Page 21 - CCFA Journal - Tenth Issue

加中金融 风险管理 Risk Management
加中金融

There are several key measures that banks use to monitor and manage interest rate risk in the banking book. Some of the most
common measures include:

银行拥有监控和管理银行账户利率风险的几个关键措施。一些最常见的措施包括

1. Net Interest Income (NII): NII is the difference between the interest income earned on a bank's interest-earning assets (such
as loans) and the interest expense paid on its interest-bearing liabilities (such as deposits). As interest rates change, NII may
increase or decrease, indicating the bank's exposure to interest rate risk.

净利息收入 (NII)：NII 是指银行生息资产（如贷款）所赚取的利息收入与其计息负债（如存款）所支付的利息支出之间
的差额。随着利率的变化，NII 可能会增加或减少，表明银行面临利率风险。
2. Economic Value of Equity (EVE): EVE is the net present value of a bank's assets and liabilities, calculated using different
interest rate scenarios. The EVE measures the potential impact of changes in interest rates on a bank's balance sheet.

权益经济价值 (EVE)：EVE 是银行资产和负债的净现值，使用不同的利率情景计算得出。 EVE 衡量利率变化对银行资产
负债表的潜在影响。

3. Net Interest Margin (NIM): NIM is the ratio of a bank's net interest income to its interest-earning assets. NIM measures the
profitability of a bank's lending and investment activities and can be impacted by changes in interest rates.

净息差（NIM）：NIM 是银行的净利息收入与其生息资产的比率。 NIM 衡量银行贷款和投资活动的盈利能力，并可能
受到利率变化的影响。

As well as other measures including duration Gap measures the difference between the duration of a bank's interest-earning assets
and the duration of its interest-bearing liabilities, and Stress Testing involves simulating different scenarios to assess the potential
impact of changes in interest rates on a bank's financial position. These measures are used in combination to monitor and manage
interest rate risk in the banking book. Banks may also use other measures depending on their specific risk management practices and
regulatory requirements.

以及其他措施，包括久期缺口衡量银行生息资产久期与付息负债久期之间的差异，压力测试涉及模拟不同情景以评估利率
变化对银行的潜在影响银行的财务状况。这些措施结合使用以监测和管理银行账户中的利率风险。银行还可以根据其特定
的风险管理实践和监管要求使用其他措施。

Non-Maturity Deposit and Pre-Encashable Term Deposit
For Canadian banks in general, the non-maturity deposit (NMD) is the largest and cheapest source of funding. Since there is no
maturity, banks monitor them closely. To monitor the cash flow, IRRBB requires NMD be segmented into different categories, such
as retail and wholesale categories. Also, the usage of the deposit is often capped with a pre-determined ratio for each category of
deposit. For example, for retail deposit, the cap ratio is typically around 70-90% with maximum investment maturity horizon around
5 years to limit potential liquidity gap. For wholesale deposit, the cap ratio is normally around 50% with maximum investment horizon
around 4 years, due to higher volatility in wholesale deposit levels observed by banks. To manage future levels of core balance, banks
monitor a wide range of market factors, such as sensitivity of product rates to market rates, spread between bank’s offer rate and
market rate, competitions from other firms, bank’s geographical locations and demographic and other macro economic variables
such as equity index level, unemployment rates, GDP, house price index, etc, in estimating potential rate-sensitive and non-rate-
sensitive balances. Similarly for pre-encashable term deposit, despite they are fixed terms, there is no penalty for bank clients to
withdraw fund early. In forecasting the balances, the variables for NMD are also often used.

非到期存款和预兑现定期存款

对于一般的加拿大银行而言，非到期存款 (NMD) 是最大和最便宜的资金来源。由于没有期限，银行会密切监控它们。为
了监控现金流，IRRBB 要求将 NMD 分为不同的类别，例如零售和批发类别。此外，存款的使用通常以每类存款的预定比
率为上限。例如，对于零售存款，上限比率通常约为 70-90%，最长投资期限约为 5 年，以限制潜在的流动性缺口。对于
批发存款，由于银行观察到的批发存款水平波动较大，上限比率通常约为 50%，最长投资期限约为 4 年。为了管理未来的
核心余额水平，银行监控广泛的市场因素，例如产品利率对市场利率的敏感性、银行报价利率与市场利率之间的利差、来
自其他公司的竞争、银行的地理位置以及人口和其他宏观经济股票指数水平、失业率、GDP、房价指数等变量，用于估计
潜在的利率敏感和非利率敏感余额。同样，对于可预兑现的定期存款，尽管它们是固定期限的，但银行客户提早提取资金
并没有罚款。在预测余额时，也经常使用 NMD 的变量。

CCFA JOURNAL OF FINANCE March 2023
Page 21 第21页