商業銀行資金缺口管理之研究

A Study in the Fund Gap Management of Commerical Bank

張聖麟(Sheng-Lin Chang) ； 陳錦村(Jing-Twen Chen)

《管理科學學報》 4卷2期 (1987/12) Pp. 105-117

https://doi.org/10.6504/JOMS.1987.04.02.01

摘要

就資金缺口管理觀點言之，商業銀行資產負債表係由下列三大部分所構成：(1)敏感性資產負債部位，(2)資金缺口部位及(3)非敏感性資產、負債與權益資金。這些構成來源，其市場價值之高低，大抵隨著金融市場各種長短期利率之水準、波動性及變動型態等環境因素而調整，且各構成來源亦因特性不同，其利率風險變亦有差異，涉及總利率風險變化之因素相當複雜。有鑒於此，本文乃試圖由各財務金融變數與利率險之消長關係，分項析述銀行應採之對策，進而著手建立有效之資金缺口管理政策。

並列摘要

From the viewpoint of fund gap management, the balanece sheet of commercial banks consists of the following three parts:
(1) Sensitive assets financed by sensitive liabilities
(2) Sensitive assets financed by nonsensitive liabilities or fund gap position
(3) Nonsensitive assets financed by nonsensitive liabilities and common equity.
The market values of these three parts change largely in accordance with the short-term and long-term interest rates of the financial market. As each of these constituent parts has its own characteristics, the associated interest rate risk of each parts shows differences from one another. The factors involved in the total exposure to interest rate changes are very complicated. In this article, we analyze the management strategies that the commercial banks could adopt from the perspective of the relationship between the aforementioned financial variables and associated interest rates. Then, we recommend some effective policies which could be applied as control tools for the fund gap management.