讲座题目：Hedge Accounting and Banks’ Interest Rate Risk Management（套期会计与银行利率风险管理）

主 讲 人：陆峣（康奈尔大学约翰逊商学院助理教授）

日   期：2025年12月26日10:00-12:00

地   点：节约楼209会议室

摘   要：

We study how reducing frictions in derivative hedging affects banks’ interest rate risk management, using the relaxation of hedge accounting requirements under ASU 2017-12. We find that banks significantly increased their use of hedge-accounted and overall interest rate risk derivatives after adopting the standard, consistent with its designed effect in facilitating accounting hedges. The increased derivative use did not reduce banks’ overall interest rate risk exposure. Instead, banks take advantage of the reduced hedging costs to adjust their interest rate risk management strategies. Specifically, increased derivative use allowed banks to widen their asset-liability duration gap by investing more in longer-term assets, particularly long-term loans. It also attracts more uninsured deposits, further supporting their increase in maturity mismatch without affecting overall interest rate risk exposure. While a greater maturity mismatch helps banks earn a higher net interest margin, riskier lending increases their loan losses, resulting in an insignificant change in banks’ profitability. Overall, ASU 2017-12 shifts banks’ interest rate risk management to a new equilibrium, where extended asset durations are hedged with more derivatives and deposits, and higher term premiums earned are offset by greater credit losses.

主讲人介绍：

陆峣,康奈尔大学约翰逊商学院助理教授，研究方向主要为信息透明度和信息处理在企业可持续增长中的作用，重点关注金融机构的相关话题。他关于银行业的研究探讨信息与银行流动性风险、信用风险、气候风险之间的关系，以及这些因素如何共同影响金融体系的稳健性与可持续发展。此外，他还在非金融领域研究与信息相关的话题，包括公司业绩指引，可持续发展相关披露，以及生成式人工智能在信息处理中的应用。陆教授于芝加哥大学获得会计学博士学位。在攻读博士之前，他曾在香港的高盛担任股票研究分析师。