Ansätze zur Steuerung von Zinsänderungsrisiken

Abstract

Approaches to Control of the Risk of Interest Rate Changes

The present essay continues the debate on a suitable instrument for controlling the risks of interest rate change. The proposals that are probably best known, i.e., the socalled tied-interest balance and duration analysis, are examined critically as to their suitability for decision-oriented risk control. To begin with, the author discusses the genesis and the determinants of the risk of interest-rate changes. In this respect, particularly the influence of transformation of maturities and interest ties on credit and debit interest rate elasticities is made clear. The criticism of duration analysis and the tied-interest balance is directed primarily against the neglect of variable risks of interest changes, against the premisses of the dynamic approach of duration analysis and against the control magnitudes “open fixed interest rate position” and “solvency effect”. Particularly in the case of the solvency effect, the author shows that the mixing of temporal outcome effects in a single magnitude not only obscures the actual course of results, but may also give rise to an erroneous estimate of the risk of interest rate changes, which is dangerous for the banks. Following the critical assessment of the two cited methods, the author presents his own approach to the control of the risk of interest rate changes in the shape of the concept of interest yield elasticity. This socalled interest yield elasticity describes the dependence of the “overall margin” of a transaction on the trend of the interest level. With it the interest yield change in the event of an interest level change is measured by a percentage. The advantages of this control magnitude lie, above all, in the fact that the potential interest margin risks are covered completely and detailed information can be obtained on the impact of the control measures with regard to both structural measures in business with customers and also short-term adjustment possibilities on the money and capital market. Lastly, the author stresses as a special advantage the fine control capacity of “interest yield elasticity”: risks of interest rate changes can be countered without having to pass up current interest yields to any great extent.