Abstract
Given the business model and risk management practice in banks, investor may use the net fair value of loan and deposit as risk measure of interest rate fluctuation against the future profit. As a result of analysis, estimated coefficient of net value was statistically significant（ negative） and net value has an additional information value. Also, cross term coefficient of net value and hedge accounting was statistically significant （positive）. The reason for the sign of coefficient is that investors consider current net value will affect the negative impact to the future profit in case of increasing the interest rate because of the business model of loan and deposit and application of hedge accounting reduce the its effect. On the other hand, estimated coefficient of other securities was statistically significant（ positive）. It is suggested investors evaluate the fair value of financial products depending on the purpose of holding.
