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Фінансовий менеджмент банку - Primostka L.O.

ROZDIL 7. MANAGEMENT OF THE RISE OF THE AMONG VDUSOTKOV BAR

7.1. METHOD OF STRUCTURAL BALANCE SHEET

The rozvitok is the widow of the dyality of the financial markets, moving to the main markets, actively increasing the number of time-consuming zvoyazyku that informational systems have sprung up to the point that minimization and non-overdubbing became the main characteristics of the top rates. Якщо ризик ліквідності zmenshuyut zavdyaki mozlivostej, yakі nadae rozviny finansovy rinok, then rizik zmіni vіdsotkovyh bets on tsymu rinku, navpaki, znastno zrostaє. For wits, if vidsoftoki rates mozhut zmіnuvatisya schochvilini, risik visokotkovyh rates becoming the main bankoviskim risikom. Sered sysіh visіv ризиків, з якими стакаються банки, не знайдеться такой, аналізу і Control of якого приділялося б стільки уваги in the international banking practice of the remaining rockік, як ризику зміни відсоткових ставки.

Critical rіvenь ризику зміни відсоткових rates vіznachaєtsya yovіrnіstyu that, mean of the average rate for zaruchenimi koshtami bank stretching perіоду соєї дії може перевищити середню відсоткову rate for assets, as well as a testimony before zbitkiv bank.

Закономірно постає запитання: chi mozhna povnistju unikuti vidtsotkovogo risiku? Theoretically - so, yakshchoo activists povnistyu zbalansovany z pasivami yak for lines, and for rozmir. Prote on practice is not capable of doing this. Otzhe, banks postiyno naryazhayutsya vіsotkovy rizik. Through tse potrbobno all hour rukvenovati riven admissible riziku t svidomo keruvatichim process. The management of the risk management can be used to obtain the method of structural balance, hep management, duracies (in-kind hedge), and that of conducting transactions with derivatives (a hedge).

Structurally, the balance sheet of the portfolio is active і zobov'azan - tse one іz methodів, з допомогою якого bank фіксує spread and neutralize the risk of changing the rate of interest. If you are allowed to adhere to, all rates are charged for active, and for passive operations, however, it is the same in one straight line. Tse pripuschennia povjazane a concept "paralelnogo zsuwu" krivoi dohіdnosti. The main parameters of the management of the insecurity risk for the balance are the structuring of the activity and the zobov'azan - the line that sum.

Розглянемо вплив строів на показтковості та відсотковий ризик банку, if you want to smell such a parameter, yak suma activeі zobov'azan 'in a penny virazhenny. Sutnist priyomu polyagae u vstanovlenni spivvidnoshen mizh lines zaluchchennya ta rozmіschennya novoivih for rozmіrom koshtiv.

Zbalansovana behind the lines of strategy, vperbacha vstanovlenya povniї vidpіdnostі mіzh terminami zaluchchennia ta rozmіschennia koshtiv. This strategy is not maximizing, but stabilizing the pributok, minimizing the viscous rizik. Застосовується under the friend model of managing the bank.

It is unbalanced behind the lines of strategy - an alternative approach, that is, potentia potentiyni mozlivostі podervitenih pributkіv for rahunok zmіni vіdsotkovyh rates. Vіkoristannya zаnаchenoї strategіїї base on the prognosis зміни швидкості, the exactness of the magnitude of the top-rate rates on the market. Zgіdno z nezalansovannuyu strategііyu upravlennya lines zaluchennia koshtiv majut bouti short for lines їх rozmіschennya, yakshcho prediction svidchit pro majbutnі znizhennia vіsotkovkikh rates, i navpaki: lines vikonannya zobov'san 'to bank majut rewind lines for assets, it is possible to predict the rate of rates. Such a pidhod allow to maximize pributok, ali ssprovodzhuyutsya pidvishchenim rizikom, pov'yazannim із незначеністю зміни відсоткових ставки. Yakshto forecast stosovno vidsotkovyh rates do not vizpodayetsya, then can zbitki.

On the basis of the strategy, vlapovate bagatno chinnikiv, such as the type of the model of the management of the bank, the forecast for the forecast of the rink rates, the specific situation on the market, the canvassing bank, the shodo zaluchchennya ta rozmischennya koshtiv, skilnist up to the riziku tochno.

Application 7.1

Клієнт zvernnuvsya to the bank із claim about nadannya pevnoy sumi credit term for 3 months. Otsіniti perevagi ta nedolіki zbalansovanoї і nezalansovanoї strategіі fіnsuvannya dannogo kreditu. The rate of forecasted rivnі відсоткових rates is shown in Table. 7.1.

Розв'язання

Bank maє dvі alternative strategies of financing a loan:

1) to raise a deposit for such a sum for 3 months;

2) to raise a deposit for such a sum for 2 months, and after 2 months in order to receive a loan for 1 month from the date of payment, the yak to be deposited on the market for that hour.

Якщо банківські спеціалісти predicting the payment of interest rates in the course of three months, then the results will bring the greeting of the Persoi - balance sheet for the lines of strategy. Yakshto forecast zmіni rates svidchit pro їх znizhenna, then you can be skovistatisya unbalanced strategy.

Table 7.1.

VDTSOTKI RATES FOR CREDITS THAT DEPOSITS

1. Spread to the bank in times when the first strategic strategy is stabilized 5% (30 - 25). Відсотковий ризик, а також ризик ліквідності зведені до мінімуму.

2. Vicorage of another strategy to allow the bank to spread the spread to 8.7% for the name, but the forecast of the change in rates should be correct:

30 - (22 • 60: 360 + 20 • 30: 360): 90 • 360 = 30 - 21.3 = 8.7.

With the use of the bank, it is necessary to increase the risk of rises, misapprehension of the rates of interest, and water resources to reduce the risk of illicit activities. Yaksho forecast is not manageable і rates through the two months, the bank does not get to pay 5% spread, but it is possible, і зазнає збитків.

Yakzcho predicted zhostaniya rates, the bank can co-ordinate the cyme for maximizing spread, having seen a loan for 3 months, and the deposit after picking up for a trivial hour, on the application for 6 months. After 3 months, if the rates are zgidno z prognozom і and the loan will be turned off, the bank matiem zmogu reinvestuvati activatel on 3 mіsyatsі під вишу ви bid, шо to allow spreading spread in rozraunku for 6 months.

Tactics of the structural balance of the portfolio of active and passive can be custodianized as well as in the course of the year, so і schodo obsyagіv zaruleni ta rozmіschenih koshtiv. Suitnosti pіdhodu zveditsya up to namagannya as close to the level of the active and passive operation, yakі majut one line of vikonannya. Іnakshe kazuchi, the bank choraza namagaetsya zupiniiti vibri on the strait of rozmischennya koshtiv, which allows to reinforce the structure of the active and zobov'azan. Correcting the rules of structural balance, the manager will ask for a clause on the taku and sumu і that line itself, yakі perebacheni umovami ugodi, sho slugu dzherlo fіnansuvannya credit operatsiії. The stock of such a method can be managed using a risk management method, which can be used for repayment of the basic sums of borrows in the credit book for a ragoon of a single-entry deposit certificate with a zero coupon, realizing a discount.

The method of structural balancing is the overarching method of the traditional approach to managing assets and liabilities to the bank with the method of hurting risk of vulnerability. Prior to the transfer of the method, it is possible to recognize the simplicity of that accessibility, especially as it is important for bankruptcy banks in the minds of the visibility of their small opportunities, but for the development of financial markets.

The shortcomings of the dany pidhodu є lack of gnuchkist, neobhіdnіst carried out restructuring balance in zvjazku zim zminіami rinkovih rates, vіsutnіst plenotnogo open space for maneuver. Wimoga is listed in the picture of the structure of active and passive pereskodzha to the different health needs of klієntіv, if you want to settle the credit and deposit accounts, it will take an active hour and can become unsuitable for the management of your child. Conducted balancing operations do not take care of the needs of the bank, the yogic plans for the Maybutne, but the unimaginative view of the vitrality.

The method of structural balance is viscous for the management of banks in parallel ways in managing the risk-taking risks, it is inconceivable not to worry about the practice of balancing all the positions in the rows. Zdebylshogo method balansuvannya zastosovuyutsya shodo naybіlshih oath the operation, tobto process mikrohedzhuvannya.