什麼是利率風險？(英漢對照)

■ 張修齊譯 The four major types of market risk are interest rate risk, equity price risk, foreign exchange risk and commodity price risk. Interest rate risk－The simplest form of interest rate risk is the risk that the value of a fixed-income security will fall as a result of a change in market in-terest rate. Open positions arise most often from differences in the maturities, nominal values, and reset dates of instruments and cash flows that are assetlike (i.e.,“longs”) and those that are liabilitylike (i.e.,“shorts”). The exposure that such differences, or “mismatches,” generates depends not only on the amount held and each position’s sensitivity to interest rate changes, but also on the degree to which these sensitivities are correlated within portfolios and, more broadly, across trading desks and business lines. Imperfect correlation between offsetting instruments, both across the yield curve and within the same maturity for different issuers, can generate significant interest rate exposures. Although they may be intended to produce a hedged portfolio, offsetting positions that have different maturities may leave the portfolio holder exposed to imperfect correlations in the underlying reference rates. Such “curve” risk can arise in portfolios in which long and short positions of differ-ent maturities are effectively hedged against a parallel shift in yields but not a-gainst a change in the shape of the yield curve. （From Risk management, Michel Crouhy, Dan Galai and Robert Mark） 市場風險包括了四種主要型態：利率風險、權益價格風險、匯率風險及商品價格風險。 利率風險—最單純的利率風險形態是市場利率波動所引發固定收益證券價值的改變。大部分開放部位的產生是因金融工具的到期期限、名目價值、重設日期有所差異，以及現金流量具有類似於資產性質（長部位）及負債性質（短部位）兩者錯配所致。 因上述差異或「錯配」所產生的暴險，除了受到持有量及各部位對利率變動敏感性的影響外，組合內這些敏感性的相關程度，更廣泛來說，跨交易平台、跨業務類別下各種部位的相關性都會造成利率風險暴險。 沖銷工具間的不完全相關，包括跨殖利率及不同發行人，但具相同到期期限者，都會產生龐大的利率暴險。雖然這些工具也許是想產生一個避險組合，但具不同到期期限的沖銷部位可能會使組合的持有人暴露於標的參考利率不完全相關性中。這種利率曲線風險將產生在長、短部位到期期限不同的組合中，雖可有效規避殖利率平行移動的風險，但卻無法規避殖利率斜率改變的風險。 （摘自風險管理） 【2005/03/20 經濟日報】