DURATION,DEFAULT RISK,AND THE TERM STRUCTURE OF INTEREST RATES

We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer or shorter than default‐free bonds depending on the relation between default intensity and interest rates. Empirical evidence indicates that in most cases duration for defaultable bonds is much shorter than for their default‐free counterparts because of the negative relation between default risk and interest rates. Results suggest that the duration measure must be adjusted for the effects of default risk and stochastic interest rates to achieve an effective bond portfolio immunization.     

DURATION AND INTEREST RATE RISK FOR UNCERTAIN CASH FLOW STREAMS

This paper amends the Hicks-Macaulay-Samuelson duration analysis to allow for uncertainty in asset cash flows. An asset's duration measure then becomes a random variable which may possess no central moments. We show, however, that a transformed version of the duration measure is normally distributed. This can be used to make probability assessments of the sensitivity ofthe present value of an asset's cash flow stream to interest rate movements.     

BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE

In 1993, the Basle Committee on Banking Supervision considered whether to incorporate interest rate risk in risk-based capital requirements for international banks. At issue was whether a bank's interest rate risk varies with the country of concern. While the effects of interest rate movements on U.S. banks are well documented, the effects on banks from other countries are not. We find that bank interest rate risk varies among countries, which supports the need to capture interest rate risk differentials in the risk-based capital requirements. We also find that non-U.S. bank values are sensitive not only to domestic interest rates, but to international interest rates as well.     

DURATION,IMMUNIZATION, AND HEDGING WITH INTEREST RATE FUTURES

The recent advent of the interest rate futures markets has greatly enriched the hedging opportunities of market participants faced with undesired interest rate risk. The variety of futures contracts presently spans a number of instruments with different risk, maturity, and coupon characteristics. This paper modifies the concept of duration and extends the duration hedging approach to cases where futures contracts are used as the hedging instrument. The derived hedge ratios take into account differences in coupon, maturity, and risk for three different regimes. Usage of these hedge ratios should lead to more efficient hedging of interest rate risk.     

利率市场化的“势”与“行”——利率市场化的渐进式革新

利率市场化改革如何推进需要大智慧,作为经济市场化的必然选择,利率市场化需要各方经济体做好合理而有效的应对。市场化之“势”已然确立,各相关方需深思而缓行。     

INTEREST RATE RISK AND EQUITY VALUES OF HEDGED AND UNHEDGED FINANCIAL INTERMEDIARIES

This paper uses an approach developed by Flannery and James to show that interest rate changes have different effects on equity values of hedged and unhedged financial institutions. Equity values of (generally unhedged) savings and loans are significantly more sensitive to unexpected interest rate changes than equities of (generally hedged) commercial banks. The interest rate sensitivity of (generally hedged) life insurance equities is similar to that of bank equities. Overall, the equity values of unhedged financial institutions are more sensitive to interest rate changes than the equity values of financial institutions that more closely balance the maturities of their assets and liabilities.     

商业银行二级分行利率风险管理机制探索

利率风险是客观存在的一种经济金融现象 ,具有独特的运动轨迹。商业银行利率风险运动的特点主要有不确定性、频繁性、隐蔽性、转嫁性和差异性。工商银行现行经营管理体制还存在着许多矛盾和问题 ,表现为资金定价和利率决策机制不完善 ,没有利率风险预警系统 ,缺乏有效的利率风险控制和规避工具 ,利率风险管理的人才和技术贫乏等。构筑二级分行利率风险管理机制的基本思路包括 :解放思想 ,切实解决认识障碍 ;创建利率风险识别和预警系统 ;建立利率风险防范、规避、隔离和损失抵补体系 ;建立适应利率市场化要求的资金定价与调整机制 ;加强利率风险管理的责任考核与激励等。     

RISK AND HEDGING BEHAVIOR: THE ROLE AND DETERMINANTS OF LATENT HETEROGENEITY

The notion of heterogeneous behavior is well grounded in economic theory. Recently it has been shown in a hedging context that the influence of risk attitudes and risk perceptions varies for different segments using a generalized mixture regression model. Here, using recently developed individual risk attitude measurement techniques and experimental and accounting data from investors with differing decision environments, we examine the determinants of heterogeneity in hedging behavior in a concomitant mixture regression framework. Allowing for latent heterogeneity, we find that risk attitudes and risk perceptions do not influence behavior uniformly and that the heterogeneity is influenced by manager's focus on shareholder value and the firm's capital structure.     

在利率市场化条件下构建商业银行的利率风险防范机制

利率风险是由于利率随市场规律波动而引起银行收益的变动。按照风险形成的原因 ,利率风险可以划分为缺口风险、基差风险、期权风险和贴水风险。利率市场化是我国金融管理体制的重大改革 ,它将推动商业银行加强集约化经营 ,加强成本核算 ,补充资本金 ,提高抗御风险的能力 ,为业务创新提供条件和动力。建立我国商业银行的利率风险防范机制要参照《巴塞尔协议》的有关原则 ,借鉴国际商业银行的成功经验 ,建立先进的利率信息系统、高效的利率管理机制和科学的利率风险管理模式 ,并要加快商业银行改革 ;管理利率风险的根本途径是发展金融工程 ,为此 ,商业银行应及早制订金融工程发展战略。     

利率市场化与利率改革的具体步骤

本文从分析利率市场化对于宏观经济调控和宏观金融改革的意义着手,利用实证分析和规范分析相结合的方法,借鉴国外的金融发展理论,分析了利率市场化和金融深化的关系、利率调整和经济增长的关系、利率调整和储蓄的关系,同时结合当前的宏观经济金融形势,指出了利率市场化与国有企业改革和商业银行改革之间的互动关系.作者认为,在现阶段应稳住存款利率,在一定程度放开贷款利率,由商业银行根据中央银行确定的存款利率、自身头寸、企业资信和项目风险状况进行贷款定价;同时采取措施促使国内利率市场化的条件不断完备,以完善一块放开一块的基本思路,最终实现金融国际和金融市场化.     

COMMERCIAL BANK RISK: MARKET,INTEREST RATE,AND FOREIGN EXCHANGE

Because of recent structural changes in the balance sheets of banks, regulatory changes in the risk-based capital requirements, and the recent adoption of mark-to-market accounting changes, interest rate risk remains an important issue for commercial banks and an important regulatory concern. Market, interest rate, and foreign exchange risk are estimated for a sample of commercial banks using ordinary least squares from 1986 to 1991. Consistent with earlier studies, the estimated coefficients continue to be unstable. We find that interest rate risk decreases and foreign exchange risk increases. Moreover, the results differ depending on practices of the bank (money center, superregional, or regional). We find evidence consistent with earlier studies that theorize foreign exchange risk is explained by unhedged foreign loan exposure.     

INTEREST RATE RISK HEDGING FOR DUE-ON-SALE MORTGAGES WITH EARLY TERMINATION

The impact of random early termination on the interest rate elasticity and the related implications of hedging a mortgage security are examined. The common approach to computing duration using average mortgage life is shown to be biased and insufficient. Because the prepayment distributions of mortgages tend to have wide dispersions, substantial errors result from using average mortgage life. These results are also applicable to other financial obligations subject to prepayment.     

走过利率市场化的经济体之鉴

目前,中国利率市场化改革取得了两方面进展：一是放松利率管制,推动金融机构自主定价,实现“贷款利率管下限、存款利率管上限”的阶段性目标;二是发展和完善市场利率体系,初步建立了以上海银行间同业拆放利率为代表的短期基准利率体系和以国债收益率为代表的中长期基准利率体系。最近,“十二五”规划纲要明确提出,     

INTEREST RATE RISK,MARKET VALUE,AND HEDGING FINANCIAL PORTFOLIOS

This paper derives theoretical hedge ratios for the financial portfolio that preserve its present value in the presence of interest rate risk. From a practical point of view and for any given portfolio, the existence of the financial futures market allows the investor to employ any of a number of different hedges, each of which approximately satisfies the theoretical condition. The theory indicates that wealth-preserving hedges depend on the interest elasticities (durations) of the spot assets and liabilities contained in the portfolio, portfolio leverage, and the interest elasticity (duration) of the financial instrument underlying the futures contract that is employed in constructing the hedge. Also, hedges designed to maintain net interest margin or net cash flow do not minimize exposure to interest rate risk.