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.

Master of Agribusiness / Department of Agricultural Economics / Bryan Schurle / Quantifying the impact of various economic events is essential for risk management in community banks. Interest rate shocks of either rapidly increasing or decreasing rates, in magnitudes of at least 200 basis points, is one of the more common risks modeled. Liquidity crises that impact deposits or loan demand can arise from either local or national economic events is another risk factor that regulators are requiring banks to quantify and plan for. Excel spreadsheets can be used to develop models to measure and quantify these risks. Simulation tools and what-if analysis using data table and scenario manager identify possible outcomes for differing interest rate scenarios, interest rate shocks and liquidity stresses. Data table was used for simulation of a stochastic model to produce a cumulative distribution function of two hundred results each on three different interest rate environments. Scenario manager was used to narrow the simulation to a certain set of expectations affecting the balance sheet of the bank and another set of expectations from an interest rate shock. Changes in the bank’s balance sheet resulting from three different commodity price expectations were modeled. An interest rate shock of four hundred basis points over a two year period was also modeled. These models are simple and cost effective. Once data are captured, the time required to develop and generate scenarios is manageable. The model can be used for a wide range of what-if alternatives as an individual bank may see fit. These models are adequate to meet present regulatory requirements for a community bank of smaller size that is not complex and does not possess a high risk profile.

published_or_final_version / Business Administration / Master / Master of Business Administration

Background: The volatility in the interest rate market have increased during the last decade and this have made interest rate risk management more important for  both financial institutions and non-financial companies with short- and long term financial commitments. Objective: The main objective of this thesis is to analyze different ways of measuring interest rate risk in the treasury operations an international industrial company group. Further, the study will also examine the way treasury departments of international industrial company group’s measure interest rate risk and explain why this method have been chosen. Method: The research method of the thesis is a case study and a mix of both quantitative and qualitative data has been used to conduct it. The quantitative data have been secondary data received from TIFI’s treasury management software and the qualitative data have been collected through a survey with eight treasury managers from other international industrial company groups. Conclusion: The repricing model is suitable because it is straight forward, fairly easy to communicate to management and it focuses on the book value. However, defining relevant time buckets might be difficult. The duration model is a good measurement tool because it can be used in a variety of ways, but a disadvantage is that it focuses on the market value, which might not be appropriate for treasury departments. Stress testing captures the true change in market value, but demands forecasts about future interest rate movements and lacks tools to manage the interest rate risk. Treasury departments of international industrial company groups use a variety of measurement methods. The most frequently used methods are duration-, maturity- and Value at Risk models and different kinds of stress tests. The method should not only measure the interest rate risk in a correct way but it should also be easily explained to management and other executives in the company that might not have knowledge about financial economics. The main difference between treasury departments and commercial banks is that commercial banks try to earn money on interest rate fluctuations, whereas treasury departments want to minimize the impact of interest rate fluctuations in order to support the company group’s core business.

During the last decade several Japanese life insurance companies failed mainly due to interest losses. In fact, interest rate risk dominates mortality risk for a portfolio of business in force. When the interest rates are modelled as random variables, the yields on bonds are the sum of expected short spot rates and a risk premium for random bond prices. However, in our study, we assume a risk-neutral environment, i.e. zero risk premiums. As tools to deal with stochastic interest rates, various interest rate term structure models are considered. The Vasicek model, the Heath-Jarrow-Morton (hereafter “HJM”) approach and Cairns’ model are explained in detail. The history and nature of the very low interest rate environment in Japan is described in line with the monetary policy framework of the central bank. An unusual interest rate movement in the very low interest rate environment is identified. A modified HJM approach and Cairns’ model are chosen in our study. Cairns’ model is used to graduate the initial yield curve. The HJM approach with a specific volatility function and modified to deal with very low interest rates is used for simulating subsequent developments of the initial yield curve. After the introduction of various concepts needed to investigate a life insurance policy portfolio, we prepare for simulation by collecting information and by fitting parameters to market observations. The Yen swap curve is chosen as a base yield curve. The simulation results show how much initial capital and/or margins are needed in order to avoid the ruin of a portfolio.

The goal of the paper is to compare impacts of interest rate risk measuring meth-ods on capital requirements. The first section identifies methods for measuring interest rate risk and capital requirements for interest rate risk set by regulators. The second section compares capital requirements of model portfolio calculated by using standardized methods as well as internal models.

The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.

This study aims to analyse the changes in the capital structure of Swedish real estate companies over the past five years, with a particular focus on the period 2022-2023, characterised by the policy interest rate increasing from zero to 3.5 percent. The study further explores the potential risks these companies face concerning interest rate exposure and liquidity. The research process involves a comprehensive literature review, quantitative analysis of financial key figures, and qualitative interviews with banks and consultants in the real estate market. The findings suggest that the capital structure of real estate companies is highly influenced by the cost of capital and the companies’ credit ratings. While large companies with the highest credit ratings have coped with increased capital costs in the bond market and continue issuing bonds, remaining investment grade companies have turned to the bank sector as the prices in the bond market have increased. Increased competition in bank financing has made the banks more selective, prioritising existing customers and making it challenging for high-yield and non-existing bank customers to secure debt. The high demand for bank financing further opens up possibilities for alternative financing to increase market shares. As a consequence of escalated risk in the real estate sector, financiers are increasing credit margins and implementing stricter credit terms. A key factor for assessing the risk in today’s market is the capability of the cash flow to cover the rising cost of capital, exposing the low- yielding residential segment. To mitigate liquidity risk, the findings suggest an increased need for equity and expected share issuance and asset sales. However, a stress test conducted based on the Interest coverage ratio suggests that the real estate market is able to handle additional interest rate increases, not facing alarming distress until interest rates increase by an additional 3%. By examining theories such as the Pecking Order and Trade-off Theory, this research contributes to the existing literature, shedding light on the evolving capital structure of Swedish real estate companies and the impact of interest rate fluctuations on financing strategies and risk evaluation. / Denna studie syftar till att analysera trender i svenska fastighetsbolags kapitalstruktur under de senaste fem åren, med fokus på perioden 2022-2023, färgad av höjningar i Riksbankens styrränta från noll till 3.5%. Studien utforskar även potentiella risker för fastighetsbolag avseende ränta och likviditet. Forskningsprocessen inkluderar en omfattande litteraturgenomgång, kvantitativ analys av finansiella nyckeltal och kvalitativa intervjuer med banker och konsulter på fastighetsmarknaden. Resultaten antyder att kapitalstrukturen för fastighetsbolag i hög grad påverkas av kapitalkostnad och företagens kreditbetyg. Medan stora företag med högsta kreditbetyg har kunnat hantera ökade kapitalkostnader på obligationsmarknaden och fortsätter att emittera obligationer, har återstående företag med investment grade rating vänt sig till banksektorn när priserna på obligationsmarknaden har ökat. Ökad konkurrens för bankfinansiering har gjort bankerna mer selektiva, med prioritet för befintliga kunder, vilket har gjort det utmanande för high-yield betygsatta och icke-existerande bankkunder att säkra skulder. Den höga efterfrågan på bankfinansiering öppnar också upp möjligheter för alternativ finansiering att öka i marknadsandel. Som en följd av ökad risk inom fastighetssektorn ökar finansiärer kreditmarginalerna och inför striktare kreditvillkor. En viktig faktor för att bedöma risken på dagens marknad är förmågan hos kassaflödet att täcka den stigande kapitalkostnaden, vilket exponerar det lågavkastande bostadssegmentet. För att minska likviditetsrisken antyder resultaten ett ökat behov av eget kapital och förväntade aktieemissioner och försäljningar av tillgångar. Studien inkluderar ett stresstest genomfört baserat på räntetäckningsgraden, vilket emellertid antyder att fastighetsmarknaden klarar av ytterligare räntehöjningar och uppnår ordentliga finansiella svårigheter först vid en räntehöjning på ytterligare 3 procentenheter från dagens läge. Genom att undersöka teorier som Pecking Order och Trade-off Theory bidrar denna forskning till befintlig litteratur och belyser den utvecklande kapitalstrukturen för svenska fastighetsbolag samt påverkan av räntefluktuationer på finansieringsstrategier och riskbedömning.

Thesis (MComm)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: This assignment sets out to address the concept of equity duration, where equity duration is viewed as a measure of the interest rate sensitivity of common stock's market value. The traditional use of standard dividend discount models, results in extremely long duration estimates for equities - in the order of 10 years for income stocks to 25 years and more for growth companies whose cash flows are not expected to materialize until some future period. Leibowitz (1986) identified an alternative approach for assessing equity duration empirically. These empirical estimates of actual stock price sensitivity to underlying changes in interest rates imply that equities behave as if they are much shorter duration instruments. Various attempts have been made to reconcile the difference between theoretical predictions of equity duration and empirical findings. The differences in duration of assets in place and growth opportunities are given as a possible reason for the above mentioned differences. It is argued that investment opportunities are similar to options a company has. These option-like characteristics of growth opportunities may alter the basic relationship between equity valuation and interest rate changes. The option framework suggests that the duration of growth companies may be shorter (not longer) than those of assets in place. The results from option theory can however not be applied directly to growth options, since some of the assumptions may not be valid in the case of growth options. The presence of these growth options makes it virtually impossible to calculate equity duration theoretically. This study empirically tests the relationship between growth opportunities and equity duration by focussing the attention on the interest rate sensitivity of South African growth companies. The following hypotheses regarding equity duration and growth companies are postulated: • There is a significant difference in interest rate sensitivity between growth companies and low-growth companies. • There is a significant difference between duration of growth companies measured using nominal interest rates and duration of growth companies using real interest rates. All non-mining companies on the Johannesburg Securities Exchange SA, for the period 1980 to 2000, were analysed. These companies were sorted into different portfolios that reflected their growth opportunities. Market capitalisation, book-to-market and price-earnings ratios were used as proxies to rank companies according to growth opportunities. The results from univariate regressions suggest positive duration for common equities. The negative relationship between equity returns and changes in nominal interest rates are independent of size, book-to-market or price-earnings ratios of the sampled companies. Including the market factor as an independent variable results in markedly different equity duration. The duration is correlated with size, as both coefficients and t-statistics increase when moving from small companies to larger companies. In addition, the small companies have negative not positive duration, as was the case for simple univariate regressions. There is also some evidence that high growth portfolios, as measured by low book-to-market and high price-earnings ratios, are less sensitive to interest rate changes than low growth portfolios. Employing all three Fama and French's factors, there is no longer a cross-sectional dependence on company size, with the mean duration being close to zero and statistically insignificant in virtually all cases. Also, when dividing changes in the nominal interest rate into changes in real rates and changes in inflation, it does not significantly affect the estimates of equity duration. The author found no evidence to support the stated hypotheses, when employing the Fama and French's three factor model. This may mean that the relationships are subsumed in the Fama and French risk factors. / AFRIKAANSE OPSOMMING: Hierdie werkstuk bestudeer die konsep van die duur van gewone aandele (equity duration), waar die duur van 'n gewone aandeel gedefinieer word as 'n maatstaf van die rentekoerssensitiwiteit van die markwaarde van die aandeel. Die tradisionele gebruik van standaard dividend verdiskonterings modelle, lei tot uiters lang duur beramings vir gewone aandele - in die orde van 10 jaar vir inkomste aandele tot 25 jaar en meer vir groei ondernemings wie se kontantvloei nie verwag word om te materialiseer voor 'n sekere toekomstige datum nie. Leibowitz (1986) identifiseer 'n alternatiewe empiriese benadering vir die beraming van gewone aandeel duur. Hierdie empiriese bepaling van die sensitiwiteit van die werklike aandeelprys tot onderliggende veranderings in rentekoerse, impliseer dat gewone aandele reageer asof hulle baie korter duur instrumente is. Verskeie pogings is aangewend om die verskille tussen teoretiese voorspellings van gewone aandeel-duur en empiriese bevindings te rekonsilieer. Die verskille tussen duur van bates in plek en groei-geleenthede word aangevoer as 'n moontlike rede vir bogenoemde verskille. Dit word geargumenteer dat investeringsgeleenthede soortgelyk is aan die opsies wat 'n onderneming het. Hierdie opsie-soortgelyke eienskappe van groei-geleenthede kan die basiese verhouding tussen gewone aandeel waardasie en rentekoers verandering wysig. Die opsie raamwerk dui daarop dat die duur van groei-ondernemings korter kan wees (en nie langer nie) as die van bates in plek. Die resultate van opsie teorie kan egter nie direk toegepas word op groei-opsies nie, aangesien sekere van die aannames nie geldig mag wees in die geval van groei-opsies nie. Die teenwoordigheid van hierdie groei-opsies het tot gevolg dat dit feitlik onmoontlik is om gewone aandeel-duur teoreties te bereken. Die studie toets empiries die verhouding tussen groei-geleenthede en gewone aandeel-duur deur te fokus op die rentekoers sensitiwiteit van Suid Afrikaanse groei-ondernemings. Die volgende hipoteses met betrekking tot die gewone aandele duur en groei-ondernemings word gestel: • Daar is 'n betekenisvolle verskil in rentekoers sensitiwiteit tussen groei-ondernemings en lae groei-ondernemings. • Daar is 'n betekenisvolle verskil tussen duur van groei-ondernemings gemeet deur gebruik te maak van nominale rentekoerse en duur van groei-ondernemings deur gebruik te maak van reële rentekoerse. Alle nie-myn ondernemings op die Johannesburg Sekuriteite Beurs SA, vir die periode 1980 tot 2000, is ontleed. Hierdie ondernemings is gesorteer in verskillende portefeuljes wat hulle groei geleenthede reflekteer. Markkapitalisasie, boek-tot-markwaarde en prysverdienste verhoudings is gebruik as maatstawwe om ondernemings te rangskik volgens groeigeleenthede. Die resultate van enkel veranderlike regressies dui positiewe duur aan vir gewone aandele. Die negatiewe verhouding tussen aandeelopbrengs en verandering in nominale rentekoerse is onafhanklik van grootte, boek-tot-markwaarde of prysverdienste verhoudings vir die getoetste ondernemings. Indien die markfaktor ingesluit word, as 'n onafhanklike veranderlike, lei dit tot opvallend verskillende gewone aandeel-duur. Die duur is gekorreleer met grootte, met beide koëffisiënte en t-statistieke wat styg wanneer beweeg word van klein ondernemings tot groter ondernemings. Addisioneel, die klein ondernemings het negatiewe, nie positiewe duur, anders as in die geval van eenvoudige enkel veranderlike regressies. Daar is ook bewyse dat hoë groei portefeuljes, soos gemeet deur lae boek-tot-markwaarde en hoë prysverdienste verhoudings, minder sensitief is vir rentekoers veranderings as lae groei portefeuljes. Met die aanwending van al drie Fama en French se faktore is daar nie meer kruis-selektiewe afhanklikheid (cross-selectional dependence) op ondernemingsgrootte aanwesig nie, met die gemiddelde duur wat naby nul is en statisties onbedeidend in feitlik all gevalle is. Wanneer die verandering in die nominale rentekoers verdeel word in veranderings in reële koerse en veranderings in inflasie, beïnvloed dit ook nie betekenisvol die bepaalde gewone aandeel duur nie. Die outeur het met die gebruik van die Fama & French drie faktor model geen bewyse gevind wat die vermelde hipoteses staaf nie. Dit mag beteken dat die rente-risiko verwantskappe in die Fama en French risiko faktore vervat is.

Thesis (MComm (Business Management))--University of Stellenbosch, 2011. / ENGLISH ABSTRACT: This study focuses on banking book interest rate risk management, more specifically shortterm interest rate risk management problems. This type of risk is induced by the inflation targeting policy of the South African Reserve Bank. As a result, inflation leads to an uncertain interest rate cycle and a period of uncertain interest rate levels as it relates to lending and borrowing products in the South African commercial banking sector. The lending rates of most South African commercial banks are tied to the prime overdraft rate. The borrowing rates are linked to the money market rates such as the Johannesburg Interbank Agreed Rate (JIBAR) which is indirectly affected by the prime overdraft rate. Hence, lending and borrowing rates are related to the repo-rate. Furthermore, a fixed relationship exists between the prime overdraft rate and the repo-rate. The monetary policy committee meets every two months during the year to make inflation and repo-rate adjustments, as stipulated in the inflation targeting policy. A subject portfolio containing fixed-rate loans, advances and floating-rate deposits is exposed to the change of the repo-rate. This short-term banking book interest rate risk is defined based on the fact that the repo-rate adjustment occurs every two months, the banking book risk management is short term focused, and hedging instruments against interest rate risk are short term dated contracts. Such a short term risk may have a negative impact on the bank’s profitability. The study starts with a review of the bank risk management processes, and then discusses the enterprise risk management framework that guides the formation of the risk management processes and systems. In order to benchmark against international risk management practices, a comparative analysis is carried out to evaluate the risk management tendencies of bank risk management in South Africa and globally. The empirical findings reveal that most banks (i.e. eighty per cent of all local banks) manage the short-term interest rate risk by following the same process as the interest rate risk in general. The key elements (risk identification, measurement, mitigation and monitoring and reporting) of the banking book interest rate risk management are not linked together as a systematic process. This is not in line with the Basel II Accord to manage market risks through a process approach. The study also proposes a generic short-term interest rate risk management framework and in doing so, addresses some of the weaknesses of current risk management practices. Based on this framework, the South African banks may develop their own processes to manage such short-term banking book interest rate risk exposure. Some of the problems of bank risk management that come to light from the empirical findings, are summarised in the last chapter and may be considered for future research. / AFRIKAANSE OPSOMMING: Hierdie studie fokus op die probleme van die bankboek rentekoersrisikobestuur, meer spesifiek die korttermyn rentekoers risikobbestuursprobleme. Hierdie tipe risiko word deur die inflasieteikenraamwerk beleid van die Suid-Afrikaanse Reserwebank veroorsaak. Dit veroorsaak ‘n tydperk van onsekere rentekoersvlakke veral sover dit uitleen- en leenprodukte in die Suid-Afrikaanse kommersiële banksektor aangaan. Die uitleenkoerse van die meeste Suid-Afrikaanse kommersiële banke is aan die prima bankoortrekkingskoers gekoppel. Die leningstariewe is aan die geldmarkkoerse soos die Johannesburgse Interbank Ooreengekome Koers (JIBOK) gekoppel wat indirek geraak word deur die prima bankoortrekkingskoers. Uitleen- en leenkoerse is redelik afhanklik van die repo-koers waar laasgenoemde ‘n redelike vaste verwantskap met die prima bankoortrekkingskoers het. Die monetêre beleidkomitee vergader elke twee maande van die jaar om inflasie en repokoers aanpassings te maak, ooreenkomstig die inflasieteiken beleid. 'n Bepaalde portefeulje met vasterente lenings, voorskotte en vlottende koers deposito’s is blootgestel aan die verandering in die repokoers. Hierdie korttermyn rentekoersrisiko van die bankboek word gedefinieer op grond van die feit dat die repo-koers aanpassing elke twee maande gebeur. Die bankboek risikobestuur het ‘n korttermyn fokus, en verskansingsinstrumente teen rentekoersrisiko is korttermyn kontrakte. So 'n korttermyn risiko kan 'n negatiewe impak op die bank se winsgewendheid hê. In hierdie studie word bankrisikobestuur prosesse beskou. Die risikobestuursraamwerk wat die basis vorm van die risikobestuursprosesse en stelsels word aangespreek. Om 'n idee te vorm van die huidige internasionale risikobestuurspraktyke of tendense by banke, word die state van internasionale en oorsese banke kortliks beskou. Die empiriese bevindinge uit die opname dui daarop dat die meeste banke (d.w.s tagtig persent van alle plaaslike banke) die korttermyn rentekoersrisiko nie afsonderlik van rentekoersrisikobestuur in die algemeen bestuur nie. Die sleutelelemente van die risikobestuursproses (risiko identifisering, mitigasie, implementering, monitering en verslagdoening) kom wel voor maar die bankboek rentekoersrisikobestuur is nie gekoppel as 'n sistemastiese proses nie. Dit blyk dat hierdie situasie na alle waarskynlikheid nie in lyn is met die Basel II akkoord om markrisiko's deur 'n prosesbenadering, te bestuur nie. Die studie stel ook ‘n generiese raamwerk voor vir die bestuur van korttermyn rentekoersrisiko wat dan ook van die swakhede van die huidige risikobestuurspraktyke aanspreek. Op grond van hierdie raamwerk, kan die Suid-Afrikaanse banke dit oorweeg om hul eie prosesse te ontwikkel vir die bestuur van bankboek rentekoersrisiko blootstelling. Sommige navorsingsprobleme van bank risikobestuur wat uit die empiriese bevindinge aan die lig gekom het, word in die laaste hoofstuk opgesom en kan vir verdere navorsing in die toekoms oorweeg word.