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La gestion de bilan face au risque d'inflation

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  • Denis Dupré
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    Abstract

    [fre] La gestion de bilan vise à optimiser le pilotage de la gestion financière d'une banque. Le risque de taux lié à une plus forte baisse de valeur des actifs que des passifs de la banque s'est traduit par les faillites en cascade des caisses d'épargne américaines. Pour limiter ce risque, des méthodes en duration veulent annuler le risque de baisse de valeur de marché de la banque. Nos recherches mettent en garde contre une utilisation généralisée de la duration. Il est plus adapté de partir de l'objectif désiré sur le rendement des fonds propres. Couvrir en duration est approprié pour viser un rendement monétaire. Il convient parfois de suivre d'autres indices notamment pour se protéger contre l'inflation. Les modèles de diffusion de taux permettent de quantifier le risque dans une stratégie rendement-risque. Nous montrons que ces modèles restent peu prédictifs. Cependant, nous proposons une méthodologie pour que les gestionnaires prennent cette difficulté en compte dans l'appréciation du rendement et du risque. [eng] The risk of rate is due to a greater decrease of value for the assets than for the liabilities. It was the case in the crisis of american Saving and Loans. To limit this risk, duration was introduced to eliminate decrease of market value of a bank. Our researchs question the general use of duration. It seems more adapted to start from the shareholder point of view. Duration is appropriated as far as a monetary yield is the target. In some cases a protection against inflation appears to be more appropriate. Diffusion models for rates make the risk easy to quantify in a risk and return strategy. Those models appear to be weakly predictive. Anyway, we propose a methodology for integrating this uncertainty in a risk and return strategy.

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    File URL: http://dx.doi.org/10.3406/rfeco.1998.1052
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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 13 (1998)
    Issue (Month): 2 ()
    Pages: 129-148

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    Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_2_1052

    Note: DOI:10.3406/rfeco.1998.1052
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/rfeco

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