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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/6747 |
| Date | 03 1900 |
| Creators | Sun, Jiaqi |
| Contributors | Van Rooyen, J. H., University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Business Management. |
| Publisher | Stellenbosch : University of Stellenbosch |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Rights | University of Stellenbosch |
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