利率外文翻译--量化银行利率风险：假设至关重要

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1、 中文 2125 字 外文文献翻译 原文（节选）： European Financial Management, Vol. 15, No. 5, 2009, 10011018 Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter Oliver Entrop,Marco Wilkens,Alexander Zeisler Abstract This paper analyses the robustness of the standardised framework proposed by the Basel Com

2、mittee on Banking Supervision (2004b) to quantify the interest rate risk of banks. We generalise this framework and study the change in the estimated level of interest rate risk if the strict assumptions of the standardised framework are violated. Using data on the German universal banking system, w

3、e find that estimates of the interest rate risk are very sensitive to the frameworks assumptions. We conclude that the results obtained using the standardised framework in its current specification should be treated with caution when used for supervisory and risk management purposes. Keywords: inter

4、est rate risk, Basel Capital Accord, banking supervision, standard- ised interest rate shock Interest rate risk, along with credit risk, is one of the crucial risks banks face. It naturally arises in the banking book from the basic banking business when banks act as asset transformers, i.e., they le

5、nd out long-term and refinance short-term. This causes a maturity mismatch between assets and liabilities, closely related to a repricing mismatch, and results in a duration gap that makes the economic value of banks sensitive to changes in the yield curve (see, e.g., Bhattacharya and Thakor, 1993).

6、1 The US Savings and Loan Crisis of the 1980s, where more than 550 of the approximately 4,000 savings and loan institutions failed, is a well-known example where interest rate risk played an integral role (see, e.g., Federal Deposit Insurance Corporation, 1997) Since it is a systematic risk, interes

7、t rate risk is especially important to the stability of the financial system. The new Basel Capital Accord (Basel II, see Basel Committee on Banking Supervision, 2004a) aims to strengthen the stability of the financial system and establishes detailed minimum mandatory capital requirements for credit

8、 risk and operational risk. However, there are no mandatory capital requirements for interest rate risk in the banking book. Instead, it is supervised under pillar 2 (supervisory review process) of Basel II. In this context, the Basel Committee published principles for the management and supervision

9、 of interest rate risk (see Basel Committee on Banking Supervision, 2004b). Banking supervisors are advised to be especially attentive to those banks called outlier banks whose economic value in relation to regulatory capital declines by more than 20% if a standardised interest rate shock occurs.2 T

10、he Basel Committee on Banking Supervision (2004b) stresses that banks internal measurement systems should, wherever possible, form the foundation of the supervisory authorities measurement of, and response to, the level of interest rate risk. Acknowledging that not all banks are able to adequately q

11、uantify their interest rate risk with advanced internal models, the Basel Committee provides a standardised framework as a possible model to obtain information on the interest rate risk in the banking book.3 This standardised framework has been implemented in the supervisory legislation in many coun

12、tries, such as Germany (Bundesanstalt fur Finanzdienstleistungsaufsicht, 2007). This paper aims to evaluate whether the Basel Committees standardised frameworkis adequate and robust enough to assess the interest rate risk of banks. Although it is clear that a simple model will always lead to somewha

13、t incorrect results, the issue is still critical to both banking supervisors and banks. If assumptions of the standardised framework turn out to be inadequate or too simplistic, banking supervisors might severely misjudge a banks interest rate risk and thus react inappropriately. Additionally, this

14、may give rise to poor bank-internal risk management decisions, as internal risk measurement systems are often based on ideas similar to the Committees proposal. Hence, it is crucial for banking supervisors and banks to understand to what extent the underlying assumptions can affect the model-implied

15、 level of interest rate risk. To the best of our knowledge, this paper provides the first robustness analysis for this kind of approach For this purpose, we develop and apply a generalisation of the Basel Committees model to analyse the effects of different economically sensible assumptions on the n

16、umber and boundaries of the time bands, the distribution of maturities within the time bands, amortisation rates, coupons, and the economic maturity of non-maturing deposits. To base our analysis on a realistic setting, we consider the interest rate risk of the aggregated German universal banking sy

17、stem, that is, a hypothetical bank that can be interpreted as an average German universal bank. We make use of data provided by the Deutsche Bundesbank that is not publicly available. These contain regulatory data on on-balance-sheet positions of German banks； however, detailed information on the us

18、e of derivatives is not available.5 We find that estimates of the interest rate risk vary substantially depending onthe models assumptions. Banks such as the average German universal bank can be easily identified as either a very risky outlier bank or a low-risk bank. We find certain assumptions to

19、be more relevant than others. Furthermore, the influence of the assumptions depends on a banks business model. For example, the assumption regarding the economic maturity of non-maturing deposits is of great relevance for the average German universal bank, and is generally more relevant for savings

20、and cooperative banks than for private commercial banks. All in all, our analysis highlights the great dependence of the Basel Committees framework on the model assumptions. Therefore, the results obtained using the standardised framework in its current specification should be treated with caution i

21、f employed for supervisory and risk management purposes. The remainder of this paper is organised as follows. Section 2 presents the Basel Com- mittees standardised framework and generalises the model by relaxing the assumptions. Section 3 describes the data sources for our analysis. In Section 4 we

22、 estimate interest rate risk according to the suggestions of the Basel Committee. In Section 5 we apply the generalised model to analyse the impact of different economically relevant assumptions on the estimates to gain insight into the robustness of the Basel Committees approach. Section 6 summaris

23、es the findings and offers conclusions. 1 Other sources of interest rate risk for banks are given by embedded options and different interest rate pass-through policies for asset and liability positions (basis risk), even if there is no repricing mismatch (e.g., Basel Committee on Banking Supervision

24、, 2004b). 2 See Section 2.1 for details. 3 Basel IIs treatment of interest rate risk in the banking book is clearly in the spirit of the rules for credit risk in which standardised and bank-internal (ratings-based) approaches also exist. 4 Similar approaches have been applied for many years by natio

25、nal supervisory institutions such as the Federal Reserve (e.g., Houpt and Embersit, 1991). 5 As a by-product of our analysis, by incorporating these data we also shed some light on the structure of interest rate risk of the German universal banking system ex derivatives. Although little is yet known

26、 about the interest rate risk in the German banking system, there are indications that the level of interest rate risk is comparatively high (e.g., Deutsche Bundesbank, 2006a). Entrop et al. (2008) analyse the determinants of the interest risk on the individual bank level. Note that disregarding derivatives in our analysis does not substantially affect our primary results. Incorporating derivatives would affect the estimated level of interest rate risk but the sensitivities to the assumptions on the on-balance-positions would remain essentially unchanged