Abstract
In modern conditions of the rapid industrial development the banks have to forecast their risks and profitability precisely, to apply information technologies to assess their activities. To evaluate the bank's income, it is necessary to carry out an internal analysis of its assets and liabilities and determine the factors effecting the bank's profitability by managing interest rate risk. The hypothesis of the study is the analysis of the impact on the net interest income and interest rate risk of a commercial bank of factors such as the exchange rate and the key rate of the Bank of Russia (for example, Sberbank, PJSC). There has been studied the impact of the factors (exchange rate and key interest rate of Central Bank of Russia) on the bank's net interest income by using correlation and regression analysis and building a regression model. Many tools are found to be used by the experienced analysts. One of the main tools is GAP analysis of interest rate risk. There have been illustrated the graphs of changes in interest rates of savings and loan associations during the crisis in the United States in the 1950-1960, of realization of interest rate risk with an increase in interest rates, the distribution of assets and liabilities according to the maturity of the balance sheet structure, the impact of changes in the interest rate GAP on net interest income, etc. A matrix of correlations of all variables in the sample (rates of growing values) was constructed. Conclusions are drawn on the need to use hedging instruments (interest rate swaps, interest rate options), as well as of attracting the most reliable data on the state of interest rate risk in the commercial banks.
Highlights
To evaluate the bank's income, it is necessary to carry out an internal analysis of its assets and liabilities and determine the factors effecting the bank's profitability by managing interest rate risk
The hypothesis of the study is the analysis of the impact on the net interest income and interest rate risk of a commercial bank of factors such as the exchange rate and the key rate of the Bank of Russia
There has been studied the impact of the factors on the bank's net interest income by using correlation and regression analysis and building a regression model
Summary
Финансовый университет при Правительстве Российской Федерации, Москва, Российская Федерация. Гипотезой исследования выступает анализ влияния на чистый процентный доход и процентный риск коммерческого банка таких факторов, как валютный курс и ключевая ставка Банка России (на пример ПАО «Сбербанк»). Проиллюстрированы графики изменения процентных ставок ссудно-сберегательных ассоциаций в период кризиса в США в 50–60 гг. XX в., реализации процентного риска при росте процентных ставок, распределения активов и пассивов по срочности структуры баланса, влияния изменения процентного GAP на чистый процентный доход и др. Этот риск также может возникать из-за несовпадения сроков погашения (востребования) обязательств и изменения процентных ставок по ним. В данном вопросе важно учитывать сроки сделок, поскольку при выдаче долгосрочного кредита по фиксированной ставке в случае роста процентных ставок банк упускает выгоду, т. Ссудо-сберегательные ассоциации, действующие в то время в США, обычно привлекали краткосрочные вклады и выдали долгосрочные кредиты по фиксированной ставке. Полученный опыт был положен в основу изучения методов управления процентным риском (рис. 1)
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