by Low Fung Seong Jenny, Yau Yin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 53). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / ACKNOWLEDGMENTS --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE HONG KONG MONETARY SYSTEM --- p.3 / Linked Exchange Rate System --- p.3 / Monetary Base --- p.3 / Capital Inflow and Outflow --- p.4 / Interest Rate and the Link --- p.5 / The Interbank Market --- p.9 / Chapter III. --- INTRODUCTION TO HIBOR FUTURES --- p.11 / Background of the HIBOR Futures --- p.12 / Features of Three-Month HIBOR Futures Contract --- p.14 / Futures Quotations and Futures Prices --- p.16 / Delivery and Determination of Final Settlement Prices --- p.17 / Functions of HIBOR Futures Contract --- p.17 / Short Hedge --- p.18 / Long Hedge --- p.20 / Speculation --- p.22 / Chapter IV. --- TEST OF COST OF CARRY RELATIONSHIP FOR HIBOR FUTURES --- p.24 / Cost of carry Relationship --- p.24 / Forward and Futures Prices --- p.27 / Cash Prices versus Futures Prices --- p.27 / Testing the Cost of Carry on Three-month HIBOR Futures Contracts --- p.30 / Collection of Data --- p.30 / Methodology --- p.30 / Findings --- p.31 / Analysis of Findings --- p.35 / Chapter V. --- CONCLUSION --- p.37 / ENDNOTES --- p.38 / APPENDICES --- p.40 / BIBLIOGRAPHY --- p.53

Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. För att besvara studiens problemformulering har en kvalitativ metod använts, där fem semistrukturerade intervjuer med både fastighetsbolag och en bank varit utgångspunkten till arbetets slutsats. Studiens resultat visar att samtliga tillfrågade fastighetsbolag har en egen räntesäkringsstrategi och egna preferenser vad gäller räntederivat. Idag använder en klar majoritet av svenska fastighetsbolag ränteswappar i sina räntesäkringsstrategier, men studien tyder på att mindre aktörer på marknaden eventuellt i framtiden kommer söka sig till simplare lösningar. Vidare visar studien att varken coronapandemin, IFRS regelverket eller Swestr påverkar fastighetsbolagens förhållningssätt till ränteswappar. Däremot kan det externa ratingbetyget indirekt ha en koppling till hur ett fastighetsbolag väljer att hedga sig mot räntefluktuationer.  Studiens område är fortsatt vagt undersökt och ämnet kommer förbli intressant att forska vidare på i framtiden. / This study deals with the factors that affect Swedish real estate companies´ views on interest rate swaps and whether the corona pandemic, the IFRS regulations, the new reference interest rate Swestr or the companies external rating have any significance in this. The study further examines how the demand for interest rate swaps has changed and how the future looks like. To fulfill the purpose of the study, a qualitative method has been used, with five semi-structured interviews with both real estate companies and a bank. The collected answers have formed the basis of this paper's conclusion.  The results of the study show that all real estate companies surveyed have their own interest rate hedging strategy, and their own preferences on interest rate derivatives. A majority of Swedish real estate companies use interest rate swaps today in their interest rate hedging strategies, but this study indicates that smaller real estate corporations in the market may seek more simple solutions in the future. Furthermore, the study indicates that neither the coronavirus pandemic, the IFRS regulations nor Swestr has an impact in the real estate companies´ approach towards interest rate swaps. On the other hand, the external rating can indirectly be a reason why real estate companies choose to hedge with interest rate derivatives against interest rate fluctuations. The field of study is still vaguely researched and the subject will remain interesting to research in the future.

銀行的利率風險管理是資產負債管理中相當重要的課題，尤其是隨著金融自由化與國際化的發展，同業市場競爭日漸激烈，使銀行利差縮小，獲利能力大不如前，因此如何管理利率風險，避免利率波動對銀行淨值與獲利能力的影響對銀行而言將更形重要。而資訊科技在企業的應用，已從以往輔助性的角色漸漸轉變為增加企業競爭優勢的策略武器。雖然我國金融業引進電腦科技於日常業務處理已有二十年了，但後檯管理作業仍以人工處理為主，如何利用管理資訊系統更有效率的提供相關訊息，已成為各銀行面臨的迫切課題。 　　然而國內雖有一些資產負債管理資訊系統相關的研究，唯對銀行利率風險管理方面的著墨並不深入；也有些關於銀行利率風險管理相關的文獻，但還沒有專門針對銀行利率風險管理結合管理資訊系統方面的探討。所以本文試圖由此方向出發，建立一銀行利率風險管理資訊系統架構，並運用實際銀行的資料於雛型系統上，發現利用銀行利率風險管理資訊系統，將可更有效率的提供相關訊息，並可將計算複雜、具技術性且專門的利率風險衡量方法及避險工具操作模型納入系統中，增加銀行利率風險管理的效率與效能。 / The interest rate risk management is a very important element in the bank Asset Liability Management(ALM). As the higher degree of deregulation and internationalization of financial environment, bank interest rate spread is compressed and the profit is decreased. Interest rate risk management becomes even more important for banks to maximize its net worth or total profit. The advance of information technology(IT) in business has become one of the most important strategic weapon to increase the business competitive edge. Although there have more than 20 years experience of IT on local financial institution, IT has seldom been used to the decision making levels. So, in the near future, how to apply management information systems(MIS) to help bank management has become a major concern. 　　In the past, the research on the bank asset liability management system was less emphasis on the application of MIS on the interest rate risk management. This paper provides a bank interest rate risk management system framework which can help the bank managers to assess the interest rate risk. Finally, a bank's historical data was used to evaluate the prototype system, and the result shows that the prototype system could improve the bank interest rate risk management.

在利率自由化的過程中，貨幣市場利率變化情形較以前劇烈，因此近年來 使得一些需要運用貨幣市場來融通短期資金的廠商與個人較以往面臨更大 的利率變動的風險。本文的主要目的在探討以芝加哥期貨交易所(CBOT)之 美國長期公債期貨合約、十年期公債期貨合約及五年期公債期貨合約及芝 加哥商品期貨交易所(CME) 的美國國庫券期貨、Eurodollar期貨之組合交 叉規避國內商業本票30天期、90天期、 180天期之次級市場的利率風險， 以了解利用國外利率期貨交叉規國內商業本票現貨利率風險的績效及不同 的避險期間與不同的避險比例對避險績效的影響。本研究之採樣期間 自1989年 1月至1992年10月底，並分為兩部份進行實證，一為整體樣本測 試避險模式、另一為樣本外交叉避險模式，且修正自身相關現象。 根據 實證結果，可以得到以下的結論與發現：1.在整體樣本測試交叉避模式之 自身相關迴歸分析中，當避險期間愈長時，則避險績效愈好。2.在樣本外 測試交叉避險模式--最適避險模式之價差迴歸分析與自身相關迴歸分析中 ，可以發現三種商業本票的交叉避險績效均以避險期間較短者擁有較好的 交叉避險績效。3.在樣本外測試交叉避險模式中，所有商業本票不論何種 避險期間，自然避險模式的交叉避險績效均比最適避險模式為差。4.在樣 本外測試交叉避 險模式--最適避險模式之價差迴歸分析與自身相關迴歸 分析中，可以發現所有商業本票，在單一期貨組合的交叉避險績效大致上 皆高於其他期貨組合的交叉避險績效，因此，在從事避險操作時，基於時 間及交易成本的考量，以單一期貨組合從事避險操作較為有利。

Palūkanų normos rizikos vaidmuo komercinio banko veikloje bei šios rizikos įtaka banko veiklos rezultatams pastaraisiais dešimtmečiais augo plečiantis finansinių rinkų infrastruktūrai bei stiprėjant konkurencijai. Todėl bankai, kad palūkanų normos rizika nesumažintų banko konkurencingumo skiria jai vis daugiau dėmesio, stengdamiesi ją išlaikyti priimtiname lygyje, diegdami valdymo modelius, taikydami apsidraudimo priemones bei prognozuodami palūkanų normų pokyčius, tuo pačiu skatindami mokslinę visuomenę tyrinėti palūkanos normos riziką įvairiais aspektais. Šio darbo objektu yra palūkanų normos rizika bei jos valdymas komerciniame banke, o pagrindinis darbui iškeltas tikslas - išanalizuoti palūkanų normos rizikos valdymo teorinius aspektus bei atlikti praktinį palūkanų normos rizikos valdymo tyrimą komerciniame banke. Darbą sudaro trys dalys, iš kurių pirmojoje analizuojami teoriniai palūkanų normos valdymo aspektai, susipažįstant su palūkanų normos samprata bei ją sąlygojančiomis teorijomis, analizuojant palūkanų normos rizikos sudedamąsias dalis bei jos įvertinimo metodų įvairovę, jų privalumus bei trūkumus, svarstant palūkanų normos prognozavimo reikšmę palūkanų normos rizikos valdymo procesui bei nagrinėjant kokiomis priemonėmis galima apsidrausti nuo palūkanų normos rizikos. Antrojoje darbo dalyje, siekiant įvairiapusiškai atskleisti palūkanų normos rizikos valdymą komerciniame banke, Lietuvos komercinių bankų sektoriaus pavyzdžiu atliekamas palūkanų normos rizikos... [toliau žr. visą tekstą] / The role of interest rate risk in the activity of the commercial bank, as well as influence of this risk to the banks’ financial results, was recently growing in the past decades, while the infrastructure of financial markets was developing and the competition between financial institutions was strengthening. The object of this graduation paper is interest rate risk and its’ management in the commercial bank and the main upraised purpose is to analyze theoretical aspects of the process of interest rate risk management and to make a practical study of interest rate risk management in the commercial bank. The paper consists of three parts, whereof in the first parts the theoretical aspects of interest rate risk management are analyzed, acquainting with the conception and theories of interest rates, analyzing the components of interest rate risk and the variety of its’ evaluation methods, their advantages, disadvantages, as well as discussing the significance of forecasting interest rate risk for the process of interest rate risk management and analyzing the instruments of hedging against interest rate risk. Aiming variously to reveal the interest rate risk management in the commercial bank, the study of interest rate risk management in the example of sector of Lithuanian commercial banks is made in the second part. The comparison with the abroad banks and indication of main problems are also made in this part of graduation paper. The benchmarks of the further improvement of... [to full text]

Submitted by Manuela de Albuquerque Montenegro (manuamonty@gmail.com) on 2016-02-10T17:10:15Z No. of bitstreams: 1 Dissertacao_Manuela_Montenegro.pdf: 902052 bytes, checksum: 9a0976ea40ce5b9c8f4612f60ad30fb4 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Manuela, boa tarde Devido às normas da ABNT, por gentileza, realizar o seguinte ajuste: - Capa: Seu nome deve constar somente no centro da página. - Onde consta São Paulo 2015, alterar o ano para 2016, pois sua apresentação ocorreu em 2016. Após alterações, realizar uma nova submissão. Att on 2016-02-11T17:23:32Z (GMT) / Submitted by Manuela de Albuquerque Montenegro (manuamonty@gmail.com) on 2016-02-11T23:44:49Z No. of bitstreams: 1 Dissertacao_Manuela_Montenegro.pdf: 900458 bytes, checksum: 2af727e90538f9bc04bf31e9d549e35f (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-02-12T19:14:43Z (GMT) No. of bitstreams: 1 Dissertacao_Manuela_Montenegro.pdf: 900458 bytes, checksum: 2af727e90538f9bc04bf31e9d549e35f (MD5) / Made available in DSpace on 2016-02-15T11:11:16Z (GMT). No. of bitstreams: 1 Dissertacao_Manuela_Montenegro.pdf: 900458 bytes, checksum: 2af727e90538f9bc04bf31e9d549e35f (MD5) Previous issue date: 2016-01-20 / The non-maturing deposits are an important source of funding for financial institutions, and imposes a challenge on risk market and liquidity management because of the lack of contractual maturity. The depositors can withdraw the invested amount, as well as investing new amounts, without any contractual penalties. Currently, there is no regulatory standard model to measure de interest rate risk and capital requirements for this accounts. However, there are new regulatory demands that, among other things, aim to standardize the non-maturing accounts models, increasing the comparability between financial institutions risk profiles. These regulatory demands increase the need of quantitative models that defines the run-off profile of this accounts or the evolution of the deposits account volumes through time. This study proposes an approach to model the expected deposits cash flows which will enable to measure the interest rate risk and present its application under the new regulatory rules for capital requirement that are been proposed. As a result we calculate the interest rate risk and the capital requirement for a hypothetical balance sheet. / Os depósitos sem vencimento são uma importante fonte de funding das instituições financeiras, e apresentam um desafio na gestão dos riscos de juros e liquidez, por não apresentarem um vencimento definido. Os depositantes podem sacar o montante de suas aplicações, bem como aportar novos volumes, a qualquer tempo sem a incidência de penalidades. Atualmente não há um modelo regulatório padronizado para mensurar o risco de juros desses produtos, bem como seu requerimento de capital. No entanto, novas regulamentações tem surgido com o intuito de, dentre outras coisas, trazer certa padronização para a modelagem dos depósitos sem vencimento, aumentando a comparabilidade do perfil de risco entre instituições financeiras. Essas regulamentações aumentam a necessidade de modelos quantitativos que definam um perfil de run-off da carteira ou de evolução dessa carteira no tempo. Este estudo tem como objetivo propor uma abordagem para modelar os fluxos de caixa esperados dos depósitos de poupança que possibilitará calcular o risco de mercado e apresentar sua aplicação dentro das novas normas de requerimento de capital que estão sendo propostas. Como resultado calculamos o risco de mercado e requerimento de capital para um balanço teórico.