英国risk management代写 澳洲银行
All four big banks are facing almost the same interest rate risk because they are in the same economic market and regions. Commonwealth bank uses two ways to manage and control interest rate risk which includes the next 12 months’ earnings and economic value. In terms of the first method, they use the repricing model – an asset and liability management simulation model to measure the changes of net interest income over the next 12 months. Interest rate risk from the economic value perspective is measured base on a 20-day 97.5% VaR measure and this measurement is used to evaluate the economic value impact of balance sheet assets and liabilities to a negative effect in interest rates.ANZ and Westpac bank also use almost same ways to measure their interest rate risk including repricing model and maturity model. Market risk is the risk related to the possibility of individual or financial institutions experiencing an adverse impact on the profitability or net worth due to factors that affect the overall performance of financial markets which they are involved. This includes changes in interest rate, foreign exchange rates, credit spreads, equity and commodity prices (ANZ annual report, 2017). Market risk is divided by trading market risk and non-trading market risk which the previous one is the potential gains or losses caused by trading activities conducted by banks result from changes in market prices. Our Group manages and controls trading market risk by using Value at Risk (VaR) which is a common standard measurement used in bank industry including Commonwealth Bank, ANZ and Westpac banks. VaR measures the potential loss that may arise from changes in market features and it is measured at a 99% confidence level. This means that there is a 99% confidence that the loss will not exceed the VaR estimate at any time.
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