s tion.
. The concept of «spread», in which analyzes the difference between the weighted average rate earned on assets and the weighted average rate of Noah, and EXECUTE chennoy of liabilities (liabilities). What is the difference between these two values ??and E is, the uro Wen percentage of risk below. Data for the analysis is usually used e Ruth smiling father of statistical t of a bank.
. The concept of «gap» (A gap), which is placed on to the analysis nesbalan ing of the bank's assets and liabilities with fixed and melt guide tons per cent on the interest rate. Take the excess of assets with variable us interest in a hundred Coy over liabilities with a fixed rate in a static or over a lane and no one time e.Level of interest rate risk depends on:
* changes in the portfolio (structure) of assets, including the ratio of the values ??of loans and investments, fixed assets and plans colliding rate dynamite and matches their prices in the market;
* Changes in the structure of liabilities, ie gearing, time and savings deposits, deposits tov «to On demand of a»;
* Interest rate dynamics.order to monitor and control the level of interest rate risk, pa s oped specific strategy of the bank, depending on the concrete situation to nns (see Table. № 1). to control the level of interest rate risk
bank economy risks operation
Table number 1
SituationRecommendations1. Expected to increase sufficiently accurate low percentage tion Art and wokEnlarge terms borrowed funds; Reduce loans with fixed interest hundred in Coy; Reduce the time of investment; Sell?? Part of the investment (in the form of securities); obtain long-term loans; Close some risky lines of credit.2. Interest rates rise, Waiting and etsya dos tizhenie their peak in bl and nearest-bud at presentStart shortening borrowed funds; start lengthening the investment; to begin preparing for an increase in the share of loans with fiksirova Mr. Noah hundred in Coy; prepare for an increase in the share of investment in securities boom and gah; consider the possibility of early repayment of the STI with fi densed to interest rate; 3. Expected pic voltage sufficiently high interest rates Shorten the period of borrowings; increase the share of fixed rate loans; increase the timing and size of portfolio investments; open new lines of credit; 4. Interest rates fall, close to m and minima start lengthening the terms of borrowings; start reducing the time investment; increase the proportion of floating rate loans; reduce investments in securities; selectively sell assets with a fixed rate or Doh on the house. method of hedging, thus allowing separation pour risk linked with Mr. tion fluctuated and it interest rates kl and entom.
. Interest futures contracts. They are fixed-term contracts, which are used to play on interest rates. Pr denote like about Futures, interest rate futures are used for speculative functions on I to about le baniyah market interest rates, as well as to cover percent t ri tion with ka.
. Interest rate options. Interest rate option - with this chapter w ix, which provides the holder of the option the right (but not the obligation) to buy or sell certain financial sovy Institute of Art rument (short-term loan or deposit) in financial costs to densed before or upon the occurrence of a specific date in by ...
