Zinsänderungsrisiko und Zinsterminkontrakte
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Inhaltsangabe: Einleitung: Das Zinsänderungsrisiko hat in den letzten Jahren in der Literatur verstärkt Beachtung gefunden. Wesentlicher Grund dafür ist sicherlich die erhebliche Zunahme von Zinsschwankungen an den Geld- und Kapitalmärkten seit Ende der siebziger Jahre. Diese Entwicklung gilt nicht nur für die Bundesrepublik Deutschland sondern auch für andere bedeutende Industrienationen, insbesondere die USA. Grundsätzlich unterliegen alle Wirtschaftssubjekte dem Zinsänderungsrisiko. Private und staatliche Investoren ebenso wie Industrieunternehmungen und Finanzintermediäre. Banken können jedoch für sich eine erheblich grö ere Relevanz ableiten, da aufgrund des au erordentlich hohen Anteils, den das Zinsergebnis am Gesamtergebnis eines Kreditinstitutes ausmacht, das Zinsänderungsrisiko als existenzgefährdende Risikokomponente betrachtet werden mu . Mit vorliegender Arbeit soll ein Instrument dargestellt werden, mithilfe dessen die signifikante Reduzierung des Zinsänderungsrisikos möglich ist, nämlich das Hedgen mit Zinsterminkontrakten. Gang der Untersuchung: Zunächst ist es notwendig, das Zinsänderungsrisiko hinreichend genau zu beschreiben und zu charakterisieren. Dies erfolgt im zweiten Teil der Arbeit. Dort werden zuerst unterschiedliche Definitionen des Zinsänderungsrisikos systematisch gegenübergestellt und verglichen. Nach der Darstellung der ökonomischen Bedeutung des Zinsänderungsrisikos erfolgt dann die Bestimmung dessen Höhe. Dazu werden die beiden wichtigsten Instrumente herangezogen, die Zinsbindungsbilanz und die Durationsanalyse, dargestellt und miteinander verglichen. Im dritten Teil der Arbeit wird auf das Instrument, mit Hilfe dessen das Zinsänderungsrisiko reduziert werden soll, eingegangen. Nach der Definition des Zinsterminkontraktes folgt eine knappe Beschreibung der Entwicklung des Marktes für Zinsterminkontrakte. Daraufhin werden wichtige Elemente der Marktstruktur -Teilnehmer, Marktplätze, Organisation und Transaktionskosten- dargeste
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