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研究生:沈葆棠
研究生(外文):SHEN, PAO-TANG
論文名稱:資產負債組合之風險管理控制透過利率交換工具
論文名稱(外文):Assets and Liabilities Portfolio Risk Management Control via IRS Tool
指導教授:蔡偉澎蔡偉澎引用關係
指導教授(外文):TSAI, WEI-PEN
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:43
中文關鍵詞:利率風險管理利率交換
外文關鍵詞:Interest Rate Risk ManagementInterest Rate Swap
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摘要
論文題目:資產負債組合之風險管理控制透過利率交換工具
出版年:民國九十陸年
學號:494755144
學位:碩士
校(院)系所組別:輔仁大學金融研究所
研究生:沈葆棠
指導教授:蔡偉澎教授
論文總頁數:42 頁
關鍵詞:利率交換,利率風險管理
論文摘要內容:
利息風險管理介入設法利率曝露以便使市場多變性減到最小的衝擊對銀行存款餘額板料。 因此,第一步在利率管理將有對銀行利息風險率的清楚的理解。 銀行的能力準確地塑造利息風險是鑰匙。 一旦利息風險被定量了,然後戰略可以被開發處理風險。 銀行利息風險率活動的高級管理觀察也是一個有效的風險管理過程的基石。 在可以被採取的利息量應該也有一個系統為監視和報告風險曝露並且風險極限和控制風險率。 作為論文一部分,為了開展研究,利率風險管理這些概念將被談論。 然而,研究的焦點是審查銀行使用利息交換,如何處理它的利率曝露。
Abstract
Title of thesis: Assets and Liabilities Portfolio Risk Management Control via IRS Tool
Year of publication: 2007/7/24
Name of institute: Graduate institute of finance, FJ-Jen Catholic University
Name of student: Shen, Pao-Tang
Advisor: Dr. Tsai, Wei-Pen
Keyword: Interest Rate Swap, Interest Risk Management
Content of abstract:
Interest rate risk management involves managing the interest rate exposure so as to minimize the impact of market volatility on the bank’s balance sheet. Hence, the first step in interest rate management is to have a clear understanding of the bank’s interest rate risk. The ability of the bank to accurately model interest rate risks is key. Once the interest rate risk has been quantified, then strategies can be developed to manage the risk. Senior management oversight of the bank’s interest rate risk activities is also a cornerstone of an effective risk management process. There should also be a system for monitoring and reporting risk exposures as well as risk limits and controls on the amount of interest rate risk that can be taken. In order to conduct the research, these pillars of interest rate risk management will be discussed as part of the thesis. However, the focus of the research is to examine how a bank can manage its interest rate exposure using interest rate swaps.
Table of Contents

1 Research Introduction……………..……………………....…………..5
1.1 Research Background ……………………………………...…………5
1.2 Research Objectives…………………..……………………………….5
1.3 Research Scope………………………………………………………..5
1.4 Thesis Outline…………………………………………………………6

2 Literature Review………………………………………..…………….7

3 Research Proposal……………………………………………………..9
3.1 Chapter Introduction…………………………………………...……..9
3.2 Interest Rate Risk Concepts………………………………………….11
3.3 Research Methodology………………………………………………24

4 Findings and Analysis……………………………………….………..31
4.1 Chapter Introduction……………………………………………...….31
4.2 Simulation Findings……………………………………………….…31

5 Conclusions……………………………………………………………37
5.1 Chapter Introduction………………………………...……………….37
5.2 Conclusion…………………………………………………….……..37

Bibliography……………………………………………………………39
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