Faiz riski yönetimi

Abstract

ÖZET Ticaretin sınır tanımaması ve artık uluslararası ticareti ifade etmesi günümüzde, firmaların karşı karşıya kaldıkları rekabetin yapısını ve boyutunu geçmiştekine göre bir hayli değiştirmiştir. Son on yılda gerçekleşen bu hızlı değişime uyum sağlamak için firmalar ellerindeki tüm kaynakları en etkin şekilde kullanmaya yönelmişler, bunun yanısıra kendilerine fayda sağlayacak alternatif kaynakları bulmaya çok fazla çaba harcamışlardır. Özellikle borçlanarak, borçlanmanın kaldıraç etkisinden yararlanmayı ihmal etmemişlerdir. Ulusal veya uluslararası para ve sermaye piyasalarından borçlanma beraberinde faiz riskini getirmiştir. Kısaca faiz oranlarının ileride firmanın aktiflerinin değerini azaltacak veya pasiflerinin maliyetini arttıracak yönde değişmesi olarak tanımlayabileceğimiz faiz riski, para ve sermaye piyasalarındaki kontrol edilebilen ve edilemeyen faktörlerin sayısının hızla artmasıyla daha da göze batar bir hal almıştır. Bu durum, faiz riskinin yönetilmesini zorunlu hale getirmiştir. Mevcut ve geliştirilen finansal enstrümanlarla faiz riskinden korunma stratejileri oluşturulmuş ve hayata geçirilmiştir. Ancak belirtmek gerekir ki, bu korunma stratejileri, mevcut finansal konjonktüre ve bu stratejileri uygulamak isteyen firmaların yapılarına göre farklılık gösterir. Yani oluşturulan her korunma stratejisinin kendine özgü bir iç dinamiği vardır. Riskten korunma stratejilerinin oluşturulmasında hareket noktası, riski açıkça tanımladıktan sonra amacı belirlemek ve eldeki araçları en iyi şekilde kullanarak hedefe ulaşmaktır. Günümüzde, gelişmiş ülkelerin hemen hepsinde kullanılan türev enstrümanlar ve teknikler Türkiye' de, altyapı yatırımlarının ve gerekli kanuni düzenlemelerin yapılmamış olmasından dolayı henüz verimli bir şekilde kullanılmamaktadırlar. Ancak bu riskin orta ve büyük ölçekli firmalar tarafından görülmesi ve ilgili departmanların yeni yeni kurulması, bu yoldaki gelişmelerin önümüzdeki yıllarda daha da hızlanacağı izlenimini vermektedir.

SUMMARY INTEREST RATE RISK MANAGEMENT America, one of the counter party of the World War II celebrated the end of the war with excess funds. This enabled America to lend these funds to other countries suffering from the affects of the war. But after the collapse of the Bretton Woods system, this cheap-lending has ended. Because most countries turned their monetary policy and currency fixing mechanism to floating rate mechanism. After the era of Bretton Woods system fell apart, most countries switched to the floating rate mechanism to value their currencies in the markets. Within this system the dynamics of the markets preserve the currency fluctuations. Currency values float daily in relation to one another, largely in response to the forces of supply and demand since the Bretton Woods system has collapsed. Before the World War II. mostly the values of goods and services traded were decisive in cross rates. In modern times with the technological developments easing the movement of money between all parts of the globe also caused flow of capital from one country to another and started to affect the exchange rates more than international trade itself. These major changes seen in this era also effected the interest rate mechanism set in the economy. The increase in the aggregate volume of money demand faced the insufficient money supply. And interest rates increased rapidly. In those days significant interest rate fluctuations were seen in the international money market. Investors who had made their calculations based on the lower interest rates failed. Borrowers who had borrowed any loans with floating rates had to pay more than they assumed. And firms who had invested their savings on long term financial papers lost the chance of enjoying higher yields. This helped market to perceive rather than seeing what interest rate risk is. Once the interest rate lying in the market is seen, academicians andprofessionals began working on the issue. Beginning with the definition of the interest rate risk, many mathematical and managerial procedures were created on interest rate risk management. Interest rate risk, which is actually the risk of change in the value of firms assets and liabilities, started to occur more often as the total volume of foreign trade increased world wide. Overcoming of interest rate risk has become more important and more difficult to manage in the current decade. Interest rate exposure arises when a firms gained interests does not match with the borrowing costs or the basis which are used in calculating effective interest on loans and deposits are different. Such as Prime Rate and Libor. Interest rate risk management focuses on the concept of hedging. Hedging is an action done with financial instruments available in the market, aiming to minimise or to transfer the risk of one party to an other. Actual hedging techniques are as numerous and as imaginative as one would expect from the highly competent international treasurers and bankers who work in this area. A common failure of interest rate risk management in the companies is that there is a lack of knowledge of what to do and which market or instrument to use. The most vital failure is that firms try to manage every exposure as a separate case just after it comes out. In an ideal case firm should know that they will come across with a risk which can be well defined just before the exposure comes out. In today' s competitive global markets, the effective strategic management of a firm must include an analysis of the impact of interest rate changes on the firm' s operating exposures. Firms are threatened by interest rate volatility and its impact on their competitive position. Over the last two decades, a large variety of new interest rate risk management products have been introduced in the financial market place to help managers handle risks in the increasingly volatile interest rate environment. The purpose of this study is to outline some basic concepts in interest rate risk management. Understanding what interest rate is and its components is the one of major topics of interest rate risk management. Simply interest is the price of the capital. People who lend their money for a definite time period will seek XIIto receive more than they had given before hand. This excess amount is called interest and usually shown as a ratio of the capital utilised. Interest rate has two components real interest (risk free interest) and the risk premium. This explains the difference of the borrowing costs of the firm or industries of a nation. Market interest rate is set in relation to one another largely in response to the forces of money supply and money demand of the given market. The first part of the study summarises market interest rate and its position in economics. The next part deeply covers the relationship between interest rate and the maturity. The reasons of finding high correlation between these two terms are examined in detail. This section is then supported with the theories trying to explain the changes in the zero coupon yield curve. There are three main theories. Expectations theory, market segmentation theory and the liquidty preference theory.. The coming part explains the general characteristics of the interest rate risk. It clearly gives the definition of interest rate risk. The probability of unfavourable changes in the market rates arises the interest rate risk by diminishing the value of the assets as well as increasing the value of liabilities. Also lending and funding on different basis pushes firms into the interest rate risk pool. Part six as a whole covers derivative products, risk management techniques based on derivatives and adequate information about every specific derivative market. This section mainly focuses on forward contracts, swaps, futures contracts and lastly options. Altough each derivative product and its uses explained in detail in this study, the table given below summarises and compares the features of derivative products Under the first sub-title, forward rate agreements - FRA' s are explained. The nature of forward rate agreements, calculation basis and settlement procedure were the major points summarised in detail in this part. Swaps are defined in the coming part. Illustrating with the necessary formulas, focused on the pricing and valuing of interest rate swaps as well as basics of it. XIIIThird sub-title, futures markets are summarised. The conditions to enter these markets, interest rate futures contracts, how to use the futures contracts in interest rate risk management are explained in detail. Comparison of Derivative Products In the last part of section six, most recent and the most complex instrument used to manage financial risk, options are viewed. Taking account that the most sophisticated derivative product is options, special care is given to this part. Including the verification of commonly used pricing techniques and volatility, as much as possible every concept related to options is tried to be touched. Option contracts, the different types of option contracts and the mathematical relationship between these contracts, interest rate options, the factors that influence the value of the options, the concept of volatility which XIVis a measure of the fluctuations in the financial assets' prices, the valuation of option contracts in the Black-Sholes option pricing model perspective, hedging by options, and the option strategies that are formed by gathering the different types of options together are explained in detail. Paralleling the development of the capital markets, a variety of financial techniques are being developed to be used in interest rate risk management. The techniques stated are formed by compromising the financial instruments already explained within this study. In the seventh part of the study a model for interest rate risk management is introduced. Body of the model is formed by finding out the basic requirements of interest rate risk management that should be satisfied by the firms. Then the working mechanism is explained in a manner of process. And lastly this model is run on an semi-real example. As a conclusion we should say that in order to sustain a remarkable share in the market, the usage of derivative products and managing interest rate risk is a necessity, not a luxury. XV