如何衡量缺口市場風險？(英漢對照)
張修齊譯 01/30 02:39
The techniques used to measure gap market
risk range from relatively simple and static gap analysis, through duration
analysis, to sophisticated VaR-type approaches.
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A static gap analysis examines the nominal
amount of the tactical and strategic gaps in the bank’s overall position, and determines if these are appropriate in terms
of perceived reward/ risk. The “tactical gap” typically represents the combined gap position
within one year. The “strategic gap” represents the combined gap position beyond one
year. The “contractual gap” refers to the net gap po-sition for assets and
liabilities that have de-fined maturity dates.
It is often difficult to determine maturity
for noncontractual balances. For example, “core balances” typically refer to the
stable portion of nonmaturity balances that are pro-jected to remain on the
balance sheet of the bank for an extended period of time.
（ From Risk management, Michel Crouhy, Dan
Galai and Robert Mark）
衡量缺口市場風險的方法相當多元，從較為簡易與靜態的缺口分析、透過存續期間分析，乃至於精密的風險值衡量方法，皆可運用。
所謂的「靜態缺口分析」是檢視銀行整體部位中技術性與策略性缺口的名目金額，同時，依據察覺到的報酬與風險，確認這些缺口的適宜性。「技術性缺口」一般是指累計一年以內的缺口部位；「策略性缺口」指的是累計一年以上的缺口部位；至於「契約缺口」則指已明確定義資產與負債到期期間之淨缺口部位。
一般來說，確認非契約性餘額之到期期間往往較為困難，例如，「核心餘額」常指未到期餘額的固定部分，該部分預期會在銀行資產負債表上保留一段較常的期間。
（摘自風險管理，張修齊譯）
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