Constructing Application Forecasting Models of Interest-sensitive Gap Management in a Commercial Bank

• Main Authors: Li-Hui Chen, 陳麗惠
• Other Authors: Chuan Lee
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/59575344740663980472

博士 === 銘傳大學 === 管理科學研究所 === 89 === This paper studied the forecasting problems about interest-sensitive gap management in a commercial bank. The historical data were used to construct the forecasting models. Owing to the Grey forecasting method with the merits of fewer data to fund the forecasting model, it is needless to consider the status of data distribution and the forecasting model is easy to operate. So this paper applied Grey forecasting GM (1,1) model and its generated models, the Grey Markov numerical forecasting model and Comprehension model, to develop a net interest margin change (%) forecasting model, a net interest margin ($) forecasting model, a new decision model concerned with commercial bank interest-sensitive assets portfolio and a new expected return decision model of interest-sensitive assets portfolio. Those models herein we called the Gap Management Forecasting Model. Some data about gap management were used as an analytical example to examine the application of those models. The results of this paper were：(1) The managers can apply the net interest margin change (%) forecasting model and the net interest margin ($) forecasting model to estimate the change of its NIM irregardless of the interest rate redundant. (2) The proposed new decision model concerned with commercial bank interest-sensitive assets portfolio of bond interest-sensitive assets and non-bond interest-sensitive assets, can use to calculate the optimal interest rate sensitive assets allocation to minimize the risk of fluctuating interest rates. (3) The bank managers can use the new expected return decision model of interest-sensitive assets portfolio to calculate the expected return of the portfolio. Results from this work can provide valuable references for the managers of commercial banks in determining the combination of interest-sensitive gaps as the gap have interest fluctuations.