商业银行经营学Chapter 07.pptVIP

Chapter Seven Asset-Liability Management: Determining and Measuring Interest Rates and Controlling Interest-Sensitive and Duration Gaps 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 Historical View of Asset-Liability Management Asset Management Strategy Liability Management Strategy Funds Management Strategy Interest Rate Risk Price Risk When Interest Rates Rise, the Market Value of the Bond or Asset Falls Reinvestment Risk When Interest Rates Fall, the Coupon Payments on the Bond are Reinvested at Lower Rates Yield to Maturity (YTM) Bank Discount Rate (DR) Market Interest Rates Function of: Risk-Free Real Rate of Interest Various Risk Premiums Default Risk Inflation Risk Liquidity Risk Call Risk Maturity Risk Yield Curves Graphical Picture of Relationship Between Yields and Maturities on Securities Generally Created With Treasury Securities to Keep Default Risk Constant Shape of the Yield Curve Upward – Long-Term Rates Higher than Short-Term Rates Downward – Short-Term Rates Higher than Long-Term Rates Horizontal – Short-Term and Long-Term Rates the Same Net Interest Margin Goal of Interest Rate Hedging One Important Goal of Interest Rate Hedging is to Insulate the Bank from the Damaging Effects of Fluctuating Interest Rates on Profits Interest-Sensitive Gap Measurements Interest-Sensitive Assets Short-Term Securities Issued by the Government and Private Borrowers Short-Term Loans Made by the Bank to Borrowing Customers Variable-Rate Loans Made by the Bank to Borrowing Customers Interest-Sensitive Liabilities Borrowings from Money Markets Short-Term Savings Accounts Money-Market Deposits Variable-Rate Deposits Asset-Sensitive Bank Has: Positive Dollar Interest-Sensitive Gap Positive Relative Interest-Sensitive Gap Interest Sensitivity Ratio Greater Than One Liability Sensitive Bank Has: Negative Dollar Interest-Sensiti