商业银行风险分析之利率风险【外文翻译】.doc

1、外文文献翻译译文一、外文原文原文ANANALYSISOFCOMMERCIALBANKEXPOSURETOINTERESTRATERISKBANKSEARNRETURNSTOSHAREHOLDERSBYACCEPTINGANDMANAGINGRISK,INCLUDINGTHERISKTHATBORROWERSMAYDEFAULTORTHATCHANGESININTERESTRATESMAYNARROWTHEINTERESTSPREADBETWEENASSETSANDLIABILITIESHISTORICALLY,BORROWERDEFAULTSHAVECREATEDTHEGREATESTLOSS

2、ESTOCOMMERCIALBANKS,WHEREASINTERESTMARGINSHAVEREMAINEDRELATIVELYSTABLE,EVENINTIMESOFHIGHRATEVOLATILITYALTHOUGHCREDITRISKISLIKELYTOREMAINTHEDOMINANTRISKTOBANKS,TECHNOLOGICALADVANCESANDTHEEMERGENCEOFNEWFINANCIALPRODUCTSHAVEPROVIDEDTHEMWITHDRAMATICALLYMOREEFFICIENTWAYSOFINCREASINGORDECREASINGINTERESTRA

3、TEANDOTHERMARKETRISKSONTHEWHOLE,THESECHANGES,WHENCONSIDEREDINTHECONTEXTOFTHEGROWINGCOMPETITIONINFINANCIALSERVICESHAVELEDTOTHEPERCEPTIONAMONGSOMEINDUSTRYOBSERVERSTHATINTERESTRATERISKINCOMMERCIALBANKINGHASSIGNIFICANTLYINCREASEDTHISARTICLEEVALUATESSOMEOFTHEFACTORSTHATMAYBEAFFECTINGTHELEVELOFINTERESTRAT

4、ERISKAMONGCOMMERCIALBANKSANDESTIMATESTHEGENERALMAGNITUDEANDSIGNIFICANCEOFTHISRISKUSINGDATAFROMTHEQUARTERLYREPORTSOFCONDITIONANDINCOMECALLREPORTSANDANANALYTICAPPROACHSETFORTHINAPREVIOUSBULLETINARTICLETHATRISKMEASURE,WHICHRELIESONRELATIVELYSMALLAMOUNTSOFDATAANDREQUIRESSIMPLIFYINGASSUMPTIONS,SUGGESTSTH

5、ATTHEINTERESTRATERISKEXPOSUREFORTHEVASTMAJORITYOFTHEBANKINGINDUSTRYISNOTSIGNIFICANTATPRESENTTHISARTICLEALSOATTEMPTSTOGAUGETHERELIABILITYOFTHESIMPLEMEASURESRESULTSFORTHEBANKINGINDUSTRYBYCOMPARINGITSESTIMATESOFINTERESTRATERISKEXPOSUREFORTHRIFTINSTITUTIONSWITHTHOSECALCULATEDBYAMORECOMPLEXMODELDESIGNEDB

6、YTHEOFFICEOFTHRIFTSUPERVISIONTHERESULTSSUGGESTTHATTHISRELATIVELYSIMPLEMODELCANBEUSEFULFORBROADLYMEASURINGTHEINTERESTRATERISKEXPOSUREOFINSTITUTIONSTHATDONOTHAVEUNUSUALORCOMPLEXASSETCHARACTERISTICSSOURCESOFINTERESTRATERISKINTERESTRATERISKIS,INGENERAL,THEPOTENTIALFORCHANGESINRATESTOREDUCEABANKSEARNINGS

7、ORVALUEASFINANCIALINTERMEDIARIES,BANKSENCOUNTERINTERESTRATERISKINSEVERALWAYSTHEPRIMARYANDMOSTOFTENDISCUSSEDSOURCEOFINTERESTRATERISKSTEMSFROMTIMINGDIFFERENCESINTHEREPRICINGOFBANKASSETS,LIABILITIES,ANDOFFBALANCESHEETINSTRUMENTSTHESEREPRICINGMISMATCHESAREFUNDAMENTALTOTHEBUSINESSOFBANKINGANDGENERALLYOCC

8、URFROMEITHERBORROWINGSHORTTERMTOFUNDLONGTERMASSETSORBORROWINGLONGTERMTOFUNDSHORTTERMASSETSANOTHERIMPORTANTSOURCEOFINTERESTRATERISKALSOREFERREDTOASBASISRISK,ARISESFROMIMPERFECTCORRELATIONINTHEADJUSTMENTOFTHERATESEARNEDANDPAIDONDIFFERENTINSTRUMENTSWITHOTHERWISESIMILARREPRICINGCHARACTERISTICSWHENINTERE

9、STRATESCHANGE,THESEDIFFERENCESCANGIVERISETOUNEXPECTEDCHANGESINTHECASHFLOWSANDEARNINGSSPREADAMONGASSETS,LIABILITIES,ANDOFFBALANCESHEETINSTRUMENTSOFSIMILARMATURITIESORREPRICINGFREQUENCIESANADDITIONALANDINCREASINGLYIMPORTANTSOURCEOFINTERESTRATERISKISTHEPRESENCEOFOPTIONSINMANYBANKASSET,LIABILITY,ANDOFFB

10、ALANCESHEETPORTFOLIOSINITSFORMALSENSE,ANOPTIONPROVIDESTHEHOLDERTHERIGHT,BUTNOTTHEOBLIGATION,TOBUY,SELL,ORINSOMEMANNERALTERTHECASHFLOWOFANINSTRUMENTORFINANCIALCONTRACTOPTIONSMAYEXISTASSTANDALONECONTRACTSTHATARETRADEDONEXCHANGESORARRANGEDBETWEENTWOPARTIESORTHEYMAYBEEMBEDDEDWITHINLOANORINVESTMENTPRODUC

11、TSINSTRUMENTSWITHEMBEDDEDOPTIONSINCLUDEVARIOUSTYPESOFBONDSANDNOTESWITHCALLORPUTPROVISIONS,LOANSSUCHASRESIDENTIALMORTGAGESTHATGIVEBORROWERSTHERIGHTTOPREPAYBALANCESWITHOUTPENALTY,ANDVARIOUSTYPESOFDEPOSITPRODUCTSTHATGIVEDEPOSITORSTHERIGHTTOWITHDRAWFUNDSATANYTIMEWITHOUTPENALTYIFNOTADEQUATELYMANAGED,OPTI

12、ONSCANPOSESIGNIFICANTRISKTOABANKINGINSTITUTIONBECAUSETHEOPTIONSHELDBYBANKCUSTOMERS,BOTHEXPLICITANDEMBEDDED,AREGENERALLYEXERCISEDATTHEADVANTAGEOFTHEHOLDERANDTOTHEDISADVANTAGEOFTHEBANKMOREOVER,ANINCREASINGARRAYOFOPTIONSCANINVOLVESIGNIFICANTLEVERAGE,WHICHCANMAGNIFYTHEINFLUENCESBOTHNEGATIVEANDPOSITIVEOF

13、OPTIONPOSITIONSONTHEFINANCIALCONDITIONOFABANKCURRENTINDICATORSOFINTERESTRATERISKTHECONVENTIONALWISDOMTHATINTERESTRATERISKDOESNOTPOSEASIGNIFICANTTHREATTOTHECOMMERCIALBANKINGSYSTEMISSUPPORTEDBYBROADINDICATORSMOSTNOTABLY,THESTABILITYOFCOMMERCIALBANKNETINTERESTMARGINSTHERATIOOFNETINTERESTINCOMETOAVERAGE

14、ASSETSLENDSCREDENCETOTHISCONCLUSIONFROM1976THROUGHMIDYEAR1995,THENETINTERESTMARGINSOFTHEBANKINGINDUSTRYHAVESHOWNAFAIRLYSTABLEUPWARDTREND,DESPITETHEVOLATILITYININTERESTRATESASILLUSTRATEDBYTHEFEDERALFUNDSRATECHART1INCONTRAST,OVERTHESAMEPERIODTHRIFTINSTITUTIONSEXHIBITEDHIGHLYVOLATILEMARGINS,ARESULTTHAT

15、ISNOTSURPRISINGGIVENTHATBYLAWTHEYMUSTHAVEAHIGHCONCENTRATIONOFMORTGAGERELATEDASSETSINTERESTMARGINS,HOWEVER,OFFERONLYAPARTIALVIEWOFINTERESTRATERISKTHEYMAYNOTREVEALLONGERTERMEXPOSURESTHATCOULDCAUSELOSSESTOABANKIFTHEVOLATILITYOFRATESINCREASEDORIFMARKETRATESSPIKEDSHARPLYANDREMAINEDATHIGHLEVELSTHEYALSOSAY

16、LITTLEABOUTTHEPOTENTIALFORCHANGINGINTERESTRATESTOREDUCETHEECONOMICORFAIRVALUEOFABANKSHOLDINGSECONOMICORFAIRVALUESREPRESENTTHEPRESENTVALUEOFALLFUTURECASHFLOWSOFABANKSCURRENTHOLDINGSOFASSETS,LIABILITIES,ANDOFFBALANCESHEETINSTRUMENTSAPPROACHESFOCUSINGONTHESENSITIVITYOFANINSTITUTIONSECONOMICVALUE,THEREF

17、ORE,INVOLVEASSESSINGTHEEFFECTARATECHANGEHASONTHEPRESENTVALUEOFITSONANDOFFBALANCESHEETINSTRUMENTSANDWHETHERSUCHCHANGESWOULDINCREASEORDECREASETHEINSTITUTIONSNETWORTHALTHOUGHBANKSTYPICALLYFOCUSONNEARTERMEARNINGS,ECONOMICVALUEANALYSISCANSERVEASALEADINGINDICATOROFTHEQUALITYOFNETINTERESTMARGINSOVERTHELONG

18、TERMANDHELPIDENTIFYRISKEXPOSURESNOTEVIDENTINANANALYSISOFSHORTTERMEARNINGSNEWPRODUCTSANDBANKINGPRACTICESIF,ASSOMEINDUSTRYOBSERVERSHAVECLAIMED,NEWPRODUCTSANDBANKINGPRACTICESHAVEWEAKENEDTHEINDUSTRYSIMMUNITYTOCHANGINGINTERESTRATES,THENTHENEEDFORMORECOMPREHENSIVEINDICATORSOFINTERESTRATERISKSUCHASECONOMIC

19、VALUEANALYSISMAYHAVEINCREASEDINPARTICULAR,COMMERCIALBANKSAREEXPANDINGTHEIRHOLDINGSOFINSTRUMENTSWHOSEVALUESAREMORESENSITIVETORATECHANGESTHANTHEFLOATINGRATEORSHORTERTERMASSETSTRADITIONALLYHELDBYTHEBANKINGINDUSTRYTHEPOTENTIALEFFECTOFTHISTRENDCANNOTBEOVERLOOKED,BUTITSHOULDALSOBEKEPTINPERSPECTIVEALTHOUGH

20、COMMERCIALBANKSAREMUCHMOREACTIVEINMORTGAGEMARKETSTHANTHEYWEREADECADEAGO,THISACTIVITYHASNOTMATERIALLYALTEREDTHEIREXPOSURETOCHANGINGLONGTERMRATESINDEED,THEPROPORTIONOFBANKINGASSETSMATURINGORREPRICINGINMORETHANFIVEYEARSHASINCREASEDONLY1PERCENTAGEPOINTSINCE1988,TOAMEDIANVALUEOFONLY10PERCENTOFASSETSATMID

21、YEAR1995THECOMPARABLEFIGUREFORTHRIFTINSTITUTIONSATMIDYEAR1995WAS25PERCENTHOWEVER,THEINDUSTRYSCONCENTRATIONOFLONGTERMMATURITIESISALIMITEDINDICATOROFRISKINASMUCHASBANKSHAVEALSOEXPANDEDTHEIRCONCENTRATIONOFADJUSTABLERATEINSTRUMENTSWITHEMBEDDEDOPTIONSTHATCANMATERIALLYEXTENDANINSTRUMENTSEFFECTIVEMATURITYF

22、OREXAMPLE,ALTHOUGHADJUSTABLERATEMORTGAGESARMSMAYREPRICEFREQUENTLYANDAVOIDSOMEOFTHERISKOFLONGTERM,FIXEDRATELOANS,THEYALSOTYPICALLYCARRYLIMITSCAPSONTHEAMOUNTBYWHICHTHEIRRATESMAYINCREASEDURINGSPECIFICPERIODSANDTHROUGHOUTTHELIFEOFTHELOANMANAGERSWHODONOTTAKEINTOACCOUNTTHESEFEATURESWHENIDENTIFYINGORMANAGI

23、NGRISKMAYFACEUNEXPECTEDDECLINESINEARNINGSANDPRESENTVALUESASRATESCHANGECOLLATERALIZEDMORTGAGEOBLIGATIONSCMOSANDSOCALLEDSTRUCTUREDNOTESAREOTHERINSTRUMENTSWITHOPTIONFEATURES2THEYMAYALSOCONTAINSUBSTANTIALLEVERAGETHATCOMPOUNDSTHEIRUNDERLYINGLEVELOFINTERESTRATERISKFOREXAMPLE,ASINTERESTRATESROSESHARPLYDURI

24、NG1994,MARKETVALUESFELLRAPIDLYFORCERTAINSTRUCTUREDNOTESANDFORCMOSDESIGNATEDASHIGHRISK3HOWEVER,THESEINSTRUMENTSACCOUNTEDFORLESSTHAN1PERCENTOFTHEINDUSTRYSCONSOLIDATEDASSETSATMIDYEAR1995,ALTHOUGHINDIVIDUALINSTITUTIONSMAYHAVEMATERIALCONCENTRATIONSOFFBALANCESHEETINSTRUMENTS,ONTHEOTHERHAND,HAVEGROWNDRAMAT

25、ICALLYANDAREANIMPORTANTPARTOFTHEMANAGEMENTOFINTERESTRATERISKATCERTAINBANKSTHENOTIONALAMOUNTOFINTERESTRATECONTRACTSSUCHASINTERESTRATEOPTIONS,SWAPS,FUTURES,ANDFORWARDRATEAGREEMENTSHASGROWNFROM33TRILLIONIN1990TO114TRILLIONASOFMIDYEAR19954THESECONTRACTSAREHIGHLYCONCENTRATEDAMONGLARGEINSTITUTIONS,WITHFIF

26、TEENBANKSHOLDINGMORETHAN93PERCENTOFTHEINDUSTRYSTOTALVOLUMEOFTHESECONTRACTSINTERMSOFTHEIRNOTIONALVALUESINCONTRAST,94PERCENTOFTHEMORETHAN10,000INSUREDCOMMERCIALBANKSREPORTNOOFFBALANCESHEETOBLIGATIONSALTHOUGHBANKSDONOTSYSTEMATICALLYDISCLOSETHEPRICESENSITIVITYOFTHESECONTRACTSTOTHEPUBLIC,THEREGULATORYAGE

27、NCIESHAVECOMPLETEACCESSTOTHISNECESSARYINFORMATIONTHROUGHTHEIRONSITEEXAMINATIONSANDOTHERSUPERVISORYACTIVITIESMOREOVER,THESECONTRACTSARECONCENTRATEDATDEALERINSTITUTIONSTHATMARKNEARLYALLTHEIRPOSITIONSTOMARKETDAILYANDTHATACTIVELYMANAGETHERISKOFTHEIRINTERESTRATEPOSITIONSTHESEDEALERINSTITUTIONSGENERALLYTA

28、KEOFFSETTINGPOSITIONSTHATREDUCERISKTONOMINALLEVELS,ANDTHEYAREREQUIREDBYBANKSUPERVISORSTOEMPLOYMEASUREMENTSYSTEMSTHATARECOMMENSURATEWITHTHERISKANDCOMPLEXITYOFTHEIRPOSITIONSCOMPETITIVEPRESSURESAREALSOAFFECTINGBANKINGPRACTICESANDTHEINDUSTRYSMANAGEMENTOFINTERESTRATERISKSPECIFICALLY,COMPETITIONMAYBEREDUC

29、INGTHEBANKINGINDUSTRYSABILITYTOMANAGEINTERESTRATERISKTHROUGHDISCRETIONARYPRICINGOFRATESONLOANSANDDEPOSITSFOREXAMPLE,GROWINGNUMBERSOFBANKCUSTOMERSAREREQUESTINGLOANRATESINDEXEDTOBROADMARKETRATESSUCHASTHELONDONINTERBANKOFFEREDRATELIBORRATHERTHANTOTHEPRIMELENDINGRATESTHATBANKSCANMOREEASILYCONTROLONTHEDE

30、POSITSIDE,SLUGGISHDOMESTICGROWTHSINCE1990,WHENCOUPLEDWITHTHEMORERECENTRISEINLOANDEMAND,HASCAUSEDSHIFTSINTHESTRUCTUREOFFUNDINGTRADITIONALLYDEPOSITSHAVEFUNDED77PERCENTORMOREOFBANKINGASSETSATMIDYEAR1995,HOWEVER,DEPOSITSFUNDEDLESSTHAN70PERCENTOFINDUSTRYASSETSARECORDLOWIFTHERECENTOUTFLOWOFCOREDEPOSITSDEM

31、ANDDEPOSITSANDMONEYMARKET,SAVINGS,ANDNOWACCOUNTSCONTINUES,MANYBANKSMAYFEELPRESSUREDTOOFFERMOREATTRACTIVERATESHOWEVER,THEAMOUNTBYWHICHRATESMUSTINCREASETOREVERSETHEDEPOSITOUTFLOWISDIFFICULTTOJUDGETOMEETTHERECENTRISEINLOANDEMAND,BANKSHAVEMADEUPTHEFUNDINGSHORTFALLWITHOVERNIGHTBORROWINGSOFFEDERALFUNDS,SE

32、CURITIESREPURCHASEAGREEMENTS,ANDOTHERBORROWINGSTHESEFUNDINGCHANGESMAYHAVEEFFECTIVELYSHORTENEDTHEOVERALLLIABILITYSTRUCTUREOFTHEINDUSTRYAND,ALONGWITHOTHERPRESSURESFACINGTHEINDUSTRY,MUSTBEADEQUATELYCONSIDEREDINMANAGINGINTERESTRATERISKINTHISENVIRONMENTOFNEWPRODUCTSANDCOMPETITIVEPRESSURES,TREASURYANDINVE

33、STMENTACTIVITIESHAVEBECOMEMOREIMPORTANTFORMANYBANKSINMANAGINGINTERESTRATERISKALTHOUGHBANKSARECONSTRAINEDINTHEIRLENDINGANDDEPOSITTAKINGFUNCTIONSBYTHEPREFERENCESANDDEMANDSOFTHEIRCUSTOMERS,THEYHAVESUBSTANTIALFLEXIBILITYININCREASINGOROFFSETTINGTHERESULTINGMARKETRISKSTHROUGHTHESECURITIESANDINTERESTRATECO

34、NTRACTSTHEYCHOOSETOHOLDTHERISKPROFILEOFTHEINVESTMENTSECURITIESPORTFOLIOCANBEEVALUATEDBYOBSERVINGCHANGESINTHEPORTFOLIOSFAIRVALUEFROMACTUALRATEMOVESTHISANALYSISISPOSSIBLEBECAUSEUNLIKEMOSTOTHERBANKINGASSETSANDLIABILITIES,THECURRENTMARKETVALUEOFABANKSSECURITIESPORTFOLIOISEASILYDETERMINEDANDISPUBLICLYREP

35、ORTEDEACHQUARTERFOREXAMPLE,THEINDUSTRYSAGGREGATESECURITIESPORTFOLIOEXCLUDINGSECURITIESHELDFORTRADINGFOR1993Q4HADA14PERCENTMARKETVALUEPREMIUM,WHICHREPRESENTEDANUNREALIZEDGAINOF115BILLIONCHART2THERISEININTERESTRATESDURING1994ASDEPICTEDBYTHETWOYEARTREASURYNOTEYIELDANDTHERESULTINGDROPINTHEVALUEOFSECURIT

36、IESPRODUCEDAMARKETVALUEDISCOUNTOF35PERCENTBY1994Q4,WHICHMEANTALOSSINVALUEOF49PERCENTAGEPOINTS40BILLIONWITHTHESUBSEQUENTFALLININTERESTRATESDURINGTHEFIRSTHALFOF1995,THEPORTFOLIORECOVEREDAPORTIONOFITSLOSSANDROSETOAMARKETVALUEPREMIUMOF01PERCENT1BILLIONAT1995Q2ALTHOUGHPARTLYAFFECTEDBYCHANGESINTHECOMPOSIT

37、IONOFTHEPORTFOLIO,THESERESULTSSUGGESTTHATTHEAVERAGEDURATIONOFTHEINDUSTRYSSECURITIESPORTFOLIOMAYBEROUGHLYONEANDONEHALFTOTWOYEARS,AMATURITYRANGEMANYMIGHTVIEWASPRESENTINGBANKSWITHRELATIVELYLITTLEINTERESTRATERISK6WHENAPPLIEDTOEARLIERPERIODS,THISANALYSISFURTHERSUGGESTSTHATTHEPRICESENSITIVITYOFTHEINDUSTRY

38、SSECURITIESPORTFOLIOHASREMAINEDLARGELYUNCHANGEDSINCEATLEASTTHELATE1980SALTHOUGHTHISANALYSISOFPORTFOLIOVALUEMAYHELPINTHEEVALUATIONOFRISKSINTHESECURITIESACTIVITIESOFBANKS,ITDOESNOTCONSIDERANYCORRESPONDINGANDPOTENTIALLYOFFSETTINGCHANGESINTHEECONOMICVALUEOFBANKSLIABILITIESOROTHERONOROFFBALANCESHEETPOSIT

39、IONSTHATLIMITATIONHELPSTOEXPLAINWHYTHEBANKINGINDUSTRYHASTYPICALLYIGNOREDECONOMICORLONGTERMPRESENTVALUEEFFECTSWHENMEASURINGINTERESTRATERISKSOURCEDAVIDMWRIGHT,JAMESVHOUPT,1996”ANANALYSISOFCOMMERCIALBANKEXPOSURETOINTERESTRATERISK”,FEDERALRESERVEBULLETIN,FEBRUARYPP115118二、翻译文章译文银行通过接受和管理风险向投资者收取回报，包括风险借

40、款人可能无法履行或利率的变化可能缩小资产和负债之间的利差对股东的回报。从历史上看，借款人违约造成的损失最大的商业银行，即使在高利率波动的时候，反而息差一直保持相对稳。尽管对银行来说，信贷风险很可能仍然是主要的风险，技术进步和新涌现的金融产品为我们提供了更有效的方式。这种方式能增加或减少利率风险及其他市场风险。整体来说，在金融服务日益激烈的竞争条件下，这些变化已经为一些行业观察家所觉察。他们指出，商业银行的利息率风险将大大增加。本文评估了一些可能会影响商业银行之间的利率风险水平的因素，并通过以前的文章公告，分析条件季度报告中的风险数据，估计总规模和收入（访问报告）进而提出分析方法。这一风险措施，

41、依靠一些相对较少数据量和需要一些简化的假设。它揭示出目前这些加权利率风险对于绝大部分银行来说并不是非常重要。本文借助美国储蓄监督办公室设计的一个较复杂的计算模型，试图通过比较储蓄机构的利率风险的估计，来衡量银行业用相对简单模型得出结果是否可靠。结果表明，只要这些机构的资产结构不是很复杂，那么这种相对简单的模型就可用于广泛衡量利率风险。利率风险的来源在通常情况下，利率风险是指因利率变动而造成银行收益或价值的下降。作为金融中介机构，银行利息在各方面受汇率风险的潜在影响。银行资产、负债及资产负债表工具重新定价时间差异是利率风险主要的来源。这些重新定价的不匹配是银行服务的基本业务。这些业务通常发生于用

42、短期借款投资长期资产或者用长期借款投资短期资产其他利率风险的重要来源（也被称为“基础风险”），是由不完善相关性中产生的费率调整收入和与其他类似的重新定价特征不同的工具支付所引起。当利率发生变化，这些差异在类似到期日和重新定价日可能引起的现金流量和盈利预期在资产、负债及资产负债表外工具的波动。日益增长的利率风险是来源于大多数银行的股权资产、负债及资产负债表外因素从正式意义来上说，期权持有人有权利，但没有义务买、卖或以某种方式改变的一个工具或金融合同的现金流。期权可能存在于交易所买卖或两个独立的合同当事人的贷款或投资产品之中。这种隐含期权的工具包括认购或认沽规定的各种债券、票据及贷款，如住房抵押贷

43、款。第一种情况发生在借款人出让预付余额的权利时，此时借款人无需接受处罚。第二种情况发生在存款人出让存款各类产品的权利时，在这种情况下，存款人任何时候撤回资金均无需接受处罚。如果不加以适当管理，这些期权将构成银行机构的重大风险。因为银行的客户同时拥有显性和隐性的期权，这些期权都是在对期权持有人有利而对银行不利的情况下行使。此外，这些不断增加的一系列期权可能涉及大量的杠杆，它可以放大对银行财务状况的期权头寸的影响（包括正面和负面）。利率风险目前的指标传统的观点认为，利率风险不会构成对商业银行体系的重大威胁。此观点得到了大量指标的支持。最值得注意的是，商业银行的净息差（净利息收入与平均资产的比率）稳

44、定印证了这个结论。从1976年到1995年年中，尽管从联邦基金利率（图1）可以看出利率的波动，但银行业的净息差都表现出相当稳定的上升趋势。与此相反，与上年同期相比，储蓄机构利润出现了大幅波动。这个结果并不意外，因为根据法律，他们必须拥有高度集中的相关抵押资产。尽管利息差仅提供了局部利率风险的看法。他们可能没有透露长期收支的漏洞，一旦利率波动，市场利率上升或大幅飙升和居高不下时，这些漏洞可能导致银行的损失。他们还道出了利率调整对一家银行的股价在“经济方面”或公平方面造成的潜在影响。经济或公允价值代表了所有的资产，负债和资产负债表外工具所产生的未来现金流。这些方法要以一个机构的经济价值灵敏度为重点

45、，因此，这些方法包括评估财务报表的现值对汇率变化的影响，以及这种变化是否会增加或减少该机构的净资产。虽然银行通常侧重于短期收益，经济价值分析可以作为对长期净息差质量的领先指标，并帮助在忽略短期收益的情况下确定风险分析。新产品和银行实务如果像一些业内观察家称，新的产品和银行实务的做法削弱了行业对抵抗利率变化风险能力，那么对于更全面的利率风险指标，类似经济价值分析的需求可能有所增加。特别是商业银行正扩大票据，其价值相当于利率的变动较其浮动利率或短期资产更为敏感。在历史上，这两者一直被银行业看重。这一趋势的潜在影响不容忽视，但它也应该被正确的看待。相比十年前，尽管商业银行在抵押贷款市场变得更为活跃，

46、但这一活动并没有重大改变。他们受到不断变化的长期利率影响。事实上，银行到期或五年以上的重新定价的资产比例自1988年以来仅增加了一个百分点，到1995年年中，到中位数的资产价值仅为十个百分点。到1995年，储蓄机构的年中可比数字是百分之二十五。然而，该行业的长期到期日是一个有限的风险指标，因为银行也扩大了集中的隐含期权，可以极大地延长到期的浮动利率票据的有效期。例如，尽管浮动利率抵押贷款（浮动的）可能频繁的重新定价，避免因长期固定利率贷款所产生的部分风险。他们通常也进行数量限制（上限），其利率可能会在特定时期和整个贷款期限内增加。管理者在确定或管理风险时如果不考虑这些特点，那么他们可能会面临意想不到的盈利下降和现值的利率变动。担保抵押债务（集体）和所谓的结构性票据具有其他期权工具的特点。他们也可能包含大量的杠杆以及潜在的利率风险水平。例如，1994年期间，利率大幅上升，市场价值下跌，某些结构性票据被贴上高风险的标签。然而，在1995年年中，这些都只占全行业合并资产的不到百分之一，不排除在个别机构可能有集中情况的显现。出处美戴维莱特，詹姆斯霍普，商业银行风险分析之利率风险，美国联邦储备公报，20038115118