chap2利率風(fēng)險(xiǎn)管理(2)-文庫(kù)吧資料
2025-03-04 14:48本頁(yè)面
【正文】 資產(chǎn) 負(fù)債 1. 短期消費(fèi)貸款（ 1年期） $50 1. 股權(quán)資本（固定） $20 2. 長(zhǎng)期消費(fèi)貸款（ 2年期） 25 2. 活期存款 40 3. 3個(gè)月的國(guó)庫(kù)券 30 3. 存折儲(chǔ)蓄存款 30 4. 6個(gè)月的中期國(guó)庫(kù)券 35 4. 3個(gè)月期大額可轉(zhuǎn)讓存單 40 5. 3年期長(zhǎng)期國(guó)債 70 5. 3個(gè)月期銀行承兌匯票 20 6. 10年期固定利率抵押貸款 20 6. 6個(gè)月期商業(yè)票據(jù) 60 7. 30年期浮動(dòng)利率抵押貸款 （每 9個(gè)月調(diào)整一次利率） 40 7. 1年期定期存款 20 8. 2年期定期存款 40 $270 $270 RSA與 RSL的利率變化相同時(shí) ， CGAP對(duì)利率變化和凈利息收入（ NII）變化之間關(guān)系的影響 一般來(lái)說(shuō)，當(dāng) CGAP為正時(shí)， NII的變化與利率變化正相關(guān)；當(dāng)CGAP為負(fù)時(shí)，即使 RSA與 RSL的利率上漲幅度相同，也會(huì)帶來(lái) NII的下降。 銀行通過(guò)計(jì)算資產(chǎn)負(fù)債表上每項(xiàng)利率敏感性資產(chǎn)（ RSA）和利率敏感性負(fù)債（ RSL），來(lái)報(bào)告每一組期限內(nèi)的再定價(jià)缺口。(債券價(jià)格與收益成反比） An increase in a bond’s yield to maturity results in a smaller price change than a decrease in yield of equal magnitude. （債券的到期收益率升高會(huì)導(dǎo)致其價(jià)格變化幅度小于等規(guī)模的收益下降） 2023/3/19 17 Interest Rate Sensitivity Prices of longterm bonds tend to be more sensitive to interest rate changes than prices of shortterm bonds. （長(zhǎng)期債券價(jià)格對(duì)利率變化的敏感性比短期債券更高） The sensitivity of bond prices to changes in yields increases at a decreasing rate as maturity increases. In other words, interest rate risk is less than proportional to bond maturity.（當(dāng)?shù)狡跁r(shí)間增加時(shí)，債券價(jià)格對(duì)收益率變化的敏感性以下降的比率增加，即：利率風(fēng)險(xiǎn)與債券到期時(shí)間不對(duì)稱(chēng)） 2023/3/19 18 Interest Rate Sensitivity ? Interest rate risk is inversely related to the bond’s coupon rate. Prices of lowcoupon bonds are more sensitive to changes in interest rates than prices of highcoupon bonds （利率風(fēng)險(xiǎn)與債券息票率成反比。 it offers an expected rate of return of 7% versus the 5% riskfree return on the 1year bond. At this risk premium, investors are willing to bear the price risk associated with interest rate uncertainty. When bond prices reflect a risk premium, however, the forward rate, f2, no longer equals the expected short rate, E(r2). Although we have assumed that E(r2)=6%, it is easy to confirm that f2=8%. The yield to maturity on the 2year zeros selling
教學(xué)課件相關(guān)推薦
鄂ICP備17016276號(hào)-1