文档介绍:【PPT精品课件】货币金融学7版英文课件--9-大学课件20
Liquidity Management
3. Borrow from Bank of Canada
Assets Liabilities
Securities $10 m Rate-sensitive liabilities $50 m
Variable-rate loans Variable-rate CDs
Short-term securities Overnight funds
Fixed-rate assets $80 m Fixed-rate liabilities $50 m
Reserves Chequable deposits
Long-term bonds Savings deposits
Long-term securities Long-term CDs
Equity capital
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Managing Interest-Rate Risk
Gap Analysis
GAP = rate-sensitive assets – rate-sensitive liabilities
= $20 – $50 = –$30 million
When i 5%:
1. Income on assets = + $1 million
(= 5% $20m)
2. Costs of liabilities = +$ million
(= 5% $50m)
3. Profits = $1m – $ = –$
= 5% ($20m – $50m) = 5% (GAP)
Profits = i GAP
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Duration Analysis
Duration Analysis
% value –(% pointi) (DUR)
Example: i 5%, duration of bank assets = 3 years, duration of liabilities = 2 years;
% assets = –5% 3 = –15%
% liabilities = –5% 2 = –10%
If total assets = $100 million and total liabilities = $90 million, then assets $15 million, liabilities$9 million, and bank’s net worth by $6 million
Strategies to Manage Interest-rate Risk
1. Rearrange balance-sheet
2. Interest-rate swap
3. Hedge with financial futures
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Off-Balance-Sheet Activities
1. Loan sales
2. Fee income from
A. Foreign exchange trades for customers
B. Servicing mortgage-backed securities
C. Guarantees of debt
D. Backup lines of credit
3. Trading Activities
A. Financial futures
B. Financial options
C. Foreign exchange
D. Swaps
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Risk Management
Principal-Agent Problem
Traders have incentives to take big risks
Risk Management Controls
1. Separation of front and back rooms
2.