Analysis of Change Effect in the Market Interest Rate on Net Interest Income of Commercial Banks

摘要

The article presents an analysis and description of themethods of an income gap analysis and a duration gapanalysis that enable assessing an interest rate risk ofcommercial banks also their policy of assets and liabilitiesmanagement in the view of concordance of terms. On thebasis of gap analysis methods applied to make anassessment of an interest rate risk and annual financialstatements of the banks “?iauliai bankas” and “Medicinosbankas” for the period of 2006 – 2009, a theoreticalsimulation model of sensitivity of the net interest income tothe changes in the market interest rate was developed andimplemented in practice; the aim of the model – with theaid of gap methods and a sensitivity analysis to makequantitative assessment of the effect of the change in theinterest rate on a net interest income, as hypothetically,there is a functional dependency between changes in themarket interest rate and net interest income of commercialbanks. Management of an interest rate risk in commercialbanks is one of the “foundation stones” in management ofbanks assets and liabilities as it determines profitability ofa bank. M. Jasiene (1998) describes in detail the interestrate risk and its potential effect on the structure of assetsand liabilities. A. Lileikiene and J. Martinkiene (2004) intheir research articles emphasise the importance of achoice of the strategy of assets and liabilities formation incommercial banks and tools for the management of aninterest rate risk. Interest rate risk and its managementtools are also described in N. Zaltauskiene’s (2005), A.Lakstutiene’s, A. Breiteryte’s, D. Rumsaite’s (2009)research works. There is a considerable body of researchand studies on this topic by foreign authors. E. N. Murthy(2008), S. Priyank (2007) describe in detail methods ofinterest rate risk assessment, analysing values of assetsand liabilities balance-sheet items of commercial banks. F.S. Mishkin (2007) provides mathematical methods for theassessment of the structure of assets and liabilities incommercial banks. Interest rate risk assessment methodsand results of research are also described in specialisedperiodical publications that are publicly distributed, e.g.“GAP Analysis” bulletin published by the initiative of theUS Central Bank.