Abbildung variabler Produkte-neue Erkenntnisse
| Title in English | Quantification of variable products-new findings |
|---|---|
| Authors | |
| Year of publication | 2018 |
| Type | Chapter of a book |
| MU Faculty or unit | |
| Citation | |
| Description | Due to the current low interest rate environment, banks are facing significant challenges. In the current low-interest-rate phase, the growth of floating-rate liabilities products leads to significant balance sheet shifts, which significantly affect the valuation models for variable deposits. Large volumes that can be used or canceled by customers at any time must be correctly valued and included in the interest rate risk as part of interest rate risk management and provide the right impetus for sales management. In this context, the current interest rate landscape poses a particular challenge. In the zero or negative interest rate environment, inventories in variable products are rising, even without the banks being able to counteract this effectively. In addition, the variable deposits for most credit institutions make the main source of refinancing. It is thus a business Need to properly evaluate and control the products. In addition, the supervisory authority demands that clear assumptions be made for positions with indefinite capital or interest rate commitments. In order to quantify the sales success, the calculation of opportunity interest has so far taken place using moving averages of historical interest rates. Due to significant fluctuations in volume, the opportunity interest calculated on the basis of moving averages can often not be collected by Treasury at this level, because the inflowing or outflowing volume can only be realized at market interest rates prevailing at the time of the volatility that has occurred. If these volume effects are neglected, it leads to an over- or underestimation of the opportunity interest and thus to incorrectly reported margins. As a result, the risk of spurious control increases significantly. On the one hand there are model-theoretical questions, which method is most suitable for which variable products. On the other hand, there is also the question of choosing a suitable model in terms of business policy and thus strategically, which efficiently takes stock changes into account. Both literature and practice are currently discussing different approaches to mapping and controlling variable rate products. The individual approaches in turn have different variants or subgroups. An isolated decision for a procedure is not possible because it depends on the individual environment of a credit institution and therefore needs to be embedded in a larger context. A universally valid model, which takes into account in particular the mentioned stock changes, does not exist. This is the reason why financial research is focusing on the integration of volume fluctuations concentrated in a model. In the following chapters, on the one hand, the significance of interest rates and the development of demand deposits of domestic credit institutions is to be demonstrated. On the other hand, alternative methods for considering variable products are presented, which allow to carry out an improved yield measurement. |