银行管理学全套配套课件 powerpoint ch04.ppt

《银行管理学全套配套课件 powerpoint ch04.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、MANAGINGINTERESTRATERISK:GAPANDEARNINGSSENSITIVITYChapter8BankManagement,5thedition.TimothyW.KochandS.ScottMacDonaldCopyright©2003bySouth-Western,adivisionofThomsonLearningAssetandliabilitymanagement…managingabank'sentirebalancesheetasadynamicsystemofinterrelatedaccoun

2、tsandtransactions.Thephrase,asset–liabilitymanagementhasgenerally;however,cometorefertomanaginginterestrateriskInterestraterisk…unexpectedchangesininterestrateswhichcansignificantlyalterabank’sprofitabilityandmarketvalueofequity.Assetandliabilitymanagementcommittee(ALCO

3、)Abank'sassetandliabilitymanagementcommittee(ALCO)coordinatesallpolicydecisionsandstrategiesthatdetermineabank'sriskprofitandprofitobjectives.Interestrateriskmanagementistheprimaryresponsibilityofthiscommittee.Netinterestincomeorthemarketvalueofstockholders'equity?Banks

4、typicallyfocusoneither:netinterestincomeorthemarketvalueofstockholders'equityasatargetmeasureofperformance.GAPmodelsarecommonlyassociatedwithnetinterestincome(margin)targeting.Earningssensitivityanalysisornetinterestincomesimulation,or“whatif”forecasting…providesinforma

5、tionregardinghowmuchNIIchangeswhenratesareassumedtoincreaseorfallbyvariousamounts.InterestrateriskReinvestmentraterisk...theriskthatabankcannotreinvestcashflowsfromassetsorrefinancerolledoverornewliabilitiesatacertainrateinthefutureCostoffundsversusthereturnonassetsFun

6、dingGAP,impactonNIIPriceRisk…changesininterestrateswillalsocauseachangeinthevalue(price)ofassetsandliabilitiesLongermaturity(duration)largerchangeinvalueforagivenchangeininterestratesDurationGAP,impactonmarketvalueofequityInterestraterisk…thepotentialvariabilityinaban

7、k'snetinterestincomeandmarketvalueofequityduetochangesinthelevelofmarketinterestrates.Example:$10,000Carloan4yearCarloanat8.5%1yearCDat4.5%Spread4.0%ButforHowlong?FundingGAPGAP=$RSA-$RSL,where$RSA=$amountofassetswhichwillmatureorrepriceinagiveperiodoftime.Inthisexampl

8、e:GAP1y=$0.00-$10,000=-$10,000ThisisanegativeGAP.FundingGAP…focusesonmanagingNIIintheshortrun.MethodGroupasset