第八章 利率风险.ppt

1、英特尔速率风险，章节8，风险管理标准，版权所有c.hull，1， 8.1 netinterestincome管理=interest received-interestpaidconsiderasimplesituationwhereabankoffersconsumersaone-yearand ve-year mortgage rate.theratesareshownintable8. 1:riskmanagementandfinancialinstitutionns copyright John c.hull，2， table8.1exampleofratesofferedbyabank

2、toitscustomers，请求3360 (1)散热(2)散热机箱管理its risks？ 和， assumption : marketparticipantsexpecttheone-yearinterestrateforfuturetimeperiodstoequaltheone-yearratesprevailing ay.suppo ldyouchoosetodeposityourmoneyforoneyearat3% perannumorfiveyearat3% perannum，ifdepositoneyear 3360 (13 % ) (13 % )=(13 % ) 5 ifd

3、epositfiveyear 33605 somostcustomerswouldchooseoneyearbecausethisgivesthemmorefinancialflexibility.ittiesuptheirfundsforash 是的，nowsupposethatyouwantamortgage.wouldyouchooseaone-yearmortgageat6% ora光纤- yearmortgageat6%。 一年移动3360 (16 % ) (16 % )=(16 % ) 5 five-yearmortte5somostwouldchooseafive-yearmor

4、tgagebecauseitfixesyourborrowingrateforthenextfiveyearsandsubjectsyoutolessre 由于选择了5年的贷款，导致银行资产和负债的不整合(短债长放现象)，给净收入利息带来风险影响。 利率下降时，贷款利率下降6%，存款利率下降3%，利息收入增加。 利率上升的话，贷款利率会超过6%，存款利率会超过3%，利息收入会减少。 总结、解决方案：实现资产负债的比对。表8-2提高5年利率以实现资产负债匹配，8.2 LIBOR Rates and Swap Rates，LIBOR rates are 1-，3-，6-、 and 12-month

5、borrowingratesforcompaniesthathaveaaa-ratingswapratesarethefixedratesexchangedforfloatinaninterestrateswate ent riskmanagementandfinancialinstitutions，版权所有c.hull，9，资料： liborratesandshiborratesliborratesareprovidedbybritishbank . thebbaistheleadingtradeassociationfortheukbankingandfinancialservicesse

6、ctor.wespeakforover 200 memberbanksfrom 60 countries全功能lbankingissues. understandingbbaliborliborratescloselyreflecttherealratesofinterestbeingusedbytheworldslargestfinancialinstitu 恩格兰德银行，超现代服务中心银行) fixofficialbaseratesmonthly。 liborreflectstheratesatwhichtheseprimebanksborrowmoneyfromeachothereach

7、day。 inth eworld s 10大型计算机15博罗wingperiodsrangfromovernightloansto 12 month.once计算机。 theliborfiguresarethenpublishedbythomsonreuters 3360 theyappearonmorethanonemillionscreensaroundtheworldandarewidelyreportedin thewireservicesandonline.thomsonreutersundertakesthisworkforthebritishbankersassociation

8、. howisitcalculation eachdayat 11336000 hrslondontimethebankswhichcontributetothelibor-settingprocesssendtheirinterbankborrowingra nreuters.thomsonreutersdiscardsthehighestandlowestcontributions (thetopandbottomquartiles )和dthenusesthemiddletwoquartilesto newzealanddollarandswedishkronepanelshaveeig

9、htbanks，thecanadiandollarandswissfrancpanelshave 12 banks.the sterling yenandeuropanelshave 16 membersandtheusdollarpanelhas 19 members.eachfollowsthesameprocedureofdiscardingtheupperandlowerquartiiiiiii quartilestocreatearate .how did it become so导入？ liborwasfirstdevelopedinthe 1980 sasdemandgrewfo

10、ranaccuratemeasureoftherateatwhichbankswouldlendmoneytoeachother.thisbecamei NCR nsstatusgrewasaninternationalfinancialcentre.more than 20 percentofallinternationalbanklendingandmmmd n 30 percentofallforeignexchan cein London.liborratesarethebasisforarangeoffinancialinstruments : deed tivesbasedonth

11、eliborratesarenowtradedonexchangessuchan aswellasover-the-counter.theratesarealsousedasthebasisformanytypesoflending，fromsyndicatedandcommerciallending to residential SHIBOR rates Shibor的全名是“上海银行间同行分期利率”(SHIBOR )，中国称为SHIBOR的SHIBOR是由信用等级高的银行组成的报价团自愿报告的人民币同行分期利率修订现在，在社会上公布的Shibor品种为隔夜、1周、2周、1个月、3个月、6个

12、月、9个月和1年。 上海的前16行是工商银行、农业银行、中国银行、建设银行、交通银行、兴业银行、浦发银行、北京银行、上海银行、招商银行、光大银行、中信银行、南京商务、德国上海、汇丰上海、打渣上海。 2010年5月，广发银行也成为了SHIBOR基准利率交换业务估算行。、whyswapratesareanaverageofliborforwardrates。 abankcanlendtoaseriesaa-ratedborrowersfortensuccessivessixmonthperiodsswaptheliborinterestreceivedtothefive-yearswapratte

13、s lens xmonthstoaborrowerandrelenditforninesuccessivesix-monthperiodstoaaborrowers。 andenterintoaswaptoexchangetheliborforthefive-yearswaprate .riskmanagementandfinancialinstitutions、版权所有者vs treass the risk-freerateisimportantinthepricingoffinancialcontracts.theusualpracticeamongfinancialinstitutionsistoassumethatthat swapper - free rate.thetreasurycurveisabout 50 basispointsbelowthelibor/swapzerocurve riskmanagementand