第七章利率风险.pptVIP

Interest Rate Risk Chapter 7 Risk Management and Financial Institutions, 2e, Chapter 7, Copyright ? John C. Hull 2009 * 第一页，共三十页。 7.1 Management of Net Interest Income Net Interest Income=Interest received-Interest paid Consider a simple situation where a bank offers consumers a one-year and a five-year deposit rate as well as a one-year and five-year mortgage rate. The rates are shown in Table 7.1: Maturity (yrs) Deposit Rate Mortgage Rate 1 3% 6% 5 3% 6% Risk Management and Financial Institutions, 2e, Chapter 7, Copyright ? John C. Hull 2009 * Table 7.1 Example of rates offered by a bank to its customers 第二页，共三十页。 Two question: （1）What would happen if a bank posted the rates in Table 7.1? （2）How can the bank manage its risks? 第三页，共三十页。 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? 第四页，共三十页。 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. 第五页，共三十页。 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. 第六页，共三十页。 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。 ★总结 第七页，共三十页。 解决方案：实现资产负债匹配。 Maturity (yrs) Deposit Rate Mortgage Rate 1 3% 6% 5 4% 7% 表7-2 提高5年期利率以达到资产负债的匹配 第八页，共三十页。 Bad Interest Rate Risk Management Has Led to Bank Failures (Business Snapshot 7.1, page 101) Risk Manage