金融风险管理.ppt

Chapter2:Banks,Semester2,2013-14Wu,Wei-Shao,NatureofBanking,CommercialbankingTakingdeposits,makingloans.Wholesalevs.retail.InvestmentbankingRaisingdebtandequityforcompanies;adviceonmergersandacquisitions,restructurings,etc.,2,ExampleofSimpleBankBalanceSheet:End2012,3,AssetsCash5MarketableSecurities10Loans80FixedAssets5Total100,LiabilitiesDeposits90SubordL.T.Debt5EquityCapital5Total100,IncomeStatement:2012,NetInterestIncome3.00ProvisionforLoanLosses(0.80)Non-InterestIncome0.90Non-InterestExpense(2.50)Pre-TaxOperatingIncome0.60,4,Year2013,Whathappensinyear2013ifitisthesameasyear2012exceptthatprovisionforloanlossesis4.0insteadof0.8?Pre-taxnetoperatingloss:0.6-3.2=2.6After-tax(30%)loss:2.6*0.7=1.8Equitycapitalis5%ofassetsAfter-taxlossis1.8%ofassets,5,WhatifBalanceSheetHadBeenMoreAggressive?,6,AssetsCash5MarketableSecurities10Loans80FixedAssets5Total100,LiabilitiesDeposits94SubordL.T.Debt5EquityCapital1Total100,Year2013,Whathappensinyear2013ifitisthesameasyear2012exceptthatprovisionforloanlossesis4.0insteadof0.8?Pre-taxnetoperatingloss:0.6-3.2=2.6After-tax(30%)loss:2.6*0.7=1.8Equitycapitalis1%ofassetsAfter-taxlossis1.8%ofassetsItsaissueofCapitalAdequacy,Regulation,Regulatorssetminimumlevelsforthecapitalabankisrequiredtokeep.EquityisanexampleofTier1capital.SubordinatedlongtermdebtisanexampleofTier2capital.,8,DepositInsurance,Mostcountrieshavedepositinsuranceprogramsthatinsuredepositorsagainstlossesuptoacertainlevel.IntheUStheFDIC(FederalDepositInsuranceCorporation)hasprovidedprotectionfordepositorssince1933.Theamountinsuredwas$2,500(maximumlevel)in1933.Ithasbeenincreasedseveraltimes.Followingthecreditcrisisitwasincreasedfrom$100,000to$250,000inOctober2008.Whymightdepositinsuranceencourageabanktotakerisks?(moralhazard),9,InvestmentBanking,MethodsofraisingdebtorequityPublicoffering.Privateplacement.Bestefforts.Firmcommitment.,10,BestEffortsvs.FirmCommitment,50millionsharesaretobeissuedandtargetpriceis$30pershare.Besteffortswouldleadtoafeeof30centspershare;firmcommitmentleadstobankbuyingat$30pershare,11,InitialPublicOffering(IPO),Usuallyonabesteffortsbasis.Bankwillsetofferingpricesufficientlylowthatsharesarealmostcertaintobesold.OftenpricerisesimmediatelyafterIPO.BanksoftenofferIPOsharestofundmanagersandtheirbestcustomers.,12,InitialPublicOffering(IPO),DutchAuctionIPO,Individualsandcompaniesbidbyindicatingthenumberofsharestheywantandthepricetheyarepreparedtopay.Thepricepaidisthelowestbidthatleadstoallthesharesbeingsold.,14,Example:Howare1millionsharesallocatedinthissituation?,15,1,2,3,4,5,6,SecuritiesTrading,Whydobankstrade?Tomeettheneedsofitscounterparties.(marketmaking)Toreduceitsownrisks.(hedging)Totakeaspeculativepositioninthehopeofmakingaprofit.(speculation),SecuritiesTrading,Banksoftengetinvolvedinsecuritiestrading,providingbrokerageservices.Brokerageservices:FullservicebrokersOfferinvestmentresearchandadvice.DiscountbrokersChargelowercommissions,butprovidenoadvice.OnlineserviceProvideaplatformforcustomerstotradewithoutabroker.,17,PotentialConflictsofInterest,Bankrecommendssecuritiesthatinvestmentbankistryingtosell.Commercialbankpassesconfidentialinformationonaclienttoinvestmentbank.Stockrecommendedasa“buy”topleasecompanysmanagementinordertogetinvestmentbankingbusiness.Investmentbankissuesecuritiesforacompanysothatcommercialbankcangetridofaloan.(商业银行部门不想再借钱给某公司),18,TheRisksFacingBanks,CreditriskDefaultriskinloanandderivativestransactions.MarketriskDeclineinvalue.OperationalriskInternalsystemsfailtoworkorexternalevents.,Chapter3:InsuranceCompaniesandPensionPlans,Semester2,2013-14Wu,Wei-Shao,TypesofLifeInsurance,Termlife(定期寿险)Temporarylifeinsurance:Lastapredeterminednumberofyears.Wholelife(终身寿险)Permanentlifeinsurance:Overthewholelifeofthepolicyholder.Variablelife(变额寿险)在保险期内保险金额随资金运用的绩效而变化的一种人寿保险。,21,TypesofLifeInsurance,Universallife(万能寿险)保险公司为投保人建立投资帐户并让客户参与账户内资金的投资活动，将保单的价值与独立运作的投保人投资帐户的业绩联系起来。Endowmentlife(生死合险、养老保险)以被保险人在保险期限内死亡或期满生存为条件，都可获得保险金的一种保险。Grouplife,CostofWholeLifeInsuranceComparedwithAnnualPremium,23,InvestmentofSurplus,Somecontractsallowthepolicyholdertochoosehowthesurplusisinvested.Therearetaxdeferraladvantagescomparedwitharegularinvestmentbecausenotaxispaiduntilthereisapayoutonthepolicy.,24,AnnuityContracts(年金),Typicallyalumpsumpaymentisusedtobuyalife-timeannuity.Convertingalumpsumintoregularpayments.Annuitycanbefixedorvariable.Annuitycanstartimmediatelyorbedeferred.Accumulatedvaluecandependinacomplicatedwayontheperformanceofstockindices.Theremaybepenalty-freewithdrawals.,25,ExtractfromUSMortalityTables(2007):Male,26,Theprobabilityofamandyingwithinnextyear,ExtractfromUSMortalityTables(2007):Female,27,Theprobabilityofafemaledyingwithinnextyear,HowTablesAreUsedInPricingLifeInsurance,Considerafemaleaged30.Probabilityofdeathduringfirstyearis0.000642.Probabilityofdeathduringsecondyearis:(1-0.000642)0.000678Probabilityofdeathduringthirdyearis:(1-0.000642)(1-0.000678)0.000721.Minimumpremiumissuchthatpresentvalueofinflowsequalspresentvalueofoutflows.,28,LongevityDerivatives,E.g.,longevitybonds.Apopulationgroupisdefinedandthecoupononthebondatanygiventimeisdefinedastheproportionoflivingpeopletothepopulation.Attractivetoinsurancecompanies(whoissueannuitycontracts)andpensionfunds.Attractivetospeculatorsbecausethebondshaveverylittlesystematicrisk.,Property-CasualtyInsurance,Propertyinsurance(产险)isconcernedwithlossordamagetopropertyfromfire,theft,etc.Casualtyinsurance(意外险)isconcernedlegalliabilityexposures.Whatarethebiggestrisksfacingproperty-casualtyinsurers?Catastrophicrisk(巨灾风险).,30,ExampleofRatiosforProperty-CasualtyInsurance,31,Lose6%,Earn3%,Otherissues,Healthinsurance.Reinsurence.Specialrisk.,32,MoralHazardandAdverseSelection,Moralhazardistheriskthattheexistenceoftheinsurancepolicycausesthepolicyholdertotakemorerisks.Adverseselectionisthetendencyforaninsurancecompanytoattractbadriskswhenitcannotperfectlydistinguishbetweengoodandbadrisks.,33,TypicalSummaryBalanceSheet:LifeInsurance,34,(Investmentsaremostlylong-termcorporatebonds),TypicalSummaryBalanceSheet:Property-CasualtyInsurance,35,(Investmentsaremostlyliquidshortermaturitybonds),Thepayoutsforaproperty-casualtycompanyaremuchlesseasytopredictthanthoseforalifeinsurancecompany.,TheRisksFacingInsuranceCompanies,Policyreservesarenotmeettheclaimsofpolicyholders.Theperformanceoftheinvestments.Theinvestmentsliquidityrisks.Creditriskandoperationalrisk.,PensionPlans,Definedbenefitplan(确定给付制)Contributionsarepooled.Benefitsaredeterminedbyaformuladependentonthefinalsalaryoftheemployeeandthenumberofyearsofservice.Definedcontributionplan(确定提拨制)Contributionsforeachemployeearekeptseparateandinvestedonbehalfoftheemployee.Whentheemployeeretirestheaccumulatedvalueofthecontributionsisusuallyconvertedtoanannuity.,37,DefinedBenefitPlans,Actuariesestimateliabilitiesandcalculateasurplusordeficitfortheplan.ThediscountrateusedforprivateplansistheAAborrowingrate.Deficitsmustbefundedbythecompanywithinaprescribedperiod.Aperfectstorm:Decliningequitypricescoupledwithdeclininginterestrates.,38,Chapter4:MutualFundsandHedgeFunds,Semester2,2013-14Wu,Wei-Shao,MutualFunds,Percentageoftotalnetassets,year-end2012,MutualFunds,Open-EndFundsClosed-EndFundsExchange-TradedFunds(ETFs),Open-EndFunds,Mostcommontypeoffundisanopen-endfund.Thenumberofsharesinthefundgoesupasinvestorsbuymoresharesanddownastheyredeemshares.Aassetvalue(NAV)ofthefund.,42,Types,Equity.Bond.Hybrid.MoneyMarket.Index.,43,Costs,TaxAnnualfeeFront-endload(申购费用)Back-endload(赎回费用),44,Closed-EndFunds,ConsistsofafixednumberofsharesthataretradedinthesamewayasthesharesofanyothercompanyThesharepricetendstobelessthantheNAVcalculatedfromthemarketvalueoftheinvestments,45,Exchange-TradedFunds(ETFs),Since1993.Oftendesignedtotrackanindex.StartedbyaninstitutionalinvestorthatdepositsablockofsecuritiesandobtainssharesintheETF.Sharesaretradedonanexchange.(closed-end)Largeinstitutionalinvestorscanexchangesharesinthefundfortheunderlyingassets,andviceversa.(open-end)ThiskeepsthesharepriceclosetotheNAVofthefundsinvestments.,46,Exchange-TradedFunds(ETFs),PerformanceofMutualFunds,TheclassicstudyisbyJensen(1969).Hisresultshavebeenconfirmedinlaterstudies.Theaveragealphaofallfundsisslightlynegative.Goodperformancebyamutualfundmanagerinthepastisnotagoodguidetofutureperformance.,48,JensensResultsonthePersistenceofGoodPerformance,49,Theresultssuggestthatmanagerswhoobtainpositivealphasdosobecauseofluckratherthanskill.,MutualFundScandals,Latetrading.Markettiming.Frontrunning.Directedbrokerage.,50,HedgeFunds,MutualFundsarerestrictedbecauseSharesmustberedeemableatanytime;NAVmustbecalculateddaily;Investmentpoliciesmustbedisclosed;Useofleverageislimited.Hedgefundsarenotsubjecttotheserestrictions.,51,HedgeFunds,Since1949.Theterm“hedgefund”impliesthatrisksarebeinghedged.Forsomehedgefunds,theword“hedge”isinappropriate.,HedgeFundFees,Thefeesarehigherthanmutualfundsanddependentonperformance.Atypicalfeestructureis2plus20%.Thismeansthatthefundchargesa2%managementfeeperyearplusanincentivefeeequalto20%ofanynet(aftermanagementfees)profits.Thehedgefundmanagerhasanincentivetotakehighrisks.,53,ConstraintonIncentiveFees,hurdlerates.Minimumreturntoapplyi