Συμπεριφορά των τραπεζών έναντι του επιτοκιακού κινδύνου - Ανάλυση παραμέτρων και διαχείρισης
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Keywords
Καταθέσεις ; Κίνδυνος επιτοκίου ; Μετασχηματισμός ληκτότητας ; Ευαισθησία αξιογράφων ; Τραπεζικά ιδρύματαAbstract
This paper clearly analyzes the maturity transformation in the Banking Sector and the potential interest rate risk involved. We highlight the role of the Deposit Franchise and how it actively fully hedges the Risk. Deposit Franchise allows short-term deposits to act as long-term liabilities in the Balance Sheet, facilitating the maturity transformation. This is because depositors' service costs (bank operating costs) are high but are not affected by the short-term borrowing rate of the market, something that looks like a long-term fixed-rate liability. The long-term liability needs to be matched by investing in Assets with long-term repricing maturity. In addition, a Deposit Franchise benefits a Bank as due to the strength in deposit rates it derives from its de facto interpretation as a depository institution, banks can pay to depositors low-interest rates which are not sensitive to market interest rates. Examining the top-5 U.S banks from the income approach, we prove that banks with low sensitivity of expenses in the variation of the Reference Rate (something that implies strong Deposit Franchise ) show an increased difference between the duration of (long-term) Assets and the duration of (short-rate) Liabilities. We also prove very low exposure of their N.I.M, as profitability index, in a variation of the Reference Rate so we conclude that they do not bear Interest Rate Risk.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
43Language
Greek
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Attribution-NoDerivatives 4.0 Διεθνές
Attribution-NoDerivatives 4.0 Διεθνές