Warianty tytułu
The Evaluation and Control of Interest-Rate Risk at Commercial Banks, as Proposed by the Basle Committee and the Federal Reserve
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Abstrakty
Rozwój rynków finansowych w latach siedemdziesiątych i osiemdziesiątych, polegający między innymi na rosnącej dywersyfikacji i złożoności produktów bankowych, deregulacji parametrów rynkowych oraz uniwersalizacji banków, doprowadził do sytuacji, w której przewidywania banków co do przebiegu przyszłych zjawisk rynkowych stawały się coraz trudniejsze. Tym samym rosły również zagrożenia z tytułu różnych form ryzyka bankowego. Pierwszym krokiem w kierunku kontroli ryzyka bankowego było określenie w 1988 r. przez Komitet Bazylejski minimalnych standardów kapitałowych w odniesieniu do ryzyka kredytowego banków. Dalsze zmiany, jakie zaszły od tego czasu na rynkach finansowych świata, tj. liberalizacja polityki stopy procentowej oraz szybki rozwój rynku instrumentów pochodnych, uświadomiły władzom nadzorczym wysoko rozwiniętych krajów świata konieczność pomiaru i kontroli innych rodzajów ryzyka bankowego oraz określenia sposobów zabezpieczania się przed nim. (abstrakt oryginalny)
The article examines methods of measuring and controlling interest-rate risk at commercial banks, as presented in the 1993 Basle Committee proposals and recommended by the Federal Reserve. The increased supervisory interest in this problem is linked to the heightening danger which interest-rate risk poses to banks' financial condition. The chief reasons for this growth in interest-rate risk can be traced to: the progressive abandonment of interest rate controls, the development of derivatives markets, the growing diversification and complexity of banking products, and speculation based on the market volatility of the trading account securities in bank portfolios. The threat of banking systems being destabilised by interest-rate risk has led regulatory authorities in the developed countries to recognise the need to develop methods of determining the level of risk assumed by banks, followed by methods of monitoring it and hedging against it. The Basle Committee proposals of April 1993 presented two complementary methods of measuring interest-rate risk - the current earnings perspective and the economic approach. The former is used to establish the impact of changes in market rates on a bank's net interest income, while the latter assesses the changes in net worth and market value of securities induced by rate fluctuations. The latter method also includes proposals for setting capital requirements against interest-rate risk. The Federal Reserve, on the other hand, has come up with two alternative methods of measuring interest- rate risk and specifying the associated risk capital. The first of these, the Minimum Capital Standard Approach, represents a quantitative approach to risk evaluation (based on one ratio), while the second, the Risk Assessment Approach, combines quantitative analysis with certain elements of a qualitative appraisal of the bank's management system. Both sets of proposals for measuring interest-rate risk and determining capital adequacy to offset that risk were first put forward in 1993, and both were the subject of consultations - the first proposals being discussed in the banking communities of the Basle Committee member countries, and the second being discussed by American banks. The final versions of the relevant systems for determining interest-rate risk are to be developed in consideration of the comments received during these consultations. The Basle Committee has stated that its system will be ready for implementation at the end of 1996 at the earliest, while the Federal Reserve believes it will be ready to put its proposals into practice in early 1995. (original abstract)
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