|
The interest rate volatility is higher than before due to the
deregulation ofinterest rate, and banks encounter much loss
rising from the unexpectation of interest rate volatility and
portfolio mismatching. Deposit insurance insures banks' deposit,
and bank's operation risks become the risks of the deposit
insurance institution. Whether the deposit insurance institution
can maxmize its capability depends on its successful operation.
Therefore, it's necessary to discuss the resource of the deposit
insurance institution's risk to provide some information about
risk management.In this article, the author uses the model
developed by Duan, Moreau and Sealey in 1995 to conduct an
empirical research. The samples consist of seven listed banks in
Taiwan. The purposes are to analyze the risk exposure and
interest rate risk management, and to identify the linkage
between the banks' interest rate exposure and the deposit
insurance institution's liability risk.The empirical result
indicates that interest rate volatility does not make
anysingnificant effects on the elasticity of banks' asset, but
does on the total interest rate risk and total risk of banks'
assets. Because the duration of banks'assets is shorter than
that of banks'liabilities, the elasticity of CDIC's liabilities
is negative. The banks' portfolio mismatching increases overthe
sample periods. For the CDIC, interest rate volatility and
banks' durationgap do not make any significant effects on the
elasticity of its liability, butdo on the total interest rate
risk and total risk of its liability.
|