The Interest Rate Icebergs Looming for Banks

EVAN SPARKS

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The Interest Rate Icebergs Looming for Banks

机译：利率冰山正在逼近银行

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As we move into uncharted waters on monetary policy, it's time for bankers to revisit their interest rate risk models and procedures. Combine an economy that (at press time) was growing robustly at over 2.5 percent very late in the economic cycle, a massive Federal Reserve portfolio waiting to be unwound, and a gradual path of projected rate hikes that could be scrambled by pending Fed personnel shifts, and there are a lot of icebergs about: looking innocuous from above, but with possibly large downsides should anything go wrong. Key among them: the need for more and newer ways to calculate interest rate risk, the need for better IRR management practices and the emerging issue of price risk-all of which intersect to make IRR a growing challenge for risk managers, CEOs and business line leaders alike.

机译：随着我们进入有关货币政策的未知领域，现在是银行家重新审视其利率风险模型和程序的时候了。结合经济体（截至发稿时）在经济周期的后期非常强劲地以超过2.5％的速度增长，庞大的美联储资产组合等待解散，以及预计的加息步伐可能会因美联储人事变动而逐步蔓延，并且有很多冰山：从上方看它是无害的，但可能有很大的不利之处，否则任何错误都应该发生。其中的关键是：需要更多和新的方法来计算利率风险，需要更好的内部收益率管理实践以及新出现的价格风险问题，所有这些相交使内部收益率成为风险管理者，首席执行官和业务部门日益增长的挑战领导者都一样。

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《ABA banking journal》 |2018年第4期|35-35|共1页
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EVAN SPARKS;
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1. Banks begin to close €2trn carry trade as interest rate rises loom [J] . GARETH GORE International Financing Review . 2017,第2188期

机译：随着利率上升，银行开始关闭2欧元的套利交易
2. Bank of England leaves interest rates unchanged as Brexit deadline looms [J] . Niall Swan ICIS News . 2019,第Mara21期

机译：英格兰银行将利率保持不变，因为Brexit截止日期织机
3. Bank of England leaves interest rates unchanged as Brexit leave date looms [J] . Tom Brown ICIS News . 2019,第Feba7期

机译：英格兰银行留下利率不变，因为Brexit离开日期织机
4. 2004 Grand Banks Iceberg Scour Survey [C] . Gary V. Sonnichsen, Tony King 21st International conference on port and ocean engineering under arctic conditions 2011.;vol. 2. . 2011

机译：2004年大银行冰山冲刷调查
5. Drift speed distribution of icebergs on the Grand Banks and influence on design loads. [D] . Stuckey, Paul D. 2008

机译：大银行冰山的速度分布漂移及其对设计负荷的影响。
6. Suppressed visual looming stimuli are not integrated with auditory looming signals: Evidence from continuous flash suppression [O] . Pieter Moors, Hanne Huygelier, Johan Wagemans, 2015

机译：抑制的视觉隐现刺激与听觉隐现信号不整合：来自持续闪光抑制的证据
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。
8. The Normal Dynamic Topography of the Labrador Current and Its Environs in the Vicinity of the Grand Banks of Newfoundland During the Iceberg Season [R] . Soule, F. M. 1944

机译：在拉布拉多洋流及其周围纽芬兰大浅滩附近的正常动态地形在冰山赛季

The Interest Rate Icebergs Looming for Banks

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