Tool evolution and selection 1. Classification and measurement methods of interest rate risk 2. Overall measurement of market risk - VaR method 4. Report fluctuation management and hedging under IFRS9 1. The main impact of new standards on report fluctuation management 2. Main me

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Tool evolution and selection 1. Classification and measurement methods of interest rate risk 2. Overall measurement of market risk - VaR method 4. Report fluctuation management and hedging under IFRS9 1. The main impact of new standards on report fluctuation management 2. Main me - DayDayNews

IFRS9, the scale of commercial banks' fair value measurement accounts has become larger, and the book value of assets and profit fluctuations have intensified. Faced with a larger scale and more complex asset type, how can we better manage the risks brought about by interest rate fluctuations? Reduce profit volatility?

This article introduces the method of measuring interest rate fluctuations and discusses how commercial banks currently deal with market-oriented valuation fluctuations under IFRS9.

IFRS9 Market valuation Interest rate risk

Directory

1. The asset scale of fair value measurement under IFRS9 is expanded

2. Two demands: accounting profit or economic value?

III. Measuring risk: tool evolution and selection

, classification and measurement methods of interest rate risk

, overall measurement of market risk - VaR method

IV, Report fluctuation management and hedging under IFRS9

, the main impact of new standards on report fluctuation management

, main means of report fluctuation management and hedging

3, Interest rate risk management dilemma under IFRS9

Chart directory

Chart 1 Under IFRS9, the classification of financial assets was adjusted from "four categories" to "three categories"

Chart 2 Under IFRS9, the scale of fair value measurement accounts of most listed banks increased

Chart 3 The impact of three categories on bank profits and capital under the new financial instrument standards

Chart 4 Interest rate risk classification and bank book interest rate risk supervision

Chart 5 The measurement dimensions and differences in risk factors of interest rate risk models

Chart 6 VaR diagram

Chart 7 2007 UBS investment banking business actual loss backtest results

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Special reminder: The content of this report only analyzes the macro economy, does not include investment ratings or valuation analysis of securities and securities-related products, does not belong to securities reports, and does not constitute suggestions to investors.

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