【正文】 Cu mu lativ e i n t er es t r ate g ap 16 16 5 3 15 13 0 7 New Models for Asset and Liability Management May 2023 ALM indicators (2) ? The breakeven point is often associated with the interest rate gap. ? The Interest rate breakeven is the average interest rate cost of the assets and the liabilities. There is a break even for each future maturity. ? The breakeven point allows the prediction of the pany ine (without new production) ? Revenue sensitivity ? The sensitivity indicator measures the impact on future ines of interest rate movements with a set of possible future scenarios. ? Sensitivities are puted around a central scenario that could represent the forward market scenario or the internal pany budget scenario. ? The main interest in puting ine sensitivities is to introduce the new productions into the indicator. ? Interest rate gaps present a static vision of interest rate risk for the Banking Book. Gaps represent a picture of the Balance Sheet amounts at a given date and their extinction across time. ? The economic capital is a new kind of indicator designed to resume the ALM risks in one number: the amount of capital to charge for ALM risks ? The putation is often based on the interest rate gap position using a VaR or ES methodology ? ?ye a r 1ye a r 1ye a r 1f or e c a s t ye a r 1 E v e nB r e a k r a t e DD F o r e c a s t e a p IRI n c o m eB o o k IR ??y e a r 1 y e a r 1y e a r 1y e a r 1y e a r 1y e a r 1 g a p r a t eI n t e r e s t A s s e t s IR F T P .A s s e t s F i x e dsL i a b i l i t i e IR F T P .sL i a b i l i t i e F i x e dE v e nB r e a k ??8 New Models for Asset and Liability Management May 2023 ALM Indicators contradictions ? The indicators will sometimes give contradictory information ? For example, on this Balance sheet, the interest rate gap could be equal to zero ? Credits 10 years amortising ? Demand deposit convention amortising 10 years ? But the revenue sensitivity is not equal to 0 ? What should the A/L Manager do? A m o u n t Ra te A m o u n t Ra teCred i ts 100 5 ,0 0 % De m a n d d e p o s i ts 100 0 ,0 0 %L i a b i l i ti e sA s s e tsCent r al S c en arioInt eres t rate d ec r ea s es c en ario S en s i ti v i tyY 5,0 5,0 0,0Y + 1 5,0 4,9 0,1Y + 2 5,0 4,8 0,2Y + 3 5,0 4,7 0,3Y + 4 5,0 4,6 0,4Y + 5 5,0 4,5 0,5Rev en ue9 New Models for Asset and Liability Management May 2023 Models in ALM: Issues and typology Modelling issues ? Business issues ? Customer option pricing ? Marketing campaigns ? Fund Transfer Price (FTP) modelling propositions ? Interest rate risk indicators Liquidity risk indicators ? IR Liquidity gaps ? Interest rate sensitivities ? Stress Tests, Economic Capital ? ALM Management ? Market operations ? ALM Strategies diversification ? Accounting Regulatory issues ? Fair Value putations ? Reserves putation … Models typology ? Credit modelling ? Prepayment / Renegotiation / Extension on Credits ? Default (PD and LGD impact on interest rate gap) ? Explicit options (. caps…) ? Residual value (Leasing products) ? Products without contractual maturity modelling ? Demand deposits amount projection ? Volume effects on existing products (Arbitrage between savings and demand deposits) ? Correlation between customer rates and market rates ? Offbalance sheet modelling ? Probability of using a credit line ? New production modelling ? Payment delays (delay between market rates and customer rates) ? New production modelling (Volume effects, wealth effects…) 10 New Models for Asset and Liability Management May 2023 ALM Models weaknesses ? Models Poverty ? New production is often modelled through an hypothesis of “Stability of the amounts” ? Too many models to develop ? “Every simple model is false but every plicated model is useless.” ? Mismatch between accounting value and economic value ? Balance sheet are accounted at historical cost not at Faire Value ? Huge mistakes : VaR management and ALM ? Demand deposit conundrum ? “Replicating Portfolio technique” an “historical cost” technique ? Jarrow van Deventer’s (1998) fairvaluebased technique ? Banks pay more attention to the demand deposit ine at amortized cost than to the variations of the demand deposit fairvalue. ? Absence of Backtesting ? Not parable with Trading Room 11 New Models for Asset and Liability Management May 2023 ALM IT development ? Companies will have the capacity with limited IT costs to store more and more information on their customer behaviour. ? The capacity of analyzing Balance Sheets information will empower in the future. ? Examples taken from the Banking Industry ? Millions of current accounts ? Monthly information (on 10 years for instance) ? Databases were aggregated in the past: ? New unitary databases: Mon t h ofo b se rv ati o nN u mb er ofac co u n t sA m o u n ti n €C u sto merse g men tGen era t i o nC u sto merca t eg o ry2 00 5 0 3 2 00 5 0 41 95 9 0 7 T4 R etai l 2 2 1 7 7 ,0 0 1 ,0 0 2 5 0 9 6 ,0 0 1 ,0 01 95 9 0 7 T6 Prof e ss ional s 0 ,0 0 0 ,0 0 0 ,0 0 0 ,0 01 96 5 0 9 A2 Prof e ss ional s 9 8 9 6 ,0 0 1 ,0 0 9 6 6 3 ,0 0 1 ,0 01 96 7 0 1 T1 C orp orate 0 ,0 0 0 ,0 0 4 3 5 0 ,0 0 1 ,0 0Custo merID G e ner a t ionCusto mers e