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Evidence On Interest Rate Risk Management And Derivatives Usage By Commercial Banks
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Book Synopsis Evidence on Interest Rate Risk Management and Derivatives Usage by Commercial Banks by : Anwer S. Ahmed
Download or read book Evidence on Interest Rate Risk Management and Derivatives Usage by Commercial Banks written by Anwer S. Ahmed and published by . This book was released on 1997 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides evidence on the Interest Rate Risk (IRR) management activities of commercial banks including their use of derivatives. We find that (i) banks primarily focus on managing interest rate sensitivity of net income rather than the interest rate sensitivity of stock returns, (ii) the level of IRR taken by banks is directly related to liquidity, and inversely related to managerial quality and bank size, (iii) derivative users as a group have lower mean and median exposure than non-users, and (iv) for the majority of users, derivative usage reduces exposure. These findings are inconsistent with the view that derivatives threaten the viability of the banking system.
Book Synopsis Financial Risk Management in Banking by : Shahsuzan Zakaria
Download or read book Financial Risk Management in Banking written by Shahsuzan Zakaria and published by Routledge. This book was released on 2019-08-08 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: As risk-taking is an essential part of the banking industry, banks must practise efficient risk management to ensure survival in uncertain financial climates. Banking operations are specifically affected by fluctuations in interest rates which cause financial imbalance; thus banks are now required to put in place an effective management structure that incorporates risk management efficiency measures that help mitigate the wide range of risks they face. In this book, the authors have developed a new modelling approach to determine banks’ financial risk management by offering detailed insights into the integrated approach of dollar-offset ratio and Data Envelopment Analysis (DEA), based on derivatives usage. It further analyses the efficiency measurement under stochastic DEA approaches, namely (i) Bootstrap DEA (BDEA), (ii) Sensitivity Analysis and (iii) Chance-Constrained DEA (CCDEA). As demonstrated in the modelling exercise, this integrated approach can be applied to other cases that require risk management efficiency measurement strategies. Additionally, this is the first book to comprehensively review the derivative markets of both the developed and developing countries in the Asia-Pacific region, by examining the differences of risk management efficiency of the banking institutions in these countries. Based on this measurement approach, strategies are provided for banks to improve their strategic risk management practices, as well as to reduce the impacts from external risks, such as changes in interest rates and exchange rates. Furthermore, this book will help banks to keep abreast of recent developments in the field of efficiency studies in management accounting, specifically in relation to hedge accounting, used by banks in the Asia-Pacific region.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rate Derivatives at Commercial Banks by : Amiyatosh Purnanandam
Download or read book Interest Rate Derivatives at Commercial Banks written by Amiyatosh Purnanandam and published by . This book was released on 2006 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: I analyze the effects of bank characteristics and macroeconomic shocks on interest rate risk-management behavior of commercial banks. My findings are consistent with hedging theories based on cost of financial distress and costly external financing. Banks with higher probability of financial distress manage their interest rate risk more aggressively, both by means of on-balance sheet and off-balance sheet instruments. As compared to the derivative users, the derivative non-user banks adopt conservative asset-liability management policies in tighter monetary policy regimes. Finally, I show that the derivative non-user bank's lending volume declines significantly with the contraction in the money supply. Derivative users, on the other hand, remain immune to the monetary policy shocks. My findings suggest that a potential benefit of derivatives usage is to minimize the effect of external shocks on a firm's operating policies.
Book Synopsis Interest Rate Risk Management by : Christine Helliar
Download or read book Interest Rate Risk Management written by Christine Helliar and published by Elsevier. This book was released on 2005-05-04 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk management is currently subject to much debate, especially the accounting for derivative products, and a number of commentators are objecting to the introduction of International Accounting Standard IAS 39 for Derivatives that will be in force by January 2005 for all EU companies. The topic of hedge accounting and the treatment of fair values may have a significant impact on many companies reported profits, and the volatility of earnings is likely to increase. Uniquely this monograph focuses on interest rate risk management. Most studies of corporate risk management have typically dwelt on the topic of management of exchange rate risk, with interest rate risk management being neglected. The book’s findings examine the views of UK corporate treasurers who are usually involved in the risk management strategies of their organisation and who have responsibility for implementing those strategies in practice. * The research is the first comprehensive UK study on this area * Relevant to the imminent arrival of IAS 39, the International Accounting Standard for Derivatives that will be in force by January 2005 for all EU companies. * The findings of the book have implications for government policy and regulators
Book Synopsis The Risk of Economic Crisis by : Martin Feldstein
Download or read book The Risk of Economic Crisis written by Martin Feldstein and published by University of Chicago Press. This book was released on 1991-08-13 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on a special National Bureau of Economic Research conference held in Oct. 1989. Includes bibliographical references and indexes.
Book Synopsis The Use of Financial Derivatives by Rural Commercial Banks to Hedge Against Interest Rate Risk by : Kyna K. Estes
Download or read book The Use of Financial Derivatives by Rural Commercial Banks to Hedge Against Interest Rate Risk written by Kyna K. Estes and published by . This book was released on 1999 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rate Risk Management by : Benton E. Gup
Download or read book Interest Rate Risk Management written by Benton E. Gup and published by Irwin Professional Publishing. This book was released on 1993-01 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Interest Rate Risk Management experts Benton Gup and Robert Brooks explain how banks and other types of financial institutions can use derivative securities to reduce interest rate risk. Comprehensive and in-depth, the book examines the effects of interest rate risk; the effects of interest rate changes on the value of financial assets; traditional and state-of-the art asset liability management techniques; how to hedge interest rate risks using forwards, futures, swaps and various types of options; regulatory and accounting considerations; and interest rate risk management policies. Thorough appendices provide greater detail through discussion of technical details and mathematics. An extensive glossary is provided for quick reference.
Book Synopsis Interest rate risk management by commercial banks after deregulation by : Joseph Francis Ruysser
Download or read book Interest rate risk management by commercial banks after deregulation written by Joseph Francis Ruysser and published by . This book was released on 1985 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Use of Interest Rate Swaps by Commercial Banks by : Lyes Boukrami
Download or read book The Use of Interest Rate Swaps by Commercial Banks written by Lyes Boukrami and published by . This book was released on 2003 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need for the management of interest rate risk has driven bank managers to use new financial tools. Banks interest rate exposure associated with a mismatch between assets and liabilities can be measured using traditional GAP and duration GAP analysis. Derivative instruments are new tools used by banks in order to adjust the amount of assumed interest rate risk. These instruments include interest rate swaps, interest rate futures and forward rate agreements. This study using annual data for the year 2001 tried to shed some light on the pattern of interest rate swap use for asset liability purposes by a number of leading US Commercial banks. Thus the banks' specific characteristics (size, asset quality, capitalisation, profitability, interest rate risk profile) are regressed against the notional amount of the interest rate swaps reported as hedging activities. The results suggests that larger banks (as measured by the number of total assets) tend to use interest rate swaps more intensively than smaller banks. In addition, the study has found that banks with better asset quality tend to be more intensive users of interest rate swaps than those with weaker asset quality. Finally the study found that banks with high capitalisation are bigger users of the interest rate swaps than those with lower capitalisation.
Book Synopsis Evidence on the Efficacy of Market Risk Disclosures by Commercial Banks by : Anwer S. Ahmed
Download or read book Evidence on the Efficacy of Market Risk Disclosures by Commercial Banks written by Anwer S. Ahmed and published by . This book was released on 1999 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents evidence on the efficacy of maturity gap disclosures and interest rate risk policy disclosures of commercial bank holding companies in indicating their interest rate risk exposures. Using data from the Federal Reserve Y-9 reports over 1991-1996, we find a significant relation between maturity gap and future change in net interest income indicating that gap data are useful in assessing the loss potential of banks' interest rate risk positions. This is contrary to the claim of some banks that gap data are not useful indicators of interest rate risk. The finding mitigates concerns about the usefulness of the SEC (1997) market risk disclosure requirements and is pertinent to the SEC's scheduled review of these requirements.We also find that gap is negatively related to interest rate sensitivity of banks contrary to the nominal contracting hypothesis though this relation is significant only in three out of the six years examined. Taken together, the evidence suggests that inferences about market risks based on interest rate sensitivity alone may be misleading. Finally, we find no support for the hypothesis that qualitative policy disclosures help distinguish hedgers from speculators.
Book Synopsis An Interest Rate Risk Management Model for Commercial Banks by : Wolfgang Bessler
Download or read book An Interest Rate Risk Management Model for Commercial Banks written by Wolfgang Bessler and published by . This book was released on 1994 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring and Controlling Interest Rate and Credit Risk by : Frank J. Fabozzi
Download or read book Measuring and Controlling Interest Rate and Credit Risk written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2003-09-10 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.
Book Synopsis Managing Interest Rate Risk by : John J. Stephens
Download or read book Managing Interest Rate Risk written by John J. Stephens and published by John Wiley & Sons. This book was released on 2002-03-12 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.
Book Synopsis Interest Rate Risk Management of Bank Holding Companies by : Anne Beatty
Download or read book Interest Rate Risk Management of Bank Holding Companies written by Anne Beatty and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the extent to which bank holding companies trade-off the use of investment securities and interest rate swaps when managing interest rate risk inherent in their core business. We find that both securities and swaps are used to hedge interest rate risk and that these two types of financial instruments are used as substitute hedging mechanisms. Our evidence suggests that the FASB's current proposal limiting hedge accounting treatment to derivative financial instruments may not reflect how banks manage interest rate risk. In addition, the discrepancy in accounting treatment may lead banks to prefer one of these two types of financial instruments.
Book Synopsis Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks by : Elyas Elyasiani
Download or read book Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks written by Elyas Elyasiani and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates the interest rate and exchange rate risk betas of fifty-nine large U. S. commercial banks for the period of 1975-1992, as well as the bank-specific determinants of these betas. The estimation procedure uses a modified seemingly unrelated simultaneous method that recognizes cross-equation dependencies and adjusts for serial correlation and heteroskedasticity. Overall, the exchange rate risk betas are more significant than the interest rate risk betas. More importantly, we find a link between the scale of a bank's interest rate and currency derivative contracts and the bank's interest rate and exchange rate risks. Particularly noteworthy is the influence of currency derivatives on exchange rate betas.
Book Synopsis The Risks of Financial Institutions by : Mark Carey
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
