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Review of the static methods used in the measurement of the exposure to the interest rate risk

100%

Lubińska B.

Nauki o Finansach

2014

issue 4(21)

25-41

Current financial regulation requires banks to have interest rate risk methods in place commensurate with the size and complexity of the bank. The more sophisticated model, the better the prediction of the future Net Interest Income and its sensitivity to the movement of the interest rate curve. The static methods of which an overview is presented in this article, struggle with limitations such as an unchanged interest rate curve, the non-inclusion of items with optionality and many others. The objective of this article is to show how static methods progressed with time, and how some of their limitations presented by a basic Maturity Gap analysis can be addressed in an interesting way. In addition, it also provides the reader with an interpretation of the results of the analysis performed through the aforementioned methods.

Balance sheet shaping through a decision model and funds transfer pricing

100%

Lubińska B.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

2017

issue 482

140-157

The banking industry is currently facing a number of challenges driven by the regulatory requirements, low or even negative interest rates and margin compression. As a result, active and conscious balance sheet management has increased in importance and banks are required to optimize and allocate resources very precisely to their businesses. There is a clear need for maximization of the assets income, redesign of the funding mix to achieve the lower funding costs and, at the same time, to respect regulatory requirements. This article verifies the hypotheses that the application of the optimization technique improves the management of the banking book in terms of quantifiable impact on a bank’s P&L and that the funds transfer pricing (FTP) process could be used as a mean to achieve the target position of a bank. It proposes a two-step approach to prove the above hypotheses, i.e. the application of the decision model and the FTP process. In addition, the article provides the reader with the main concepts of the FTP process, FTP landscape and details regarding the Balance Sheet shaping.

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1 Nauki o Finansach

1 Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

2 Lubińska B.

1 2017

1 2014

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Review of the static methods used in the measurement of the exposure to the interest rate risk

Balance sheet shaping through a decision model and funds transfer pricing