商业银行利率风险管理的途径

利率风险管理是资产负债管理的重要内容之一,合理的比例指标可将利率风险防范于未然。虽然目前资产负债管理包括银行风险、收益、流动性等方面,但是控制利率风险,增加银行的净利息收入和资产净值仍是资产负债管理的核心内容。我国商业银行结合国际惯例和我国实际,都制定了本行的资产负债管理的办法。实际上,我国商业银行的资产负债管理主要是比例管理。比例管理的重点是资产,尤其是信贷资产。它以控制和化解信贷资产风险为主要任务,而对怎样实现商业银行资产负债的规模、期限、结构等的协调和均衡,并没有相应的管理办法。由于我国对利率的长…     

提高利率风险管理水平 应对利率市场化挑战

利率市场化使商业银行长期潜伏的利率风险逐步浮出水面,给商业银行的经营和风险管理带来严峻的挑战。利率风险主要来源于四个方面:一是重新定价风险,二是收益曲线风险,三是基准风险,四是期权/选择权风险。商业银行资产负债管理的核心,就是确定银行能够承受的利率风险限度,并寻求资产负债在数量、期限、利率方面的协调,将利率风险控制在事先规定的限度内,提高银行净利息收入。我国银行业必须及早采取措施,尽快提升利率风险管理能力,积极应对利率市场化带来的挑战。     

浅析利率市场化对商业银行资产负债管理的影响

利率市场化改革已在我国迈上稳健的脚步,相对于传统的利率市场环境而言,变化巨大。对商业银行而言,利率波动深远的影响着其收益水平和经营风险,利率风险在商业银行风险管理地位也将越来越重要。利率波动直接影响商业银行的资产负债管理,进而引起商业银行净利润及其市场价值波动。笔者通过分析利率市场化对商业银行资产负债的影响,对商业银行优化资产负债管理,提升利率风险管理能力提供参考意见和建议。     

利率风险的衡量与控制

利率风险管理又称利率风险免疫（Ｉｍｍｕｎｉｚａｔｉｏｎ），是指构建或重组商业银行的所持有的资产负债组合方式，使该种组合方式当利率发生变化（无论这种变化是利率上升还是下降）时的收益要至少不小于利率未发生变化时的收益。 利率风险的衡量 利率风险管理实际上是资产负债管理，是指商业银行从资产负债综合管理的角度，根据利率变化的趋势，运用各种工具，设法使银行的净利息收入最大化，银行的净资产价值最大化的管理技术。 利率风险的衡量是利率风险管理的基础，现将有关的利率风险衡量工具作简单介绍： 缺口分析法 利率敏感性资…     

利率市场化下银行资产负债管理策略探讨

本篇文章首先对利率市场化下银行资产负债管理受到的主要影响进行阐述,从资产负债结构不合理、资产负债管理方式较为滞后、利率风险管理水平偏低三个方面入手,对当前商业银行资产负债管理存在的问题进行解析,并以此为依据,提出利率市场化下银行资产负债管理策略.希望通过本文的阐述,可以给相关领域提供些许的参考.     

银行账户利率风险国际新监管改革的实施与挑战

随着利率市场化的不断推进,利率风险管理在商业银行资产负债管理和风险防控中的重要性不断增强。本文对巴塞尔委员会最新发布的《银行账户利率风险监管标准》主要改革内容进行了深入分析,并结合目前我国商业银行实践,剖析了商业银行实施新监管标准面临的难点,建议商业银行借新监管标准实施之际,尽快开展银行账户利率风险管理升级工作,将利率风险纳入全面风险管理体系,全面提升银行账户利率风险管理水平。     

利率市场化形势下提升银行资产负债管理水平的思考

随着我国利率市场化进程的一步步深化,市场竞争环境进一步复杂激烈,市场风险加大,银行业迎来更多不确定的风险,银行的资产负债管理水平面临考验。利率市场化下,银行资产负债管理难度加大,利差收益面临收窄,流动性风险进一步加大等不利因素众多。针对这些影响,本文提出了树立科学的资产负债管理理念,优化资产负债结构,提高风险计量水平,加强总行对分支行利率定价监管及引导作用,以及加强资产负债管理精英团队建设等建议。     

利率市场化条件下我国商业银行资产负债管理技术研究

随着货币市场的完善和利率市场化的发展,利率对我国商业银行收益水平的影响开始显现,适时引入资产负债管理技术对我国商业银行盈利水平的提高具有重要的现实意义和应用价值。本文以我国部分商业银行收益状况分析为基础,通过对目前国外主要资产负债管理技术的回顾,提出了符合我国国情的商业银行资产负债管理技术策略。     

中小银行银行账簿利率风险管理的现状及应对--以苏州地区为例

随着利率市场化的不断深入,银行账簿利率风险监管不断升级,利率风险管理在资产负债管理和风险防控中的重要性不断增强,提升银行账簿利率风险管理能力,是国内中小商业银行亟需研究的一项重大课题。本文总结了国际监管的历史演变、国内监管要求及其变化,调研了苏州地区中小法人银行的管理现状,分析了其面临的主要挑战,并给出了应对措施,以期有利于中小银行全面提升银行账簿利率风险管理水平。     

利率市场化趋势下商业银行资产负债管理的应对之策

利率风险管理是商业银行资产负债管理的核心职能，利率市场化势必给商业银行的资产负债管理带来新的挑战。与国外银行相比，处于利率管制环境下开展业务的我国商业银行在此方面存在着较大的不足，笔者详细分析了我国商业银行在资产负债管理方面的现实差距，并提出了利率市场化趋势下的应对之策。     

利率市场化对中国商业银行经营效率的影响

本文基于利率市场化背景,对中国商业银行的经营效率进行研究。文章聚焦商业银行经营效率的理念,针对发达国家利率市场化过程中商业银行经营效率体现的特征进行归纳,并结合我国利率市场化背景下商业银行经营业绩指标进行分析,最后提出从经营理念、业务结构、客户选择、资产负债管理、成本控制、风险管理等六方面提高商业银行管理水平,优化商业银行经营效率。     

On the independence of assets and liabilities: Evidence from U.S. commercial banks, 1990–2005

Traditional asset–liability management techniques limit banks’ abilities to structure their balance sheets—but more recently, financial innovations have allowed banks the chance to manage interest rate risk without constraining their asset–liability choices. Using canonical correlation analysis, we examine how the relationships between asset and liability accounts at U.S. commercial banks changed between 1990 and 2005. Importantly, we show that asset–liability linkages are weaker for banks that are intensive users of risk-mitigation strategies such as interest rate swaps and adjustable loans. Perhaps surprisingly, we find that asset–liability linkages are stronger at large banks than at small banks, although these size-based differences have diminished over time, both because of increased asset–liability linkages at small banks and decreased linkages at large banks.     

金融新常态对中小银行资产负债管理的挑战

经济金融环境的变化对中小商业银行资产负债管理提出了挑战。在对中小银行的特征进行分析的基础上,明确其优势和劣势,并从利率市场化、存款保险制度、互联网金融、金融创新、巴塞尔协议Ⅲ五个角度,探讨金融新常态对资产负债管理的冲击。最后,提出完善中小银行资产负债管理的建议,推动中小银行从资产负债的“被动管理、分离管理、表内管理”向“主动管理、统一管理、全面管理转变”。     

Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation

The widespread notion that commercial banks “borrow short and lend long” implies that sharp market interest rate increases may induce a significant number of banking failures. This paper develops a method for estimating average asset and liability maturities for a sample of large money center banks. Regression models are tested to determine if market rate fluctuations have a significant impact on bank profitability. The conclusion is negative: large banks have effectively hedged themselves against market rate risk by assembling asset and liability portfolios with similar average maturities.     

客户关系与现代商业银行资产负债管理

现代商业银行资产负债管理的基本理念是以客户为中心,在不影响客户关系的基础上实现资产负债管理的目标,提出利用金融工程的剥离技术,将利率风险和部分信用风险从银行资产负债组合中剥离出来,运用套期保值技术协调风险控制和客户关系.本文指出传统商业银行资产负债管理的最大缺陷并论证了客户关系在现代商业银行资产负债管理中的重要地位.     

Bank funding stability,pricing strategies and the guidance of depositors

Banks face a ‘behavioralization’ of their balance sheets since deposit funding increasingly consists of non-maturing deposits with uncertain cash flows exposing them to asset liability (ALM) risk. Thus, this study examines the behavior of banks’ retail customers regarding non-maturing deposits. Our unique sample comprises the contract and cash flow data for 2.2 million individual contracts from 1991 to 2010. We find that contractual rewards, i.e., qualified interest payments, and government subsidies, effectively stabilize saving behavior and thus bank funding. The probability of an early deposit withdrawal decreases by approximately 40%, and cash flow volatility drops by about 25%. Our findings provide important insights for banks using pricing incentives to steer desired saving patterns for their non-maturing deposit portfolios. Finally, these results are informative regarding the bank liquidity regulations (Basel III) concerning the stability of deposits and the minimum requirements for risk management (European Commission DIRECTIVE 2006/48/EC).     

商业银行动态收益管理研究——基于资产负债管理视角的在险收益分析(EaR)

以利息收入分析为主的收益管理是商业银行资产负债管理的重要内容,是商业银行经营管理的核心所在。动态收益管理是指通过模拟未来资金计划情景及利率情景来预测和管理未来收益状况,并为管理层决策提供支持。本文从商业银行资产负债管理的角度,分析国外商业银行收益管理从静态管理——期限收益法到动态管理——在险收益分析(Earning at Risk)的演变,并进一步探讨我国商业银行实施动态收益管理的必要性及应当注意的问题。     

Deposit Insurance and Forbearance Under Moral Hazard

We study the efficacy of forbearance using a real options approach. Our model endogenizes moral hazard embedded in credit risk undertaken by the bank. The bank's interest rate risk is modeled as duration mismatch. Other modeling improvements over previous studies include such features as stochastic interest rates and deposits, continuous interest payments on an ongoing deposit portfolio, and a stochastic forbearance period. We find that the bank does have an incentive to engage in undue risk taking. Even in the presence of moral hazard, however, forbearance can still be a desirable course of action in reducing the FDIC's expected liability. In addition, the capital ratio plays an extremely important role in determining the fair insurance premium. Finally, using the mismatch of asset and deposit durations as the correct measurement of interest rate risk, our model reveals that an optimal asset variance may exist for a particular bank, contrary to what the contingent claims framework would predict. Therefore, we resolve the puzzle that banks in practice do not increase asset risk to take full advantage of the limited liability.     

Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign and Inter-Bank Risks

In this study we present a comprehensive forward‐looking portfolio simulation methodology for assessing the correlated impacts of market risk, private sector and Sovereign credit risk, and inter‐bank default risk. In order to produce better integrated risk assessment for banks and systemic risk assessments for financial systems, we argue that reasonably detailed modeling of bank asset and liability structures, loan portfolio credit quality, and loan concentrations by sector, region and type, as well as a number of financial and economic environment risk drivers, is required. Sovereign and inter‐bank default risks are increasingly important in the current economic environment and their inclusion is an important model extension. This extended model is demonstrated through an application to both individual Brazilian banks (i.e., 28 of the largest banks) and groups of banks (i.e., the Brazilian banking system) as of December 2004. When omitting Sovereign risk, our analysis indicates that none of the banks face significant default risk over a 1‐year horizon. This low default risk stems primarily from the large amount of government securities held by Brazilian banks, but also reflects the banks' adequate capitalizations and extraordinarily high interest rate spreads. We note that none of the banks which we modeled failed during the very stressful 2007‐2008 period, consistent with our results. Our results also show that a commonly used approach of aggregating all banks into one single bank, for purposes of undertaking a systemic banking system risk assessment, results in a misestimate of both the probability and the cost of systemic banking system failures. Once Sovereign risk is considered and losses in the market value of government securities reach 10% (or higher), we find that several banks could fail during the same time period. These results demonstrate the well known risk of concentrated lending to a borrower, or type of borrower, which has a non‐zero probability of default (e.g., the Government of Brazil). Our analysis also indicates that, in the event of a Sovereign default, the Government of Brazil would face constrained debt management alternatives. To the best of our knowledge no one else has put forward a systematic methodology for assessing bank asset, liability, loan portfolio structure and correlated market and credit (private sector, Sovereign, and inter‐bank) default risk for banks and banking systems. We conclude that such forward‐looking risk assessment methodologies for assessing multiple correlated risks, combined with the targeted collection of specific types of data on bank portfolios, have the potential to better quantify overall bank and banking system risk levels, which can assist bank management, bank regulators, Sovereigns, rating agencies, and investors to make better informed and proactive risk management and investment decisions.