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