行及金融機(jī)構(gòu)管理

1、The Economics Noney, Banking, Financial MarketsSeventh Edition UPDATEFrederic S MishkinChapter 9Banking and theManagement of Financial InstitutionsThe Bank Balance SheetTable 1 Balance Sheet of All Commercial Banks (items as a percentage of the total, December 2004)Assets (Uses of Funds)*Liabilities

2、 (Sources of Funds)Reserves and cash items4Checkable deposits9SecuritiesNontransaclion depositsU.S. govemmeni and agency15Small-denominaiion lime depositsSlate and local government and(< $100.000) + savings deposits47other securities10Large-denomination lime deposits16LoansBorrowings21Commercial

3、and industrial12Bank capita!7Real estate32Consumer9Interbank4Olhcr6Other assets (for example.physical capital)8Total而Total而*ln order of decreasing liquidity.5ounr: /rclcascs/hfi/currcnt/Bank OperationT-account Analysis:Deposit of $100 cash into First National BankAssetsLiabiliti

4、esVault Cash + $100Checkable Deposits + $100(=Reserves)Deposit of $100 check into First National BankAssetsLiabilitiesCash items in process of collection + $100First National BankCheckable Deposits 豐 $100Second National BankAssetsLiabilitiesAssetsLiabilitiesCheckableCheckableReservesDepositsReserves

5、Deposits+ $100+ $100-$100-$100Conclusion: When bank receives deposits, reserves T by equal amount; when bank loses deposits, reserves J by equal amountPrinciples of Bank Management1. Liquidity Management2. Asset ManagementManaging Credit RiskManaging Interest-rate Risk3. Liability Management4. Capit

6、al Adequacy ManagementPrinciples of Bank ManagementLiquidity ManagementReserve requirement = 10%, Excess reserves = $10 millionAssetsReserves $20 millionLoans$80millionSecurities $10 millionLiabilitiesDeposits$100 millionBank Capital $ 10 millionDeposit outflow of $10 millionAssetsLiabilitiesReserve

7、s$10 millionDeposits$ 90 millionLoans$80 millionBank Capital$ 10 millionSecurities$10 millionWith 10% reserve requirement, bank still has excess reserves of $1 million: no changes needed in balance sheetLiquidity ManagementNo excess reservesAssetsLiabilitiesReserves$10 millionDeposits$100 millionLoa

8、ns$90 millionBank Capital$ 10 millionSecurities$10 millionDeposit outflow of $ 10 millionAssetsLiabilitiesReserves$ 0 "IlionDeposits$ 90 millionLoans$90 millionBank Capital$ 10 millionSecurities$10 millionLiquidity Management1 Borrow from other banks or corporationsAssetsLiabilitiesReserves$ 9

9、millionDeposits$ 90 millionLoans$90 millionBorrowings$ 9 millionSecurities$10 millionBank Capital$ 10 million2. Sell SecuritiesAssetsLiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans$90 millionBank Capital$ 10 millionSecurities$ 1 millionLiquidity Management3 Borrow from FedAssetsSecurities $1

10、0 million Reserves $ 9 million Loans $90 millionLiabilitiesBank CapitalDepositsDisco unt Loa ns$ 10 million$ 90 million$ 9 millionAssetsReserves $ 9 million Loans $81 millionSecurities $10 millionLiabilitiesDepositsBank Capital$ 90 million$ 10 million4. Call in or sell off loansConclusion: excess re

11、serves are insurance against above 4 costs from deposit outflows® 2006 Pearson Addison-Wesley. All rights reservedAsset and Liability ManagementAsset Management1. Get borrowers with low default risk, paying high interest rates2. Buy securities with high return, low risk3. Diversify4. Manage liq

12、uidityLiability Management1. Important since 1960s2. Banks no longer primarily depend on deposits3. When see loan opportunities, borrow or issue CDs to acquire fundsCapital Adequacy Management1 Bank capital is a cushion that helps prevent bank failure2. Higher is bank capital, lower is return on equ

13、ityROA = Net Profits/AssetsROE = Net Profits/Equity CapitalEM = Assets/Equity CapitalROE= ROA x EMCapital T, EM J, ROE I3. Tradeoff between safety (high capital) and ROE4. Banks also hold capital to meet capital requirements5. Managing Capital:A. Sell or retire stockB. Change dividends to change ret

14、ained earningsC. Change asset growthManaging Credit RiskSolving Asymmetric Information Problems1. Screeni ng2. Monitoring and Enforcement of RestrictiveCovena nts3. Specialize in Lending4. Establish Lon g-Term Customer Relati on ships5. Loan Commitment Arrangements6. Collateral and Compensating Bala

15、nces7. Credit RationingManaging Interest Rate RiskFirst National BankAssetsRate-sensitive assets $20 m $50 mVariable-rate loansShort-term securitiesFixed-rate assets$80 rnReservesLong-term bondsLong-term securitiesLiabilitiesRate-sensitive liabilitiesVariable-rate CDsMMDAsFixed-rate liabilities $50

16、mCheckable depositsSavings depositsLong-term CDsEquity capitalManaging Interest-Rate RiskGap AnalysisGAP = rate-sensitive assets 一 rate-sensitive liabilities =$20 一 $50 = 一$30 millionWhen /T 5%:1. Income on assets = + $1 million(=5% x $20m)2. Costs of liabilities = +$2.5 million(=5% x $50m)3. AProfi

17、ts = $1m - $2.5m = -$1.5m=5% x ($20m 一 $50m) = 5% x (GAP)AProfits = A/ x GAPDuration AnalysisDuration Analysis%A value =-(% point') x (DUR)Example: i T 5%, duration of bank assets = 3 years, duration of liabilities = 2 years;%A assets = 一5% x3 = -15%A liabilities = -5% x 2 = -10%If total assets

18、= $100 million and total liabilities = $90 million, then assets I $15 million, liabilitiesX$9 million, and bank's net worth i by $6 millionStrategies to Manage Interest-rate Risk1. Rearrange balance-sheet2. Interest-rate swap3. Hedge with financial futuresOff-Balance-Sheet Activities1 Loan sales

19、2. Fee income fromA. Foreign exchange trades for customersB. Servicing mortgage-backed securitiesC. Guarantees of debtD. Backup lines of credit3. Trading ActivitiesA. Financial futuresB. Financial optionsC. Foreign exchangeD. SwapsRisk ManagementPrincipal-Agent ProblemTraders have incentives to take

20、 big risksRisk Management Controls1 Separation of front and back rooms2 Value-at-risk modeling3. Stress testingRegulators encouraging banks to pay more attention to risk managementFinancial InnovationInnovation is result of search for profits Response to Changes in DemandMajor change is huge increase in interest-rate risk starting in