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1.0 Introduction介绍
利率风险是银行面临的主要市场风险之一（English，Heuvel&Zakraj_ek，2018）。中国银行在利率市场化过程中也必然面临日益严重的利率风险（谭，2016）。有效管理银行经营风险将是银行经营管理中的一项紧迫而重要的任务（Entrop，Hausse&Wilkens，2017）。在此基础上，本文旨在探讨我国银行如何利用货币贷款政策和衍生产品有效降低和管理利率风险。本文首先通过相关文献介绍了与货币贷款政策及衍生产品相关的利率风险的概念和类型。然后，回顾了作者在XX银行的工作经历。其次，分析了利率风险产生的原因和XX银行利率风险管理的不足，最后，对银行如何运用货币贷款政策和衍生工具有效降低和管理利率风险提出了建议。
Interest rate risk is one of the major market risks faced by banks (English, Heuvel & Zakrajšek, 2018). Banks in China are also bound to face increasingly serious interest rate risks in the process of interest rate liberalization (Tan, 2016). Effective management of banks’ managing risk will be one of the urgent and important tasks in banks’ operation and management (Entrop, Hausse & Wilkens, 2017). Based on this, the main purpose of this paper is to discuss how banks of China make use of monetary loan policy and derivatives to effectively reduce and manage interest rate risk. This article first introduces the concepts and types of interest rate risk relating to monetary loan policy and derivatives through relevant literatures. Then, it reviews the author's work experience in XX Bank. Followed by the causes of interest rate risk and the deficiencies in interest rate risk management of XX Bank, finally, it brings forward suggestions on how banks use monetary loan policy and derivatives to effectively reduce and manage interest rate risks.
2.0 Main body主体
利率风险是指市场利率变化的不确定性造成的损失（Drakos、Kouritas和Tsoumas，2016）。根据巴塞尔银行监管委员会的规定，利率风险分为四类：重新定价风险、基准风险、收益率曲线风险和期权风险。
Interest rate risk refers to the loss caused by uncertainty in the market interest rate changes (Drakos, Kouretas & Tsoumas, 2016). According to the regulations of the Basel Committee on Banking Supervision, interest rate risk is classified into four categories: repricing risk, basis risk, yield curve risk, and option risk.
2.1 Literature review文献综述
2.1.1 Repricing risk重新定价风险
重新定价风险是最重要和最常见的利率风险形式（D_L_ze&Korkam_ki，2018）。它来自银行资产、负债、表外业务到期日（固定利率）或重新定价期（浮动利率）的差异（Delis&Kouritas，2011年）。
重新定价的风险使银行的收益或内在经济价值随着利率的变化而变化（English、Heuvel和Zakraj_ek，2018）。例如，如果银行将短期存款作为长期固定利率贷款的融资来源，当利率上升时，贷款的利息收入仍然是固定的，但存款的利息支出将随着利率的上升而增加，从而使银行的未来收入增加。Nue和经济价值下降（Entrop、Hausse和Wilkens，2017年）。另一个例子是，当资产期限大于债务期限时，当利率上升时，债务的利率将上升，由于资产尚未到期，资产的利率将保持在原来的较低水平，银行将遭受到期损失。o术语不匹配（Drakos、Kouritas和Tsoumas，2016年）。Repricing risk is the most important and most common form of interest rate risk (Délèze & Korkeamäki, 2018). It comes from differences existing in bank assets, liabilities, off-balance-sheet business maturity (in the case of fixed interest rates) or repricing period (in terms of floating interest rates) (Delis & Kouretas, 2011).
This risk of repricing makes a bank’s earnings or intrinsic economic value change with changes in interest rates (English, Heuvel & Zakrajšek, 2018). For example, if a bank uses short-term deposits as a source of financing for long-term fixed-rate loans, when the interest rate rises, the interest income from the loans is still fixed, but the interest expense on deposits will increase as the interest rate rises, thus making the bank's future revenue and economic value reduced (Entrop, Hausse & Wilkens, 2017). Another example is when the term of the asset is greater than the duration of the debt, when the interest rate rises, the interest rate of the debt will rise, and the interest rate of the asset will remain at the original lower level because it has not expired, and the bank will suffer losses due to the mismatch of the term (Drakos, Kouretas & Tsoumas, 2016).
2.1.2 Basis risk基础风险
当一般利率水平的变化导致不同类型金融工具的利率变化时，银行将面临基准差风险（D_L_ze&Korkam_ki，2018）。例如，只要存款利率和贷款利率调整不完全一致，银行就会面临风险。中国商业银行目前依靠的贷款基准利率一般是中央银行公布的利率。因此，基差风险相对较小（Tan，2016年）。然而，随着利率自由化进程的推进，特别是在符合国际标准的情况下，我国商业银行必须满足业务需求，并以伦敦银行同业拆借利率为参照，基础差风险也相应增加（池莉，2017）。
When changes in the general interest rate level cause changes in the interest rates of different types of financial instruments, banks will face the risk of basis differences (Délèze & Korkeamäki, 2018). For example, as long as the deposit interest rate and loan interest rate are not adjusted exactly the same, banks will face risks. The benchmark interest rate that China’s commercial banks currently rely on for loans is generally the interest rate announced by the central bank. Therefore, the risk of basis differences is relatively small (Tan, 2016). However, with the advancement of interest rate liberalization, especially when it is in line with international standards, China’s commercial banks have to meet business needs and take LIBOR as a reference, and the risk of basis differences will also increase accordingly (Chi & Li, 2017).
2.1.3 Yield curve risk
Yield curve is a curve obtained by connecting the yields of various time bonds (Delis & Kouretas, 2011). The adverse effect of the unintended shift of the income curve or the sudden change of the slope on a bank's net interest spread income and the intrinsic value of assets is the risk of yield curve (Délèze & Korkeamäki, 2018). The slope of yield curve will change with the different stages of the economic cycle, giving rise to different shapes of the yield curve (Drakos, Kouretas & Tsoumas, 2016). The positive yield curve generally indicates that the yield of long-term bonds is higher than that of short-term bonds (Entrop, Hausse & Wilkens, 2017). There is no risk of yield curve at this time. When the business cycle is in an expansion phase, the central bank will increase short-term interest rates to curb excessive economic growth (English, Heuvel & Zakrajšek, 2018). At this time, the slope of yield curve will become negative, that is, the short-term interest rate is higher than the long-term interest rate.
2.1.4 Option risk
Option risk refers to the possibility of causing losses to a bank when a bank's customer's exercise of options implied in the bank's balance sheet business when interest rates change (Entrop, Hausse & Wilkens, 2017). That is, the interest rate risk arising from the customer’s potential return of loan principal and interest and early withdrawal of deposits.
2.2 My Task
One of my major tasks in XX is to analyze the Chinese government’s economic policies, the status quo and trends of China’s economic development, and the current status of Bank of China’s operations and management, based on these analysis results to assess the bank’s possible risks, including interest rate risks, and analyze the causes of these risks to make recommendations to the headquarter on how to manage these risks. In addition, the author’s work includes investigation and research on the financial derivatives of XX Bank, to find out what kinds of financial derivatives the bank has, how they are operated, whether they have achieved the intended purpose, and analyze how to use financial derivatives to circumvent and manage bank risk.
2.3 Reasons for Interest Rate Risk in Banks in China
The author analyzes the reasons for the interest rate risk of XX Bank based on his work experience in XX Bank and related literatures.
2.3.1 Reasons leading to repricing risk
There are structural mismatches in the mature period of assets and liabilities in China's banks (Tan, & Floros, 2018). In the absence of any extraordinary agreement, assets and liabilities can only be re-priced after the reflow period (Hou, Wang & Zhang, 2014). Prior to this, changes in interest rates do not affect the collection and payment of assets and liabilities (Aydemir & Ovenc, 2016). However, when the return period of bank assets and liabilities does not match, there will also be fluctuations in earnings due to changes in interest rates (Chen, Wei, Zhang & Shi, 2013). The direct cause of mismatches of assets and liabilities is the mismatches of the term structure of deposits and loans. On the one hand, the term structure of deposits is short-term; on the other hand, the term structure of loans is long-term, and the performance concentrating on the balance sheet of commercial banks is the mismatch of commercial banks' reflow period (Chen, Matousek & Wanke, 2018). This negative shortfall in the reflow period does not yet cause liquidity risk, but it brings about a loss of net interest income to banks in the interest rate increase cycle. As the return period of liabilities is shorter than the maturity period of assets, the liabilities are quickly priced and a rapid increase in interest expenses is incurred, making interest-sensitive liabilities larger than interest-sensitive assets in a certain time interval (Gopalan & Rajan, 2017). When interest rates change, commercial banks will also bear the risk of a decline in net interest income. |
