商业银行管理2-manage interest rate risk

interest rate fundamental基础知识、asset-liability management strategy、interest-sensitive/repricing gap model。

4-manage interest rate risk(1)

• interest rate fundamental基础知识
  • nominal interest rate
    • actually observed
      • affect the value/price of security
      • affect relationship between spot & forward rate
  • rate determination
    • loanable funds theory 可贷资金理论
      • 新古典学派的利率决定理论： 储蓄者的储蓄供给资金，投资者的投资需要资金，供给和需求决定了利率水平
      • supply
        • 提供方：net supplier
          • largest supplier:household
        • 关系：positive with interest rate 利率上升，贷款利息高，资金供给者变多
      • demand
        • 提供方：net demander
          • largest demamder:business
            • business是数额最大的S/D，但是归类要看它的net fund cash flow
        • 关系：negative with interest rate 利率上升，要还更多的钱，所以需求者变少
      • equilibrium
        • 1、利率最终都会变成均衡利率。 当i大于ie,供大于求，利率（货币价格）下降；反之也成立  2、曲线变化：供给增加，利率下降；需求增加，利率上升 
  • component组成
    • • IP:inflation premium
        • measure:consumer price index(CPI)
          • 
      • RFR: real risk-free rate
        • measure: time preference for consuming today rather than tomorrow
          • meaning: the higher society's preference to consume today, the higher RFR will be
      • common
        • fisher effect：为了补偿通货膨胀和先前消费
          •  当RFR和IP过小时，两者相乘可以忽略
      • DRPj:default risk premium of j
        • check if security is late/payment is missing
        • measure: 其中iTt为基准证券（国债）
      • LRPj:liquidity risk premium of j
        • check if 不能在短时间内迅速变现，而是通过折价销售的方式兑钱
      • SCPj:special feature(特别条款) premium of j eg.call option提前赎回
      • MPj:matuirity premium of j
        • measure:change of maturity, and it can be positive/negative/zero
          • net interest margin 净息差: (investment income-investment expense)/earning asset
            • upward-sloping yield curve对bank有利，因为通常拥有longer-term asset & shorter-term liability
      • unique
  • measurement
    • money market yield (期限小于一年的)
      • bond equivalent yields (BEY)
        • • Pf: face value P0: purchase price n:number of days until maturity
      • discount yields/rate (DR)
        • DR是个处理过的衡量方式，但为何还一直在使用？ 以前没有计算器的时候，100的面额和360的天数都有利于手算，长久以来就变成了一种传统
    • yield to maturity(YTM)
      • definition:discount rate 使未来产生的现金流等于现在市场价格的一种折现率
• asset-liability management strategy
  • asset
    • only control over asset,no liability
  • liability
    • only control over liability,no asset
    • tool:changing rate/price
    • aim:construct a low-cost/withdrawal risk liability portfolio
  • funds
    • include both asset & liability
• interest-sensitive/repricing gap model
  • introduction
    • book value cash flow gap between rate-sensitive asset(RSA) and rate-sensitive liability(RSL)
      • 和基于市值的duration model不同
      • rate-sensitivity:time to repricing 如果利率敏感，重新定价所需的时间就短
  • risk identification 是否为风险相关/无关的资产/负债
    • RSA
      • short-term security(about to mature)
        • unsensitive 1、cash in vault/deposit at the central bank 2、long-term loan/security 3、building/equipment
      • short-term loans(about to mature)
        • 特殊情况： 虽然是长期贷款，但它的调整日在给定的时间区间内，这也算RSA eg. 30-year floating-rate mortgages (adjusted every nine months) in 1-year marturity bucket
    • RSL
      • short-term saving account
        • unsensitive 1、demand deposit 不支付利息所以不受影响 2、long-term saving 3、equity capital by FI's owner 4、transaction account(基金账户) & passbook(存折)saving account
      • money-market deposit/borrowing from money market (eg.federal funds)
  • interest-sensitive gap model
    • model
      • NII is net interest income
        • alternative: interest sensitivity ratio(ISR)
          • ISR>1:a-sensitive ISR<1:l-sensitive ISR=1:no interest rate risk
    • cumulative gap
      • CGAP就是累计版gap, it's a overall measure of risk exposure
    • gap ratio
      • the scale of exposure
  • ad & disad
    • ad:simple & information value
    • disad
      • market value effect (ignore market value change)
      • over-aggregation
        • mismatch：将不同maturity的现金流笼统地归到一个篮子里面 时间越短，预测利率风险敞口越精确
      • runoff & repayment
        • payment that reinvests, 即使是ISA，其现金流也是敏感的
      • off-balance-sheet effect (ignore CF from OBS)