 ,,即可出現“白底黑即可出現“白底黑字”字” ,, 避免背景過避免背景過暗的情況暗的情況
影響利率波動的因素影響利率波動的因素(1) 財政政策(2) 貨幣政策(3) 通貨膨脹(4) 企業需求和家庭需求
利率風險的概念利率風險的概念 公司價值對利率隨機變動之敏感度 公司價值對利率隨機變動之敏感度
利率風險的來源
1. 資產與負債到期日的不平衡2.利率的不確定性 3. 利率變動造成金融資產及負債未來現金 流量的不確定
銀行利率風險銀行利率風險
(1) 直接利率風險因資產與負債到期日不平衡所產生的利率風險
(2) 間接利率風險 因利率變化而引起存款人提前解約、貸款人提前還款的
風險。
銀行利率風險管理步驟銀行利率風險管理步驟
銀行利率風險管理步驟銀行利率風險管理步驟
( 一 )定義銀行風險管理的目標狹義目標 : 利息淨邊際收益率 ( 利差 ) 變異數最小的前提下,追求最
大 的利息淨邊際收益率廣義目標 : 淨值報酬率變異數最小的前提下,追求最大淨值報酬率
The maturity model (The maturity model ( 到期模型到期模型 ))
到期模型 到期模型 市場價值來表示資產負債科目市場價值來表示資產負債科目
PP1 1 = = =100 = = =100F+C
(1+R)100+10
1.1
利率至 11%
P1 = = 99.10 Δ P1 = -0.90%100+101.11
P2 = + = 98.29 Δ P2 = -1.71%10
1.11100+10(1.11)2
Δ P1
Δ RΔ P2
Δ RΔ Pn
Δ R< < <‧‧‧
P2 = + =100
C1
(1+R)F+C2
(1+R)2
資產或負債與利率間之關係資產或負債與利率間之關係 FI’s fixed-income assets and liabilitiesFI’s fixed-income assets and liabilities
1)市場利率提高 (降低 )通常導致金融機構資產及負債市值的減少 (增加 )
2)具有固定收益 (成本 )的資產 (負債 )到期日愈長,則利率上升 (下降 )所導致的資產或負債市值之減少 (增加 )量愈大
3)利率下降時,較長期資產或負債科目市值下降的比率遞減
Maturity GapMaturity Gap
MMA A :the weighted-average maturity of an FI’s assets:the weighted-average maturity of an FI’s assets
MML L :the weighted-average maturity of an FI’s liabilities:the weighted-average maturity of an FI’s liabilities
MMii=W=Wi1i1MMi1i1++WWi2i2MMi2i2+…++…+WWininMMinin
MMi i = = The weighted-average maturity of an FI’s assets(liabilities)The weighted-average maturity of an FI’s assets(liabilities) , , i=A or Li=A or L
WWij ij =The importance of each asset(liability) in the asset(liability) por=The importance of each asset(liability) in the asset(liability) portfolio as measured by the market value of that asset(liability) position retfolio as measured by the market value of that asset(liability) position relative to the market value of all the asset(liability) lative to the market value of all the asset(liability)
MijMij=The maturity of the =The maturity of the jjth asset (or liability) th asset (or liability) jj=1,2…n=1,2…n
AssetsAssetsA=$100 A=$100 (M(MAA=3 years)=3 years)
$100$100
LiabilitiesL=$90 (ML=1 year)
E= 10 $100
利率上升 1%
AssetsA=$97.56 (MA=3 years)
$97.56
LiabilitiesL=$89.19 (ML=1 year)
E= 8.37 $97.56
ΔE(change in FI net worth)= ΔA - ΔL
- $1.63 = (-$2.44) - (-$0.81)
如果要免除或規避利率風險的暴露如果要免除或規避利率風險的暴露 MMAA--MMLL=0=0
Maturity matching does not always protect an FI against interest rate risk
1) The degree of leverage in the FI’s balance sheet
2) The duration or average life of asset or liability cash flows rather than the maturity of assets and liabilities
The maturity ModelThe maturity Model 的缺點的缺點用 到 期 模 型 完 全 測 量 金 融 機 構 的 利 率 風 險是十分困難的。因 為 到 期 模 型 忽 略 了資 產 及 負 債 現 金 流 量。
The repricing (or funding gap) modelThe repricing (or funding gap) model
The repricing model is essentially a book The repricing model is essentially a book value accounting cash flow analysis of value accounting cash flow analysis of the the repricing gaprepricing gap
the repricing gap is the difference between assets whose interest rates will be repriced or changed over some future period and liabilities whose interest rates will be repriced or changed over some future period
資金缺口的例子資金缺口的例子 TABLE 1.Repricing Gap (in millions of dollars)
1 2 3 4
Assets Liabilities Gaps Cumulative
Gap
1.One day $ 20 $30 $-10 $-10
2.More than one day-three months 30 40 -10 -20
3.More than three months-six months 70 85 -15 -35
4.More than 6months-12months 90 70 +20 -15
5.More than one year-five years 40 30 +10 -5
6.Over five years 10 5 +5 0
$260 $260
重新定價模型的優點重新定價模型的優點
銀行試圖了解各個不同到期日的資金組群因利率變動所造成的淨利風險暴露時•簡易可行 •具有資訊價值
資金淨利的變動量資金淨利的變動量 ΔΔNIINII
ii=Change in net interest income in the =Change in net interest income in the iith bucketth bucket
GAPGAPii=Dollar size of the gap between the book value of r=Dollar size of the gap between the book value of r
ate-sensitive assets and rate-sensitive liabilities in maturity ate-sensitive assets and rate-sensitive liabilities in maturity bucket bucket ii
ΔΔRRii=The change in the level of interest rates impacting a=The change in the level of interest rates impacting a
ssets and liabilities in the ssets and liabilities in the iith bucketth bucket
ΔΔNIINIIii=(GAP=(GAP
ii))××((ΔΔRRii))
==((RSARSAii-RSL-RSL
ii))××((ΔΔRRii))
ΔΔNIINIIii=(GAP=(GAP
ii))××((ΔΔRRii))
==((RSARSAii-RSL-RSL
ii))××((ΔΔRRii)) Ex. 一天期的資金缺口 GAP: 負一千萬美元
利率 資金淨利 一天期的資金缺口 GAP: 正 利率 資金淨利 •累積資金缺口 CGAP
CGAP = (-10)+(-10)+(-15)+20= -15million 利率上升 1%
ΔNIIi = (CGAP) × (ΔRi) = (-15million) × (0.01) = - $150000
RSA and RSLRSA and RSL
Rate sensitivityRate sensitivityAn asset or liability is repriced at or near current marAn asset or liability is repriced at or near current market interest rates within a maturity bucketket interest rates within a maturity bucket
rate-sensitive assets RSA
利率敏感性資產 rate-sensitive liabilities RSL 利率敏感性負債
TABLE 2. Simple FI Balance Sheet (in millions of dollars) Assets Liabilities
1.Short-term consumer loans (one-year maturity)
$50 1.Equity capital (fixed) $20
2.Long-term consumer loans(two-year maturity)
25 2.Demand deposits 40
3.Three-month Treasury bills 30 3.Passbook savings 30
4.Six-month Treasury notes 35 4.Three-month CDs 40
5.Three-year Treasury bonds 70 5.Three-month bankers acceptances
20
6.10-year,fixed-rate mortgages 20 6.Six-month commercial paper
60
7.30-year,floating-rate mortgages (rate adjusted every nine months)
40 7.One-year time deposits 20
$270 8.Two-year time deposits 40
$270
累積資金缺口 累積資金缺口 CGAPCGAP
CGAP=RSA - RSLCGAP=RSA - RSL =(50+30+35+40) - (40+20+60+20)=15=(50+30+35+40) - (40+20+60+20)=15 百萬美元百萬美元 累積資金缺口佔銀行總資產額百分比 CGAP/A=15 百萬美元 /270 百萬美元 =5.6%
兩點涵義1) The direction of the interest rate exposure
2) The scale of that exposure as indicated by dividing the gap by the asset size of the institution
CGAP EffectCGAP Effect
CGAP Effect
ΔNIIi= 〈 GAPi 〉 × 〈 ΔRi 〉 利率變動為正向時 讓 CGAP 為正利率變動為負向時 讓 CGAP 為負
CGAPCGAP 與與 RR 與與 NIINII 的影響的影響
Row CGAP △ R △ interest revenue
△ interest expense
△ NII
1 >0 ↑ ↑ > ↑ ↑
2 >0 ↓ ↓ > ↓ ↓
3 <0 ↑ ↑ < ↑ ↑
4 <0 ↓ ↓ < ↓ ↓
Spread EffectSpread Effect Rate changes on RSAs generally Rate changes on RSAs generally
differ from those on RSLsdiffer from those on RSLs
CGAP Effect + Spread Effect
ΔNII =(RSA × Δ RRSA)-(RSL × ΔRRSL)
=($155million ×1.2%)-($155million ×1.0%)
=$310000
spread 增加 資金淨利增加
spread 減少 資金淨利減少
Row CGAP △ R △ Spread △ NII1 >0 ↑ ↑ ↑2 >0 ↑ ↓ ↑ ↓3 >0 ↓ ↑ ↑ ↓4 >0 ↓ ↓ ↓5 <0 ↑ ↑ ↑ ↓6 <0 ↑ ↓ ↓7 <0 ↓ ↑ ↑8 <0 ↓ ↓ ↑ ↓
CGAP 與 R 與 Spread 與 NII 的影響
重新定價模型的缺點重新定價模型的缺點 1.1. 忽略市價的改變忽略市價的改變 (ignores market value effect(ignores market value effect
s)s)
2.2. 過度加總問題 過度加總問題 ((overaggregation)overaggregation)
3.Runoff3.Runoff 問題 問題 ((the problem of Runoffs)the problem of Runoffs)
4.4. 資產負債表外的現金流動資產負債表外的現金流動((cash flows from off-balance-sheet activities)cash flows from off-balance-sheet activities)
overaggregationoveraggregation
+50
0
-50
3 4 5 6
解決方法:1. 縮小分隔時點
2. tA 1 tA tL 1 tL
A A A L L LNII RSA 1 R 1 K 1 R RSL 1 R 1 K 1 R
RunoffRunoff 問題問題 ((the problem of Runoffs)the problem of Runoffs)
Assets Liability
Item 原始
$Amount
Runoff in
less than one year
$Amount Runoff in
more than one year
Item 原始
$Amount Runoff in less than one year
$Amount Runoff in more than one year
1.Short-term consumer loans
$50 $50 0 1.Equity $20 0 $20
2.Long-term consumer loans
25 5 202.Demand
deposits40 $30 10
3.3-month T-bills 30 30 03.passbook
savings30 15 15
4.6-month T-bills 35 35 0 4.3-month CDs 40 40 0
5.3-year notes 70 10 60 5.3-month BA 20 20 0
6.10-year mortgages 20 2 18 6.6-month CP 60 60 0 7.30-year floating-
rate mortgages40 40 0
7.1-year time deposits
20 20 0
8.2-year time deposits
40 20 20
$270
$172 $98 $270
$205 $65
RunoffRunoff 問題問題 ((the problem of Runoffs)the problem of Runoffs)
1. 原本的 CGAP RSA=50+30+35+40(FRN)=115 RSL=40+20+60+20=140 CGAP=115-140=-252.Runoff 調整後的 CGAP RSA=50+5+30+35+10+2+40=172 RSL=30+15+40+20+60+20+20=205 CGAP=172-205=-33其中 RSA 中 mortgages 在利率下降時,數值會變大。
Maturity model Maturity model 的缺點的缺點例如例如 MA=ML MA=ML 皆是一年,但皆是一年,但 AssetsAssets 與與 LiabilityLiability 的的
現金流量不同。現金流量不同。A t=0 t=1/2 1 yearA t=0 t=1/2 1 year
Loan -100 50+7.5 53.75Loan -100 50+7.5 53.75 L L
CD 100 -115CD 100 -115
Maturity gap=0 Maturity gap=0 仍有利率風險仍有利率風險 利率 15 % 12 %• Cash Flow at ½ year Principal 50 50 Interest 7.5 7.5• Cash Flow at 1 year Principal 50 50 Interest 3.75 3.75 Reinvestment income 4.3125 3.45• Total cash flow 115.5625 114.7
存續期間(存續期間( durationduration )的意義)的意義
1. 存續期間是債券持有人收到現金流量的加權平均發生時間,即債券的加權平均到期期限。
2. 存續期間為利率變動對債券價格之彈性觀念,故為一債券利率風險的衡量指標。
3. 存續期間是債券現金流量之平衡點,故也是進行投資組合免疫策略時不可缺少的工具。
存續期間模型存續期間模型Duration ModelDuration Model
存續期間(存續期間( durationduration )的意義)的意義1.1. 存續期間是債券持有人收到現金流量的加權平均存續期間是債券持有人收到現金流量的加權平均
發生時間,即債券的加權平均到期期限。發生時間,即債券的加權平均到期期限。
2.2. 加入收帳機率,加入收帳機率, PPii*C F*C Ftt=CF =CF tt**
ntt n
t 1t
t 1
t CFdP(1 r)PD t W
dr P(1 r)
dP
PDdr
(1 r)
存續期間(存續期間( durationduration )的意義)的意義3. 存續期間為利率變動對債券價格之彈性觀念,故
為一債券利率風險的衡量指標。
存續期間(存續期間( durationduration )的意義)的意義4. 4. 存續期間是債券現金流量之平衡點,故也是進行投存續期間是債券現金流量之平衡點,故也是進行投
資組合免疫策略時不可缺少的工具。資組合免疫策略時不可缺少的工具。Interest rate Interest rate 88 % % 77 % % 99 % % Coupon,5*80 Coupon,5*80 400400 400400 400400
Reinvestment income Reinvestment income 6969 6060 7878
Proceeds from sale of bond at end Proceeds from sale of bond at end of the fifth year of the fifth year
10001000 10091009 991991
Total cash flow Total cash flow 14691469 14691469 14691469
存續期間的公式 存續期間的公式 Macaulay durationMacaulay duration
其中:其中: D D 存續期間存續期間 CFt CFt 債券在第債券在第 tt 期的現金流量期的現金流量 n n 債券的到期時間債券的到期時間 r r 債券的殖利率債券的殖利率 P P 債券目前的價格債券目前的價格 Wt Wt 第第 tt 期債券現金流量現值占債券價格(各期現金流量現值加期債券現金流量現值占債券價格(各期現金流量現值加
總)之比例,即各期現金流量現值之權重,可表示為:總)之比例,即各期現金流量現值之權重,可表示為:
ntt n
t 1t
t 1
t CFdP(1 r)PD t W
dr P(1 r)
tt
t
CF
(1 r)W
P
n
tt 1
W 1
修 正 後 存 續 期 間修 正 後 存 續 期 間(( Modified DurationModified Duration ))
• 其中: D mod 修正後存續期間 D Macaulay 存續期間
mod
dPDPD
d(1 r) 1 r
價 格 存 續 期 間價 格 存 續 期 間(( Dollar DurationDollar Duration ))
• 其中: D dol 價格存續期間
dol moddP P
D D P Dd(1 r) 1 r
doldP D dr
存續期間的假設存續期間的假設• 假設殖利率曲線為水平線,或是利率不同
變動比率相同
• . 假設債券不具凸性
1 2 n
1 2 n
R R R.......
1 R 1 R 1 R
存續期間假設產生的問題存續期間假設產生的問題 1. 殖利率曲線並非水平或同比率變動 ( 比較真實與假設狀況計算的存續期間差異 )
T CF DF固定 8%
CF*DF CF*DF*T DF非固定
CF*DF CF*DF*T
1 80 0.9259 74.07 74.07 0.9259 74.07 74.07
2 80 0.8573 68.59 137.18 0.8448 67.58 135.16
3 80 0.7938 63.51 190.53 0.7637 61.10 183.3
4 80 0.7350 58.80 235.20 0.6880 55.04 220.16
5 80 0.6806 54.45 272.25 0.6153 49.22 246.1
6 1080 0.6302 680.58 4083.48 0.5553 599.75 3598.50
1000 4992.71 906.76 4457.294992.71
D 4.9931000
* 4457.29D 4.91562
906.76
存續期間假設產生的問題存續期間假設產生的問題 2. 凸性( convexity )存在
2dP dr 1D dr
P (1 r) 2
凸性
債券
價格
殖利率
實際債券價格與殖利率關係
存續期間假設債券價格
與殖利率為直線關係 0
不同商品的不同商品的 DurationDuration
• zero-coupon bond D=M
• consol bond (perpetuities) D=1+
• FRN (Floating-Rate Note) D= 付息期間
• Demand deposits and passbook savings
• Mortgages and mortgage-backed securities
1
R
Demand deposits and passbook savingsDemand deposits and passbook savings
非 RSL 的理由1. 按規定不須付息2. 雖然 NOW 有付息,
但是相對穩定3. 數量眾多,且相對的
穩定,類似 FI 的核心存款 ( 長期資金來源 )
是 RSL 的理由1. 有間接的費用,但是
銀行並沒有其他來源填補。
2. 利率上升時,存戶會提款運用於其他工具。
(MMMF)
解決方法: 1.D=turnover per dollar
2.D=0
3. 算出利率對上述兩項目的影響
Prepayment and Liquidity RiskPrepayment and Liquidity RiskLiquidity
riskPrepayment
risk
Liquidity risk
Prepayment risk
CGAP>0 CGAP<0
Prepayment risk :指利率下降時,長期貸款提前還款。
Liquidity risk :指利率上升時,活存減少。
DurationDuration 的影響因子的影響因子存續期間與票面利率、到期期間的關係
( YTM = 8% ,半年付息一次)
到期期間到期期間票 面 利 率票 面 利 率
6%6% 8%8% 10%10%
11 年年 0.9850.985 0.980.98 0.9760.976
55 年年 4.3614.361 4.2184.218 4.0954.095
1010 年年 7.4547.454 7.0677.067 6.7726.772
2020 年年 10.92210.922 10.29210.292 9.8709.870
永續債券永續債券 13.00013.000 13.00013.000 13.00013.000
DurationDuration 的影響因子的影響因子
由上表可以看到• Duration and Maturity
• Duration and Coupon Interest
• Duration and yield(直接對 Duration 微分可得 )
2
2
D D0 0
M M
,
D0
C
D0
R
Duration and ImmunizationDuration and Immunization
• (1)Duration Gap
i i1 i1 i2 i2 in inD W D W D ......... W D i A,L ,
a. the leverage adjusted duration gap= A L
L(D D )
A
b. the size of the FI: Ac. the size of the interest rate
shock =
A L
L RE (D D ) A
A 1 R
)1( R
R
(2) Immunization(2) Immunization
the leverage adjusted duration gap=
=0
a. Reduce DA
b. Reduce DA and increase DL
c. Change k and DL
其它的無法得到避險效果
A L
L(D D )
A
Barbell Strategy and convexityBarbell Strategy and convexity
Strategy 1Strategy 1:: D=15 CX=206D=15 CX=206
Strategy 2Strategy 2:: DD11=0 CX=0=0 CX=0
DD22=30 CX=797=30 CX=797
D D pp=½(0)+½ (30)=15=½(0)+½ (30)=15
CX CX pp= ½(0)+½ (797)=398.5= ½(0)+½ (797)=398.5
(3) Immunization and Regulatory (3) Immunization and Regulatory ConsiderationsConsiderations
• Regulatory 可能會限制 k ,例如限制資本適足率
此時避險的唯一選擇就是 DA= DL
Difficulties in Applying the Duration Difficulties in Applying the Duration Model to Real-World FI balance Model to Real-World FI balance
sheetsheet (1)Duration Matching Can Be Costly
restructuring the B/S is time-consuming and costly take hedging positions in the markets for derivative securities
解決之道:衍生性金融商品的運用
Difficulties in Applying the Duration Difficulties in Applying the Duration Model to Real-World FI balance Model to Real-World FI balance
sheetsheet (2)Immunization is a dynamic problem trade-off
between being perfectly immunized the transaction costs of maintaining an immunized B/S
解決方法:訂出一個重新審核免疫策略的期間
Difficulties in Applying the Duration Difficulties in Applying the Duration
Model to Real-World FI balance sheetModel to Real-World FI balance sheet (3)Large Interest Rate Changes and Convexity characteristics of convexity a. Convexity is desirable
債券
價格
殖利率
0
凸性大債券
凸性小債券
A
P3
P4
P0
P1
P2
y2 y0 y1
Difficulties in Applying the Duration Difficulties in Applying the Duration Model to Real-World FI balance sheetModel to Real-World FI balance sheet
b. Convexity and duration
(回憶 barbell strategy)
債券
價格
殖利率
0
凸性大債券
凸性小債券
A
P3
P4
P0
P1
P2
y2 y0 y1
Difficulties in Applying the Duration Difficulties in Applying the Duration Model to Real-World FI balance Model to Real-World FI balance
sheetsheet c. All fixed-income securities are convex
2P R 1D CX( R)
P (1 R) 2
8 P PCX 10
P P
convexity increase with bond convexity increase with bond maturitymaturity
A B C
N=6 N=18 N=
R=8% R=8% R=8%C=8% C=8% C=8%
D=5 D=10.12 D=13.5
CX=28 CX=130 CX=312
Convexity varies with couponConvexity varies with coupon
A B
N=6 N=6
R=8% R=8%C=8% C=0%
D=5 D=6
CX=28 CX=36
For same duration, Zero-Coupon For same duration, Zero-Coupon Bonds less convex than Coupon Bonds less convex than Coupon
BondsBonds A B
N=6 N=5
R=8% R=8%C=8% C=0%
D=5 D=5
CX=28 CX=25.72
Assets are more convex than Assets are more convex than liabilitiesliabilities
價值
Interest rate 0
Assets
Liabilities
y2 y0 y1
Hedging Interest Rate RiskHedging Interest Rate Risk
(1)Microhedging Using a futures
(forward) contract to hedge a specific asset or liability
(2)Macrohedge Hedging the entire
duration gap of an FI
Figure 24-2Figure 24-2
The Effects of Hedging on Risk and The Effects of Hedging on Risk and Expected ReturnExpected Return
Macrohedging with futuresMacrohedging with futures
R
RAkDDE LA
1][
R
RPNDF
PNFR
RFDF
R
RD
F
F
FFF
FF
F
F
1)(
1
1
FI’s net worth exposure to interest rate shocks
The sensitivity of the price of a futures contract depends on the duration of the deliverable bond underlying the contract
Macrohedging with futuresMacrohedging with futures
Fully hedge EF
R
RAkDD
R
RPND LAFFF
1
][1
)(
FF
LAF PD
AKDDN
)(
Example24-1Example24-1 、、 24-224-2
Consider the following FI where :DA=5年 , DL=3年 ,
Assets=$100m, Liabilities=$90m,Equity=$10m
Expected Interest rates 10%11%
R
RAkDDE LA
1][
mE 091.2$1.1
01.0100)39.05(
Example24-1Example24-1 、、 24-224-2 Suppose the current futures price quote is $97 per $100 of face
value for the benchmark 20-year,8% coupon bond underlying the nearby futures contract, the minimum contract size is $100000, and the duration of the deliverable bond is 9.5 year.
That is: DF=9.5年 , PF=$97000
FF
LAF PD
AKDDN
)(
59.24997000$5.9
100$*)39.05(
F
F
N
mN
On Balance SheetOn Balance Sheet
mE 091.2$1.1
01.0100)39.05(
Off Balance SheetOff Balance Sheet
m
R
RPNDF FFF
086.2$
)1.1
01.0)(97000$249(5.9
1)(
mmmFE 05.0$086.2$091.2$
Hedging with optionsHedging with options
(1)FI’s net worth exposure to an interest rate shock
(2)
(3) To hedge net worth exposure
Example 25-1
R
RAkDDE LA
1][
]1
[
])()[(
)(
R
RBDNP
RBMDp
BMDdR
dB
dRMDB
dB
RdR
dB
dB
dpp
pNP
p
p
][
][
BD
AkDDN
EP
LAp
Example 25-1
DA=5, DL=3, K=0.9 A=$100m DA=5, DL=3, K=0.9 A=$100m
Rates are expected to rise :Rates are expected to rise :
1010%% 11%11%
Suppose δ=0.5, B=$97000, Suppose δ=0.5, B=$97000,
D=8.82D=8.82 (( underlying bond of the put option) underlying bond of the put option)
mP
contracts
N p
09.2$]1.1
01.097000$82.85.0[537
672.537
]97000$82.85.0[
230000000$
Cost= NCost= Np p * Put premium per contract* Put premium per contract
Cost= 537* $2500 =$1342500Cost= 537* $2500 =$1342500
Interest Rate SwapsInterest Rate Swaps
Money Center BankMoney Center Bank
Assets : $100mAssets : $100m
C&I loansC&I loans(rate indexed to LIBOR)(rate indexed to LIBOR)
Liabilities :$100mLiabilities :$100m
Medium-term notes(coupons Medium-term notes(coupons fixed)fixed)
The Savings BankThe Savings Bank
Assets : $100mAssets : $100m
Fixed-rate mortgagesFixed-rate mortgages
Liabilities :$100mLiabilities :$100m
Short-term CDs(one year)Short-term CDs(one year)
Interest Rate SwapsInterest Rate Swaps
SecuritizationSecuritization
證券化具有強化資金運用效率、提升銀行自有資本適足率、降低資產負債管理成本與利率風險,和促成銀行專業和分工等效益。
傳統資產負債管理模式傳統資產負債管理模式 (ALM)(ALM) 與與 VaRVaR 系系統統
Asset-Liability Management : 對資產與負債兩者間的利率風險、外匯風險、流動風險等
作針對性的管理措施。例如:購置資產時需考慮用什麼方式融資,希望透過適當的管理方式來減低上述多方面的風險。
傳統的利率風險衡量方式,最多只考慮到當利率風險因子變動對投資組合價值的影響,並未考慮到各風險因子本身的波動程度及因子間的相關性。風險值 (VaR) 模型其主要是利用各風險因子過去的變動,來衡量未來可能產生的風險,不但考慮了傳統衡量方式的要件,並顧及風險因子的波動性及相關性,因此較傳統方式具有優勢。