商业银行管理全套配套课件英文PPT教师手册习题习题答案 Chap007.ppt

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1、ChapterSevenRiskManagementforChangingInterestRates:Asset-LiabilityManagementandDurationTechniquesKeyTopicsAsset,Liability,andFundsManagementMarketRatesandInterestRateRiskTheGoalsofInterestRateHedgingInterest-SensitiveGapManagementDurationGapManagementLimitationsofInte

2、restRateRiskManagementTechniquesIntroductionEvenasafinancialinstitutiontakesonrisk,itmustprotectthevalueofitsnetworthfromerosion,whichcouldresultinultimatefailureFinancial-servicemanagershavelearnedtolookattheirassetandliabilityportfoliosasanintegratedwholeTheymustcon

3、siderhowtheirinstitution’swholeportfoliocontributestothefirm’sgoalsofadequateprofitabilityandacceptableriskKnownasasset-liabilitymanagement(ALM)CanprotectagainstbusinesscyclesandseasonalpressuresAsset-LiabilityManagementStrategiesAssetManagementStrategyControloverasse

4、ts,nocontroloverliabilitiesLiabilityManagementStrategyControloverliabilitiesbychangingratesandothertermsFundsManagementStrategyWorkswithbothstrategiesEXHIBIT7–1Asset-LiabilityManagementinBankingandFinancialServicesInterestRateRisk:OneoftheGreatestManagementChallengesC

5、hanginginterestratesimpactboththebalancesheetandthestatementofincomeandexpensesoffinancialfirmsPriceRiskWheninterestratesrise,themarketvalueofthebondorassetfallsReinvestmentRiskWheninterestratesfall,thecouponpaymentsonthebondarereinvestedatlowerratesInterestRateRisk:O

6、neoftheGreatestManagementChallenges(continued)ForcesDeterminingInterestRatesLoanableFundsTheoryTheMeasurementofInterestRatesYTMBankDiscountComponentsofInterestRatesEXHIBIT7–2DeterminationoftheRateofInterestintheFinancialMarketplaceWheretheDemandandSupplyofLoanableFund

7、s(Credit)InteracttoSetthePriceofCreditInterestRateRisk:OneoftheGreatestManagementChallenges(continued)InterestratesarethepriceofcreditDemandedbylendersascompensationfortheuseofborrowedfundsExpressedinpercentagepointsandbasispoints(1/100ofapercentagepoint)YieldtoMaturi

8、ty(YTM)Thediscountratethatequalizesthecurrentmarketvalueofaloanorsecuritywiththeexpectedstreamoffutureincomepaymentsthatthel