四大银行都面临着几乎相同的利率风险,因为它们都处于相同的经济市场和地区。联邦银行使用两种方法来管理和控制利率风险,其中包括未来12个月的收益和经济价值。在第一种方法中,他们使用重新定价模型——一种资产和负债管理模拟模型来衡量未来12个月净利息收入的变化。利率风险从经济价值角度衡量是基于20天97.5%的VaR测度,该测度用于评估资产负债表资产和负债对利率负效应的经济价值影响。澳新银行和西太平洋银行也使用几乎相同的方法来衡量他们的利率风险,包括重新定价模型和期限模型。市场风险是指个人或金融机构因其所涉及的影响金融市场整体表现的因素而可能对其盈利能力或净资产产生不利影响的风险。这包括利率、外汇汇率、信贷息差、股票和大宗商品价格的变化(澳新银行年报,2017年)。市场风险分为交易性市场风险和非交易性市场风险,前者是指银行进行的交易活动因市场价格变化而可能产生的收益或损失。我们的集团通过使用风险价值(VaR)来管理和控制交易市场风险,这是包括联邦银行、澳新银行和西太平洋银行在内的银行行业常用的标准衡量方法。风险价值衡量的是市场特征变化可能带来的潜在损失,它以99%的置信水平来衡量。这意味着有99%的可能性,在任何时候损失都不会超过VaR估计。

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.

本段内容来自网络 并不是我们的写手作品 请勿直接剽窃,查重100%,造成后果与本站无关。如需定制论文请记得联系我们。

0 条回复

发表评论

发表评论

电子邮件地址不会被公开。 必填项已用*标注