Asset-Liability ManagementDetermining and Measuring Interest Rates and Duration Gaps.pptVIP

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Asset-Liability ManagementDetermining and Measuring Interest Rates and Duration Gaps.ppt

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Asset-Liability ManagementDetermining and Measuring Interest Rates and Duration Gaps.ppt

Chapter 7 Asset-Liability Management: Determining and Measuring Interest Rates and Controlling Interest-Sensitive and Duration Gaps （资产负债管理：测量并决定利率，控制利率敏感性缺口和久期缺口） Goals : The purpose of this chapter is to explore the options bankers have today for dealing with risk – especially the risk of loss due to changing interest rates – and to see how a bank’s management can coordinate the management of its assets with the management of its liabilities in order to achieve the institution’s goals. Key Topic Asset, Liability, and Funds Management (资产，负债以及资金的管理） Market Rates and Interest Rate Risk (市场利率和利率风险) The Goals of Interest Rate Hedging (规避利率风险的目标） Interest Sensitive Gap Management（利率敏感性缺口管理） Duration Gap Management （久期缺口管理） Limitations of Hedging Techniques （对冲技术的局限性） Asset-Liability Management The Purpose of Asset-Liability Management is to Control a Bank’s Sensitivity to Changes in Market Interest Rates and Limit its Losses in its Net Income or Equity （资产负债管理是银行或者其他金融机构为了控制利率风险而做出决策的过程） Historical View of Asset-Liability Management (资金负债管理) Asset Management Strategy (资产管理策略） Liability Management Strategy（负债管理策略） Funds Management Strategy （资金管理策略） Asset Management P208 A management strategy that regards the volume and mix of a bank or other financial firms’ sources of funds ad determined largely by the wishes of its customers and calls for management to concentrate on controlling assets, rather than on managing liabilities, in order to meet liquidity needs and other goals. （一种管理策略，该策略认为银行和其他金融机构的资金规模和种类在很大程度上取决于客户的意愿。为了满足流动性需求和达到其他目标，银行和其他金融公司的管理应该集中在资产上而不是负债上。） Liability Management P208 Use of borrowed funds to meet liquidity needs, in which a financial institution attracts the volume of liquidity it needs by raising or lowering the rate of interest it is willing to pay on borrowed funds. （金融机构使用借入的资金来满足自身的流动性需要，并通过提高或者降低他所愿意支付的利率来控制借入资金的大小。） Fund Management Strategy P209 Key objectives: Management should exercise an much control as possible over the volu