现代条件下银行利率风险评估与管理方法的转变

IF 0.1 Q4 MULTIDISCIPLINARY SCIENCES
A. Volkov, Alyona E. Zaborovskaya
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引用次数: 0

摘要

银行体系最近经历了一系列后果极其严重的冲击。这些挑战导致银行管理层和监管机构都需要迅速转变银行风险管理方法。在此期间,金融市场是高度不可预测的,这导致市场风险对银行活动的影响增加。由于银行作为金融中介机构的具体活动,其最重要的风险类型之一是利率风险。直到20世纪60年代末,资本市场的特点是相对较低和稳定的利率。布雷顿森林体系的崩溃和货币主义地位的加强导致货币资源的市场价值发生了更为动态的变化。货币越来越被视为一种“特定的”产品,其市场价格的变化影响着某个人的经济状况,就像商品价格、股票市场和货币市场的状况一样。不同作者对利率风险的解释方法各有特点。在作者看来,将利率风险仅仅解释为损失的概率是可以改变的,考虑到特定产品(资产)的供需变化对经济实体活动的影响。同时,应将利率风险视为市场风险的一种。衡量财务业绩偏离利率风险的最常用指标之一是离散度。也就是说,风险不仅可以对经济实体的财务状况产生负面影响,也可以产生积极影响。然而,这并不意味着风险管理机制不重要。目前,用于评估和管理利率风险的方法范围不是很广。方法包括:gap分析法、持续时间法、麦考利法。它们在银行实践中得到了广泛的应用和成功的应用。然而,管理这组风险的方法需要认真调整,考虑到现代现实。当风险物质化事件发生时,如果不进行修改,很难评估其对银行财务业绩的影响程度。在实践中,这导致需要对所考虑的管理方法进行改造和补充。作为主要方法的补充,笔者认为还可以采用以下方法:净利息收入(NII)离散法;利率风险期权成分的转移识别方法冗余方法;模拟管理工具的方法。作者认为,通过增加补充方法来优化现有方法的应用,扩大普遍接受的方法是有利的,并建议在现代经济条件下使用金融市场的相关依赖关系作为传统利率风险对冲工具的替代方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Transformation of methods for assessing and managing the interest rate risk of the bank in the modern conditions
The banking system has recently experienced a series of shocks that have extremely serious consequences. These challenges lead to the need for a rapid transformation of approaches to banking risk management, both for bank management and for regulatory bodies. Financial markets during such periods are highly unpredictable, which leads to an increase in the impact of market risks on the bank’s activities. One of the most important types of risks for banks due to the specifics of their activities as a financial intermediary is interest rate risk. Until the late 1960s, the capital market was characterized by relatively low and stable interest rates. The collapse of the Bretton Woods system and the strengthening of the positions of monetarism led to a more dynamic change in the market value of monetary resources. Money has come to be regarded more as a “specific” product, and the change in its market price affects the economic condition of a particular person in the same way as prices of goods, the state of the stock and currency markets. Approaches to the interpretation of interest rate risk by various authors have certain features. In the authors’ opinion, the interpretation of interest rate risk solely as the probability of losses can be transformed, taking into account the impact on an economic entity’s activity of shifts in supply and demand for a particular product (asset). At the same time, interest rate risk should be considered as a type of market risk. One of the most commonly used metrics for measuring the interest rate risk of financial performance deviations is dispersion. That is, the risk can have not only a negative, but also a positive impact on the financial condition of an economic entity. However, this should not be taken to mean that the risk management mechanism is not of great importance. At the moment, the range of methods used to assess and manage interest rate risk is not very wide. The methods include: GAP-analysis, duration method, Macauley method. They are widely used and successfully applied in banking practice. However, the methods of managing this group of risks require serious adaptation, taking into account modern realities. When risk materialization events occur, it is extremely difficult to assess the scale of the impact on the financial performance of the bank without modifications. In practice, this leads to the need to transform and supplement the considered management methods. As an addition to the main methods, according to the authors, the following can also be applied: NII (net interest income) dispersion method; method of transfer identification of the option component of interest rate risk; redundancy method; method of emulating management tools. The authors consider it expedient to expand the generally accepted methods by adding supplemental approaches to optimize the application of existing methods and also propose the use of correlation dependencies of financial markets as an alternative to traditional interest rate risk hedging tools in modern economic conditions.
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Tomsk State University Journal
Tomsk State University Journal MULTIDISCIPLINARY SCIENCES-
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