interest rate risk and alm n.
Download
Skip this Video
Loading SlideShow in 5 Seconds..
Interest Rate Risk and ALM PowerPoint Presentation
Download Presentation
Interest Rate Risk and ALM

Loading in 2 Seconds...

play fullscreen
1 / 71

Interest Rate Risk and ALM - PowerPoint PPT Presentation


  • 155 Views
  • Uploaded on

Interest Rate Risk and ALM. 第二組組員 財研一 張涵媁 財研一 陳彥旭 財研一 梅原一哲. 小叮嚀 : 同學列印時 , 請記得選取 “ 純粹黑白 ” 功能 , 即可出現 “ 白底黑字 ” , 避免背景過暗的情況. 影響利率波動的因素. (1) 財政政策 (2) 貨幣政策 (3) 通貨膨脹 (4) 企業需求和家庭需求. 利率風險的概念. 利率風險的來源. 1. 資產與負債到期日的不平衡 2. 利率的不確定性

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'Interest Rate Risk and ALM' - mckenzie-pearson


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
interest rate risk and alm
Interest Rate Risk and ALM

第二組組員

財研一 張涵媁

財研一 陳彥旭

財研一 梅原一哲

  • 小叮嚀:同學列印時,請記得選取“純粹黑白”功能,即可出現“白底黑字”,避免背景過暗的情況
slide2
影響利率波動的因素

(1)財政政策

(2)貨幣政策

(3)通貨膨脹

(4)企業需求和家庭需求

slide3

利率風險的概念

  • 利率風險的來源

1.資產與負債到期日的不平衡

2.利率的不確定性

3.利率變動造成金融資產及負債未來現金 流量的不確定

公司價值對利率隨機變動之敏感度

slide4
銀行利率風險

(1)直接利率風險

因資產與負債到期日不平衡所產生的利率風險

(2) 間接利率風險

因利率變化而引起存款人提前解約、貸款人提前還款的風險。

slide6
銀行利率風險管理步驟

(一)定義銀行風險管理的目標

  • 狹義目標 :

利息淨邊際收益率(利差)變異數最小的前提下,追求最大 的利息淨邊際收益率

  • 廣義目標 :

淨值報酬率變異數最小的前提下,追求最大淨值報酬率

the maturity model

The maturity model (到期模型)

到期模型

市場價值來表示資產負債科目

p 1 100

F+C

(1+R)

100+10

1.1

利率至11%

100+10

1.11

P1 = = 99.10 Δ P1 = -0.90%

Δ P1

Δ R

Δ P2

Δ R

Δ Pn

Δ R

< < ‧‧‧<

10

1.11

100+10

(1.11)

P2 = + = 98.29 Δ P2 = -1.71%

2

C1

(1+R)

F+C2

(1+R)

P2 = + =100

2

P1 = = =100

slide9

資產或負債與利率間之關係

  • 市場利率提高(降低)通常導致金融機構資產及負債市值的減少(增加)
  • 具有固定收益(成本)的資產(負債)到期日愈長,則利率上升(下降)所導致的資產或負債市值之減少(增加)量愈大
  • 利率下降時,較長期資產或負債科目市值下降的比率遞減

FI’s fixed-income assets and liabilities

maturity gap

Maturity Gap

MA :the weighted-average maturity of an FI’s assets

ML :the weighted-average maturity of an FI’s liabilities

Mi=Wi1Mi1+Wi2Mi2+…+WinMin

Mi = The weighted-average maturity of an FI’s assets(liabilities), i=A or L

Wij =The importance of each asset(liability) in the asset(liability) portfolio as measured by the market value of that asset(liability) position relative to the market value of all the asset(liability)

Mij=The maturity of the jth asset (or liability) j=1,2…n

assets a 100 m a 3 years 100

Liabilities

L=$90 (ML=1 year)

E= 10

$100

利率上升1%

Assets

A=$97.56 (MA=3 years)

$97.56

Liabilities

L=$89.19 (ML=1 year)

E= 8.37

$97.56

Assets

A=$100 (MA=3 years)

$100

ΔE(change in FI net worth)= ΔA - ΔL

- $1.63 = (-$2.44) - (-$0.81)

m a m l 0

Maturity matching does not always protect an FI against interest rate risk

如果要免除或規避利率風險的暴露

MA-ML=0

  • The degree of leverage in the FI’s balance sheet
  • The duration or average life of asset or liability cash flows rather than the maturity of assets and liabilities
the maturity model1

The maturity Model的缺點

用 到 期 模 型 完 全 測 量 金 融 機 構 的 利 率 風 險是十分困難的。因 為 到 期 模 型 忽 略 了資 產 及 負 債 現 金 流 量。

the repricing or funding gap model

The repricing (or funding gap) model

The repricing model is essentially a book value accounting cash flow analysis of the repricing gap

the repricing gap is the difference between assets whose interest rates will be repriced or changed over some future period and liabilities whose interest rates will be repriced or changed over some future period

slide16

重新定價模型的優點

銀行試圖了解各個不同到期日的資金組群因利率變動所造成的淨利風險暴露時

簡易可行

具有資訊價值

slide17

資金淨利的變動量

ΔNIIi=Change in net interest income in the ith bucket

GAPi=Dollar size of the gap between the book value of rate-sensitive assets and rate-sensitive liabilities in maturity bucket i

ΔRi=The change in the level of interest rates impacting assets and liabilities in the ith bucket

ΔNIIi=(GAPi)×(ΔRi)

=(RSAi-RSLi)×(ΔRi)

nii i gap i r i rsa i rsl i r i

Ex.一天期的資金缺口GAP:負一千萬美元

利率 資金淨利

一天期的資金缺口GAP:正

利率 資金淨利

ΔNIIi=(GAPi)×(ΔRi)

=(RSAi-RSLi)×(ΔRi)

  • 累積資金缺口CGAP
  • CGAP = (-10)+(-10)+(-15)+20= -15million
  • 利率上升1%
  • ΔNIIi = (CGAP) × (ΔRi)
  • = (-15million) × (0.01) = - $150000
rsa and rsl

RSA and RSL

Rate sensitivity

An asset or liability is repriced at or near current market interest rates within a maturity bucket

rate-sensitive assets RSA

利率敏感性資產

rate-sensitive liabilities RSL

利率敏感性負債

slide21

累積資金缺口 CGAP

CGAP=RSA - RSL

=(50+30+35+40) - (40+20+60+20)=15百萬美元

累積資金缺口佔銀行總資產額百分比

CGAP/A=15百萬美元/270百萬美元=5.6%

兩點涵義

The direction of the interest rate exposure

The scale of that exposure as indicated by dividing the gap by the asset size of the institution

cgap effect

CGAP Effect

  • CGAP Effect
  • ΔNIIi=〈GAPi〉×〈ΔRi〉
  • 利率變動為正向時 讓CGAP為正
  • 利率變動為負向時 讓CGAP為負
spread effect

Spread Effect

CGAP Effect + Spread Effect

ΔNII =(RSA ×Δ RRSA)-(RSL ×ΔRRSL)

=($155million ×1.2%)-($155million ×1.0%)

=$310000

spread增加 資金淨利增加

spread減少 資金淨利減少

Rate changes on RSAs generally differ from those on RSLs

slide26

重新定價模型的缺點

1.忽略市價的改變(ignores market value effects)

2.過度加總問題 (overaggregation)

3.Runoff問題 (the problem of Runoffs)

4.資產負債表外的現金流動

(cash flows from off-balance-sheet activities)

overaggregation

+50

0

-50

3 4 5 6

overaggregation

解決方法:

1.縮小分隔時點

2.

runoff the problem of runoffs1
Runoff問題(the problem of Runoffs)

1.原本的CGAP

RSA=50+30+35+40(FRN)=115

RSL=40+20+60+20=140

CGAP=115-140=-25

2.Runoff調整後的CGAP

RSA=50+5+30+35+10+2+40=172

RSL=30+15+40+20+60+20+20=205

CGAP=172-205=-33

其中RSA中mortgages在利率下降時,數值會變大。

maturity model

Maturity model 的缺點

例如MA=ML 皆是一年,但Assets與Liability的現金流量不同。

A t=0 t=1/2 1 year

Loan -100 50+7.5 53.75

L

CD 100 -115

maturity gap 0
Maturity gap=0 仍有利率風險

利率 15% 12%

  • Cash Flow at ½ year

Principal 50 50

Interest 7.5 7.5

  • Cash Flow at 1 year

Principal 50 50

Interest 3.75 3.75

Reinvestment income 4.3125 3.45

  • Total cash flow 115.5625 114.7
duration
存續期間(duration)的意義
  • 存續期間是債券持有人收到現金流量的加權平均發生時間,即債券的加權平均到期期限。
  • 存續期間為利率變動對債券價格之彈性觀念,故為一債券利率風險的衡量指標。
  • 存續期間是債券現金流量之平衡點,故也是進行投資組合免疫策略時不可缺少的工具。
duration1
存續期間(duration)的意義
  • 存續期間是債券持有人收到現金流量的加權平均發生時間,即債券的加權平均到期期限。
  • 加入收帳機率,Pi*C Ft=CF t*
duration2
存續期間(duration)的意義

3. 存續期間為利率變動對債券價格之彈性觀念,故為一債券利率風險的衡量指標。

duration3
存續期間(duration)的意義

4. 存續期間是債券現金流量之平衡點,故也是進行投資組合免疫策略時不可缺少的工具。

macaulay duration
存續期間的公式 Macaulay duration

其中:D 存續期間

CFt 債券在第t期的現金流量

n 債券的到期時間

r 債券的殖利率

P 債券目前的價格

Wt 第t期債券現金流量現值占債券價格(各期現金流量現值加總)之比例,即各期現金流量現值之權重,可表示為:

modified duration
修 正 後 存 續 期 間(Modified Duration)
  • 其中:D mod 修正後存續期間

D  Macaulay存續期間

dollar duration
價 格 存 續 期 間(Dollar Duration)
  • 其中:D dol 價格存續期間
slide40
存續期間的假設
  • 假設殖利率曲線為水平線,或是利率不同變動比率相同
  • .假設債券不具凸性
slide41
存續期間假設產生的問題

1.殖利率曲線並非水平或同比率變動

(比較真實與假設狀況計算的存續期間差異)

slide42
存續期間假設產生的問題

2.凸性(convexity)存在

duration4
不同商品的Duration
  • zero-coupon bond D=M
  • consol bond (perpetuities) D=1+
  • FRN (Floating-Rate Note) D=付息期間
  • Demand deposits and passbook savings
  • Mortgages and mortgage-backed securities
demand deposits and passbook savings
非RSL的理由

1.按規定不須付息

2.雖然NOW有付息,但是相對穩定

3.數量眾多,且相對的穩定,類似FI的核心存款(長期資金來源)

是RSL的理由

1.有間接的費用,但是銀行並沒有其他來源填補。

2.利率上升時,存戶會提款運用於其他工具。

(MMMF)

Demand deposits and passbook savings

解決方法:1.D=turnover per dollar

2.D=0

3.算出利率對上述兩項目的影響

prepayment and liquidity risk
Prepayment and Liquidity Risk

Liquidity risk

Prepayment risk

Liquidity risk

Prepayment risk

CGAP>0

CGAP<0

Prepayment risk:指利率下降時,長期貸款提前還款。

Liquidity risk:指利率上升時,活存減少。

duration5
Duration的影響因子

存續期間與票面利率、到期期間的關係

(YTM = 8%,半年付息一次)

duration6
Duration的影響因子

由上表可以看到

  • Duration and Maturity
  • Duration and Coupon Interest
  • Duration and yield(直接對Duration 微分可得)
duration and immunization
Duration and Immunization
  • (1)Duration Gap

a. the leverage adjusted duration gap=

b. the size of the FI:A

c. the size of the interest rate shock =

2 immunization
(2) Immunization
  • the leverage adjusted duration gap=

=0

a. Reduce DA

b. Reduce DA and increase DL

c. Change k and DL

其它的無法得到避險效果

barbell strategy and convexity
Barbell Strategy and convexity

Strategy 1:D=15 CX=206

Strategy 2:D1=0 CX=0

D2=30 CX=797

D p=½(0)+½ (30)=15

CX p= ½(0)+½ (797)=398.5

3 immunization and regulatory considerations
(3) Immunization and Regulatory Considerations
  • Regulatory 可能會限制k,例如限制資本適足率

此時避險的唯一選擇就是DA= DL

difficulties in applying the duration model to real world fi balance sheet
Difficulties in Applying the Duration Model to Real-World FI balance sheet

(1)Duration Matching Can Be Costly restructuring the B/S is time-consuming and costly take hedging positions in the markets for derivative securities

解決之道:衍生性金融商品的運用

difficulties in applying the duration model to real world fi balance sheet1
Difficulties in Applying the Duration Model to Real-World FI balance sheet

(2)Immunization is a dynamic problem trade-off between being perfectly immunized the transaction costs of maintaining an immunized B/S

解決方法:訂出一個重新審核免疫策略的期間

difficulties in applying the duration model to real world fi balance sheet3
Difficulties in Applying the Duration Model to Real-World FI balance sheet

b. Convexity and duration

(回憶barbell strategy)

difficulties in applying the duration model to real world fi balance sheet4
Difficulties in Applying the Duration Model to Real-World FI balance sheet

c. All fixed-income securities are convex

hedging interest rate risk
Hedging Interest Rate Risk

(1)Microhedging

Using a futures (forward) contract to hedge a specific asset or liability

(2)Macrohedge

Hedging the entire duration gap of an FI

Figure 24-2

The Effects of Hedging on Risk and Expected Return

macrohedging with futures
Macrohedging with futures
  • FI’s net worth exposure to interest rate shocks
  • The sensitivity of the price of a futures contract depends on the duration of the deliverable bond underlying the contract
example24 1 24 2
Example24-1、24-2
  • Consider the following FI where :

DA=5年, DL=3年,

Assets=$100m, Liabilities=$90m,Equity=$10m

Expected Interest rates 10%11%

example24 1 24 21
Example24-1、24-2

Suppose the current futures price quote is $97 per $100 of face value for the benchmark 20-year,8% coupon bond underlying the nearby futures contract, the minimum contract size is $100000, and the duration of the deliverable bond is 9.5 year.

That is:

DF=9.5年, PF=$97000

On Balance Sheet

Off Balance Sheet

example 25 1
Example 25-1

DA=5, DL=3, K=0.9 A=$100m

Rates are expected to rise :

10%11%

Suppose δ=0.5, B=$97000,

D=8.82(underlying bond of the put option)

Cost= Np * Put premium per contract

Cost= 537* $2500 =$1342500

slide68

Interest Rate Swaps

  • The Savings Bank
  • Assets : $100m

Fixed-rate mortgages

  • Liabilities :$100m

Short-term CDs(one year)

  • Money Center Bank
  • Assets : $100m

C&I loans(rate indexed to LIBOR)

  • Liabilities :$100m

Medium-term notes(coupons fixed)

securitization
Securitization

證券化具有強化資金運用效率、提升銀行自有資本適足率、降低資產負債管理成本與利率風險,和促成銀行專業和分工等效益。

alm var
傳統資產負債管理模式(ALM)與VaR系統
  • Asset-Liability Management:

對資產與負債兩者間的利率風險、外匯風險、流動風險等作針對性的管理措施。例如:購置資產時需考慮用什麼方式融資,希望透過適當的管理方式來減低上述多方面的風險。

  • 傳統的利率風險衡量方式,最多只考慮到當利率風險因子變動對投資組合價值的影響,並未考慮到各風險因子本身的波動程度及因子間的相關性。風險值(VaR)模型其主要是利用各風險因子過去的變動,來衡量未來可能產生的風險,不但考慮了傳統衡量方式的要件,並顧及風險因子的波動性及相關性,因此較傳統方式具有優勢。