第七章节利率风险资料.pptVIP

Two question: （1）What would happen if a bank posted the rates in Table 7.1? （2）How can the bank manage its risks? Assumption: market participants expect the one-year interest rate for future time periods to equal the one-year rates prevailing in the market today. Suppose you have money to deposit. Would you choose to deposit your money for one year at 3% per annum or for five year at 3% per annum? If deposit one year: (1+3%)(1+3%)(1+3%)(1+3%)(1+3%)=(1+3%)5 If deposit five year:(1+3%)5 So most customers would choose one year because this gives them more financial flexibility. It ties up their funds for a shorter period of time. Now suppose that you want a mortgage. Would you choose a one-year mortgage at 6% or a five-year mortgage at 6%? One-year mortgage: (1+6%)(1+6%)(1+6%)(1+6%)(1+6%)=(1+6%)5 Five-year mortgage:(1+6%)5 So most would choose a five-year mortgage because it fixes your borrowing rate for the next five years and subjects you to less refinancing risk. 由于多数客户会选择1年期存款，5年期贷款，所以，导致银行的资产与负债的不匹配（短借长放现象），从而对净利息收入产生风险冲击。 若利率下降，贷款利率6%，存款利率低于3%，利息收入增加。 若利率上升，贷款利率6%，存款利率高于3%，利息收入减少。 解决方案：实现资产负债匹配。 LIBOR rates are provided by British Bankers Association (BBA). The BBA is the leading trade association for the UK banking and financial services sector. We speak for over 200 member banks from 60 countries on the full range of UK and international banking issues. Understanding BBA LIBOR LIBOR rates closely reflect the real rates of interest being used by the worlds largest financial institutions. Whereas central banks (such as the Bank of England, the US Federal Reserve and the European Central Bank) fix official base rates monthly, LIBOR reflects the rates at which these prime banks borrow money from each other each day, in the worlds 10 major currencies and for 15 borrowing periods ranging from overnight loans to 12 month. Once calculated, the LIBOR figures are then published by Thomson Reuters: they appear on more than one million screens around the world and