第八章-利率风险.pptVIP

Two question: （1）What would happen if a bank posted the rates in Table 8.1? （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.（流动性偏好） 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。 Treasury rates are considered to be artificially low for a variety of regulatory and tax reasons Duration Continued 债券久期用于检测债券价格对收益率的敏感度。利用微积分的符号，有： (8-2) 假定一个债券在t1,t2, …,tn时刻给债券持有人提供的现金流为c1, c2,…,cn(现金流包括债息和本金)，债券收益率y是使得债券理论价格等于市场价格的贴现率，如果收益率为连续复利，债券价格与收益率的关系式为： Duration Continued 求导 所以 Duration Continued 债券久期： 例8-1: 由表8-3描述的债券价格为94.213，久期为2.653，根据公式（8-1）： △B=-B*D*△y=-94.213*2.653△y=-249.95△y 当收益率增加了10个基点（0.1%），即△y=0.001，久期公式预计△B为： △B=-249.95*0.001=-0.25 久期公式预期债券价格会下降到94.213-0.25=93.963。 为了检验这个预测的准确性，我们计算当收益率增加10个基点到12.1%时的债券价格，其数量为： 5e-0.121*0.5+5e-0.121*1+5e-0.121*1.5+5e-0.121*2+5e-0.121*2.5+105e-0.121*3=93.963 这一数值同久期公式预计的变化相同。 例8-2 由表8-3描述的债券价格为94.213，久期为2.653，每年复利两次的收益率为12.3673%，修正久期为：