資産·負債綜合管理에 관한 理論的 硏究

卞重錫 건국대학교 1986 論文集 Vol.23 No.1

The purpose of this article is to reexamine the traditional funds management methods and introduce a modern system method of asset-liability management (ALM) which incorporates many features expected to have a dramatic impact on business and economic conditions. Accordingly this attempts to identify some of the more important changes that have affected financial institutions, securities firms and private corporations in terms of funds-operation strategy and policy making. These changes seem to be an integral part of financing and they appear to be accelerating. In an effort to cope with changes, the financial institutions have used several different asset-liability methods which were discussed in Chapter II. These methods forced the financial institutions to delve deeply into a search for interest rate relationships that would help deal with interest rate risks that had threatened to overwhelm the more traditional credit risks associated with financing. The system method of asset-liability management incorporates many features of the experience, asset allocation, conversion-of-funds, and liability management methods. ALM introduces a framework for reviewing the financial institutions as a group of interrelated parts that can be analyzed as a whole. ALM fosters a frame of mind, which hellos the financial management dissolve some of the complexity and uncertainty. Asset-liability management can be defined as the art of strategizing a balance sheet and income statement to achieve desired financial goals. The desired goals include service to the general public, growth, liquidity, and profitability. All of these goals are interrelated; therefore any asset - liability management strategy generally involves compromises being made among goals. Furthermore, asset-liability management requires that people take concerted action to accomplish predetermined objectives. The problems generally associated with adoption and implementation of asset-liability management can be assuaged by top management giving their clear and encouragement to the process. In the financial institutions, the chief executive might serve in an exofficio capacity on an asset-liability committee composed of senior people who have been delegated the responsibility to meet certain selected goals. Rate sensitivity analysis is critically important and a necessary exercise for financial managements who want to achieve superior results. It, however, is not a sufficient solution in itself. Proper pricing of rate sensitive assets and liabilities is also necessary. Rate sensitivity analysis will grow in importance throughout the next century. The combination of three 'thresholds' (rate, quality and maturity) plus the asset size guideline represent the executive policy limits assigned to functional management, which deal with interrelationships of rate sensitive assets and liabilities. The funds management approaches presented here are intended only as an asset-liability management strategy. This not only serves the needs of management, but also balances the legitimate interests of stokholders, customers and the public for whose benefit the financial institutions were chartered. Under these circumstances, it is expected that business and interes trate cycles wall occur as various sectors of the economy compete for more favorable positions. As these cycles unfold, the financial management will be faced with the effects of rate, volume and mix changes. Over the longer term, developments such as variable rate instalment and mortgage loans, better loan pricing, and further shortening of securities portfolios may help. Also, as management knowledge and regulatory acceptance improve, the financial futures market may provide an avenue to hedge interes trate risks. Finally, the top management of banks, securities, insurance and private corporations should not ignore its responsibility to influence a reasonable regulatory, legislative and social environment within which interest margin decisions must be made.

스와프金融에 관한 理論的 硏究

卞重錫 건국대학교 1987 論文集 Vol.25 No.1

Since the early 1970s, foreign exchange risk management has undergone new pressure from cu-rrency translation, taxation, and regulation forces. The international financial community, in re-sponse to the dual impact that volatile exchange and interest rates an have on balance sheets and portfolios, has developed a series of instruments that enable foreign exchange risk to be ef-fectively managed. Financial swaps present a comprehensive conceptual frame-work for the as-sessment and management of currency and coupon risk exposure. This paper traces the evolution of swap financing techniques, covers their relaive advantages and disadvantages, and highlights the applications that arises from normal business activities, with sp-ecial emphasis on market anomalies that give rise to arbitrage profit oppprtunities. A great deal on been written about what caused the swap market to take off in 1981. Before the World Bank/IBM deal, the swap market had been shrouded in mastery with financial intermediaries and participants. The World Bank removed the shroud by justifiably boastng of its successful swap financing with IBM. The swap market has reached a certain maturity in 1983, and it is worthwhile examining the cu-rrent state or the art as well as looking balk to study how things developed. Today, regulations still hamper the swap market. Central banks are still suspicious of swaps, except the kind which pro-vide lines of credit from other central banks. Currency swaps can take the form of two parallel or back-to-back loans, a straight currency swap, a long-term forward exchange contract, or an exchange of borrowings. Interest rate swaps provide a cost-effective, timely and simple mechanism for particular classes of borrowers to exchange their liabilities to mutual benefit. Swaps are clearly a tool to be utilized by corporate treasurers in matching asset and liability exposure in a very convenient and indeed an-onymous manner. Consequently, so long as the interest rate differential betwen the fixed and floatingrate continues for different classes of borrowers, the swap market will continue to grow and mature. Currency interest rate swaps have a floating rate sum paid in return for a fixed rate sum in another currency, The degreee of risk is the same as a currency swap except that the company's exposure can be affected by only one interest rate, rather than two. There are some interesting currency swaps being put together with floating rates in each currency giving each party access to a floating index in another curency. And also there is a hot market for dual currency issues with currency swaps and long-term forwards used to hedge fully the interest payments back. Interest rate swaps are being combined with financial futures and options to appeal to borrowers unhappy with today's interest rates and an interesting market continues to develop for unwinding swaps with possible tax benefits which can be divided between the parties. New swap techniques will evolve, new applications will be dreamed up, and new types of players will emerge, but the basic swap transaction, where one party exchanges an asset or liability with another using the basic legal concept of a swap, has become a permanent fixture in the worlds. The major swap dealers formed the International Swar Dealers Association(ISDA)in order to st-andardize documentation and to present an industry voice. Out of these discussions, a code of st- andard wording and terms was established. Swap transactions are generally documented by simple agreements referring to or reflecting the provisions of the swaps code. Finally, this paper covers a general understanding and working knowledge of the swap financing mechanism. It should be emphasized that with trend to classify treasury departments as profit centers rather than service centers, the ability to maniplate assets and liabilities is gaining in significance.