Bobyl' V.V.Dnepropetrovsk National University of Railway Transport named after Academician V. Lazaryan, Dnepropetrovsk, Ukraine Vladimir_bobyl@list.ru
Importance In connection with the crisis phenomena, when the international financial market is experiencing the significant structural changes, the problem of creating an effective system for managing interest-rate risk in the bank recently became even more relevant. Objectives The research aims to improve the methodology for assessing and managing interest-rate risk in accordance with the international banking risk management standards. Methods In this paper, using econometric techniques, I analyzed different evaluation models of interest-rate risk: ratio analysis, zonal estimate, gap analysis and duration. The paper defines the stages (cycles) of changes in interest rates and business solutions (risk manager's actions) at each stage. The article considers the evaluation methods of the special interest-rate risk, which is associated with the financial condition of financial instruments issuers, and the general interest-rate risk, which depends on market fluctuations in interest rates. The paper explores the basic functional tasks of the bank subdivisions, which are involved in interest-rate risk management (supervisory board, management board, and depositary and risk management executive body). The article analyzes characteristics of interest-rate risk parameters (minor, moderate, major ones) and the effectiveness of interest-rate risk management (high, satisfactory, low ones). I provide recommendations with respect to the evaluation of special interest-rate risk by determining the financial instrument issuer class and by fixing a limit on capital at risk. Results The paper concludes that the problem of banks' interest-rate risk management is caused firstly, by the impact of global financial crisis, and, secondly, by the mismatch of risk management system with modern trends and an interest-rates risks level, which are undertaken by the bank. Conclusions and Relevance Against the backdrop of a crisis, improving interest-rate risk management system is the most efficient mechanism of the line of banking products optimization, as well as enhancing of bank profitability and bank competiveness.
Keywords: bank, interest-rate risk, evaluation method, risk management, financial instrument
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