利率风险与银行的最适资金缺口＊.pdf

學術論文｜Academy Papers 31 金融風險管理季刊 民95，第二卷，第二期，31-46 ＊ 利率風險與銀行的最適資金缺口 Interest Rate Risk and Optimal Gap of Bank ＊＊ 杜建衡 Chien-Heng Tu 國立高雄應用科技大學 National Kaohsiung University of Applied sciences 摘 要 傳統的銀行資金缺口管理模型均假定銀行為風險中立者，若要完全規避利率波動風險，銀行 必須盡可能的讓其資金缺口(Maturity Gap)或存續期間缺口(Duration Gap)趨近於零；銀行若願承擔 部分風險，則應做好利率趨勢預測，以決定資金缺口為正或負，至於缺口金額的多寡？則很少有 文獻提及，換句話說，在利率風險管理上應有一決定最佳的資金缺口模型，讓決策者有所依循， 本研究的目的就是希望能導出銀行的最適資金缺口，並探討該最適資金缺口的相關性質，以做為 銀行在面對利率風險時的決策依據。 關鍵詞：最適資金缺口、利率風險、風險規避、資產負債管理。 Abstract Traditional maturity gap model for banks advocates a zero maturity (or duration) gap for optimally hedging any interest rate risk under the premise that all banks are risk neutral. However, if banks are risk averse, the zero maturity gap is no longer the sole criterion for the banks to follow. Instead, the banks have to take into account the trend of future interest rates in order to optimally hedge their interest rate risk and may result in a positive or negative gap in the end. This article is intended to provide a theoretical underpinning for a risk-averse bank to decide his optimal maturity gap. Some relevant characteristics that affect the determination of maturity gap are also examined. Key Words: Optimal Gap, Interest Rate Risk, Risk Aversion, Asset and Liability Management. * 本文承蒙三位匿名審稿者的細心審閱，並提供寶貴的建議，使本文內容更為充實，特此致謝。 ** 作者通訊：杜建衡，高雄市807三民區建工路4 15號高雄應用科技大學金融系副教授，TEL :886-7-3814526#63 10， Email: heng@cc.kuas.edu.tw 9 5 年6 月 第二卷第二期 32 金融風險管理｜季刊｜ Review of Financial Risk Man