文档介绍：CHAPTER 7
ASSET-LIABILITY MANAGEMENT: DETERMINING AND MEASURING INTEREST RATES AND CONTROLLING INTEREST-SENSITIVE AND DURATION GAPS
Goals of This Chapter: The purpose of this chapter is to explore the options bankers have today for dealing with risk – especially the risk of loss due to changing interest rates – and to see how a bank’s management can coordinate the management of its assets with the management of its liabilities in order to achieve the institution’s goals.
Key Topic In This Chapter
Asset, Liability, and Funds Management
Market Rates and Interest Rate Risk
The Goals of Interest Rate Hedging
Interest Sensitive Gap Management
Duration Gap Management
Limitations of Hedging Techniques
Chapter Outline
I. Introduction: The Necessity for Coordinating Bank Asset and Liability Management Decisions
II. Asset/Liability Management Strategies
A. Asset Management Strategy
B. Liability Management Strategy
C. Funds Management Strategy
III. Interest Rate Risk: One of the Greatest Asset-Liability Management Strategy Challenges
A. Forces Determining Interest Rates
B. The Measurement of Interest Rates
1. Yield to Maturity
2. Bank Discount Rate
ponents of Interest Rates
1. Risk Premiums
2. Yield Curves
3. The Maturity Gap and the Yield Curve
D. Response to Interest Rate Risk
IV. One of the Goals of Interest-Rate Hedging
A. Interest Margin
B. Interest-Sensitive Gap Management
1. Asset-Sensitive Position
2. Liability-Sensitive Position
3. Dollar Interest-Sensitive Gap
4. Relative Interest Sensitive Gap
5. Interest Sensitivity Ratio
6. Computer-Based Techniques
7. Cumulative Gap
8. Strategies in Gap Management
C. Duration Gap Management
V. The Concept of Duration
Definition of Duration
Calculation of Duration
Net Worth and Duration
Price Risk and Duration
Convexity and Duration
VI. Using Duration to Hedge Against Interest-Rate Risk
A. Duration Gap
1. Dollar Weighted Duration of Assets
2. Dollar Weighted Duration of Liabilit