Page 20 - CCFA Journal - Tenth Issue

风险管理 Risk Management 加中金融

Interest Rate Risk in Banking Book Post-COVID for

Canadian Banks

加拿大银行在新冠疫情后的银行账户利率风险

【作者】Bill Qiu, Bank of Montreal; Jeff Huang, Scotiabank; assisted by ChatGPA™

Disclaimer: The opinions expressed in this article are those of the author. They do not purport to reflect the opinions or views of the author’s
employer.
【免责声明】本文纯属作者本人观点，而无意反映作者雇主的意见或观点

Overview of Interest Rate Risk in Banking Book

Interest rate risk in the banking book refers to the potential for a bank's financial position to be negatively impacted by changes in
interest rates. Banks hold various financial assets and liabilities, such as loans, deposits, and bonds, which can be affected by changes
in interest rates. When interest rates change, the value of these assets and liabilities can be impacted, potentially leading to losses
for the bank. For example, if a bank has issued fixed-rate loans and deposits, a decrease in interest rates would cause the value of the
bank's liabilities (deposits) to increase more than the value of its assets (loans). This would lead to a reduction in the bank's net
interest margin and potentially lower profits. Conversely, an increase in interest rates would cause the value of the bank's assets to
increase more than the value of its liabilities, potentially leading to higher profits. To manage interest rate risk in the banking book,
banks typically use various risk management techniques, such as interest rate swaps, options, and other derivatives.

银行账本中的利率风险概述

银行账户利率风险是指利率变动对银行财务状况产生负面影响的可能性。银行持有各种金融资产和负债，例如贷款、存款
和债券，这些资产和负债可能会受到利率变化的影响。当利率发生变化时，这些资产和负债的价值可能会受到影响，从而
可能导致银行蒙受损失。例如，如果一家银行发行了固定利率贷款和存款，利率下降将导致银行负债（存款）价值的增长
超过其资产（贷款）价值。这将导致银行的净息差下降，并可能导致利润下降。相反，利率上升将导致银行资产价值的增
加超过其负债价值的增加，从而可能导致更高的利润。为了管理银行账户中的利率风险，银行通常使用各种风险管理技术，
例如利率互换、期权和其他衍生工具。

CCFA JOURNAL OF FINANCE March 2023
Page 20 第20页