銀行利率及流動性風險管理

Abstract

在金融國際化與自由化的趨勢潮流下，銀行的經營彈性大為擴張，面對利率的變動及金融相關事業將導致更劇烈的價格競爭。就臺灣銀行業而言，存放款利差所產生淨利息收入常達銀行獲利的90%以上，利率的大幅波動可能造成銀行資產負債之利率敏感性部位無法即時調整，以致淨利息收入大幅降低，嚴重影響銀行損益。 此外，在資金市場大幅寬鬆、利率趨跌、銀行超額流動性部位大幅增加，造成資金低度運用，銀行在擁有閒置頭寸時，可能大量增加特殊性放款，如空地及房屋貸款，當央行採取提高存款準備金比率等緊縮通貨政策時，銀行即面臨資金短絀、準備金不足的窘境。流動性不足不但造成資金籌借成本大幅提高，亦可能衍生存款人大幅提領，造成擠兌或破產之倒閉風險。因此如何管理利率及流動性風險，避免利率波動對於銀行淨值與獲利能力的影響及維持適當的流動性，對銀行經營而言將更形重要。 本研究報告，首先就影響市場利率變動之長短期因素及市場資金變化予以探討；次就利率及流動性風險之辨識、風險衡量之指標，及銀行資產負債暨風險管理組織之運作給予說明。然後提出銀行如何從事利率及流動性風險之管理，並舉例說明利率交換、利率選擇權、利率期貨及換匯換利等避險工具。 此外，我國財務會計公報三十四號「金融商品之會計處理準則」公佈實施後，亦將對銀行資產負債之配置及流動性有所影響，本研究仍對於其衝擊予以探討並提出因應策略，最後提出有關銀行利率及流動性風險管理之結論與建議，作為銀行經營之參考。

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.