an analysis of commercial bank exposure to …（分析商业银行暴露于u2026）.pdf

An Analysis of Commercial Bank Exposure to Interest Rate Risk David M. Wright and James V. Houpt, of the Board’s SOURCES OF INTEREST RATE RISK Division of Banking Supervision and Regulation, pre- pared this article. Leeto Tlou and Jonathan Hacker Interest rate risk is, in general, the potential for provided assistance. changes in rates to reduce a bank’s earnings or value. As financial intermediaries, banks encounter interest Banks earn returns to shareholders by accepting and rate risk in several ways. The primary and most often managing risk, including the risk that borrowers may discussed source of interest rate risk stems from default or that changes in interest rates may narrow timing differences in the repricing of bank assets, the interest spread between assets and liabilities. His- liabilities, and off-balance-sheet instruments. These torically, borrower defaults have created the greatest repricing mismatches are fundamental to the business losses to commercial banks, whereas interest margins of banking and generally occur from either borrow- have remained relatively stable, even in times of high ing short term to fund long-term assets or borrowing rate volatility. Although credit risk is likely to remain long term to fund short-term assets. the dominant risk to banks, technological advances Another important source of interest rate risk (also and the emergence of new financial products have referred to as ‘‘basis risk’’), arises from imperfect provided them with dramatically more efficient ways correlation in the adjustment of the rates earned and of increasing or decreasing interest rate