옵션형태의 이자율계약을 이용한 금융기관의 이자율위험관리 = A Study on the Interest Rate Risk Management of Financial Institutions using Combination of Interest Rate Option

다국어 초록 (Multilingual Abstract)

The environments of Korean financial markets after 1990s have been changing rapidly, The degree of competition has increased greatly by the liberalization of financial markets and the deregulation of financial institutions management. This increased competition in turn requires different management strategy. In the interest rate environment. the level and volatility of interest rate are higher than in other collntrips which have well developed financial markets. Therefore, management of interest rate risk exposure is very important for financial institutions to exist and keep an competitive edge in a changing environment. There are many possible ways to control interest rate risk of financial institutions. Option markets may be one possible alternative. But there are some limitations in option-based interest rate risk management. Instead of interest rate option, combination of interest rate options provide good hedging tool in controlling interest rate risk. In this paper, interest rate cap and inferest rate floor are analyzed with an emphasis on how this can be utilized in controlling the impact of uncertain and volatile financial market conditions.

목차 (Table of Contents)

• I. 서론
• II. 이자율위험의 영향-미·일의 사례
• III. 이자율옵션에 의한 이자율위험관리
• 1. 이자율옵션을 이용한 이자율위험관리
• 2. 이자율옵션을 이용한 이자율위험관리의 한계
• IV. 이자율캡을 이용한 이자율위험관리
• 1. 이자율캡의 개념
• 2. 이자율캡의 가격 결정 모형
• 3. 이자율캡과 이자율위험관리
• V. 이자율플로어를 이용한 이자율위험관리
• 1. 이자율플로어의 개념
• 2. 이자율플로어를 이용한 이자율위험관리
• VI. 결론
• 參考文獻
• Abstract