Bank interest rate and liquidity risk management
Date Issued
2006
Date
2006
Author(s)
Lin, Kun-San
DOI
zh-TW
Abstract
The interest rate and liquidity risk management of the bank is very important element in the Asset Liability Management (ALM). With the deregulation and internationalization of financial environment and the greater price competition among financial industry, bank interest rate spread is compressed and the profit is decreased. Therefore, it becomes even more important for banks to manage interest rate risk and the liquidity risk to maintain on adequate level of liquidity and to protect its net interest income from being influenced by fluctuation of interest rate.
Results from this work can provide valuable references:
1. Find the factors with the influence interest rate.
2. Establish the measuring criteria of the interest rate and the liquidity risk and a better proformance of Asset and Liability committee.
3. Manage interest rate and liquidity risk.
4. Utilize financial instruments to manage the risk.
According to the significant reform brought by the R.O.C. Statements of Financial Accounting Standards No. 34 “Accounting for Financial Instruments”, the enterprises are required to measure their financial instruments based on the fair value. This research also analyses the impacts of No. 34 to Asset and Liability allocation and liquidity, and give the suggestions to manage this problem.
Subjects
利率及流動性風險
interest rate and liquidity risk management
Type
thesis