商业银行管理答案.pdf

一 名词解释 二元银行制 联邦存款保险公司 FDIC 单元银行 unit banks 货币市场基金 市场风险 流动性风险 基差风险 提前偿付风险 商业票据贴现 到期收益率 YTM 持有期收益率 HPY 累积缺口 久期 可贷资金理论 票 据 发 行 便 利 贷款期权 回购协议 剥离证券 金融期货 现金管理 利率互换 利 率下限 资产证券化 银行股本乘数 剥离证券 缺口管理 信用违约互换 CDS 信用期权 法定准备金 利率期权 信贷配给 银企直联 逆回购 第 三 方 支付 集团网购 贷款损失准备金 ALL 二 简答题 贷款期权利率保险 1 贴现率和准备金比率如何影响银行及其他存款机构的业务 2 24 How can changes in the central bank loan discount rate and reserve requirements affect the operations of depository institutions What happens to the legal reserves of the banking system when the Fed grants loans through the discount window How about when these loans are repaid What are the effects of an increase in reserve requirements The Discount Window is the department in each Federal Reserve Bank that receives requests to borrow reserves from banks and other depository institutions which are eligible to obtain credit from the Fed for short periods of time The rate charged on such loans is called the discount rate Reserve requirements are the amount of vault cash and deposits at the Federal Reserve banks that depository institutions raising funds from sources of reservable liabilities such as checking accounts business CDs and borrowings of Eurodollars from abroad must hold If the Fed loans 200 million in reserves from the discount window total reserves will rise by the amount of the discount window loan but then will fall when the loan is repaid Increasing reserve requirement means that depository institutions must keep more vault cash and reserves with the Federal Reserve for each deposit account they hold This would have the effect of making less money available for loans Since this has a multiplicative effect on the economy it can have a severe effect on the total amount of loans made and on the growth of the money supply that results 2 商业银行的中间业务和表外业务的区别和联系 表外业务与中间业务都是独立于资产负债业务之外的业务 两者既有联系又有区别 1 表外业务与中间业务的联系 1 表外业务与中间业务都是收取手续费的业务 手续费是银行向客户提供各种服务所 得的报酬 与银行通过信用活动获取的存贷利差收入不同 贷款承诺 2 传统的中间业务都是表外业务 但表外业务不一定是中间业务 表外业务与中间业 务之间有一些重合 如信用证业务属于中间业务 但就其内涵来说 信用证业务又具有担保 业务的性质 因此信用证业务既是中间业务又是表外业务 3 表外业务与中间业务都是以接受委托的方式开展业务活动 商业银行在从事各类表 外业务和中间业务时的主要特点是不直接作为信用活动的一方出现 一般情况下 不动用或 较少动用自己可使用的资金 不以债权人或债务人的身份进行资金的融通 只是以中间人的 身份提供各类金融服务或替客户办理收付和其它委托事项 也就是说表外业务是一种受托业 务 主要是应客户的要求 因此 银行是否需要开展某种金融服务要看客户的需要 2 表外业务与中间业务的区别 1 中间人的身份不同 在中间业务中 如支付结算 信托 代理等业务 银行都是以交易双方当事人之外的第 三者身份接受委托 扮演中间人的角色 而表外业务却在业务发展中可能发生银行中间人角 色的移位 成为了交易双方的一方 即成为交易的直接当事人 如贷款承诺 就是由银行和 客户签定的信贷承诺协议 并在协议签定时无信贷行为发生 也就不在资产负债表上作出反 映 因而是典型的表外业务 但是一旦具备了协议所列的某项具体贷款条件 银行就必须履 行协议规定的向客户提供贷款的责任 再如目前国际商业银行所从事的各种金融工具交易 除接受客户委托以中间人身份进行的代客交易外 还常常出于防范 转移风险的需要 及实 现增加收入的目的 作为直接交易的一方出现 目前国际商业银行正大力发展表外业务 并 带来了与表内业务平分秋色的收益 2 业务风险不同 如前所说 商业银行的中间业务 是不直接作为信用活动的一方出现的 不动用或较少 动用自己可使用的资金 虽然业务经营中也要承担一定的风险 但其风险程度要明显低于信 用业务 随着金融创新的发展及业务领域的不断拓宽 大量与信用业务密切相关的高风险业务也 随之发展 如银行在提供服务的同时 还以某种形式垫付资金 从而形成了银行和客户之间 的另一种债权债务关系 其风险度可想而知的加大 例 1 如早期的信用卡以转帐结算和支付汇兑为主要功能 称为记帐卡或支付卡 就象 过去我国的信用卡要求是先存款后消费 只有在特殊情况下允许在极短期限内的少量善意透 支 这是较典型的中间业务 而目前国际较流行的标准信用卡主要是贷记卡 以银行为客户 提供短期消费信用为特征 已变化成为一种消费信贷行为了 例 2 对商业票据的担保 商业票据的发行人无力偿还债务时 银行要承担连带责任 因此对商业票据的承兑担保成为银行的一种或有负债 例 3 新兴的表外业务 商业银行为获取收益而从事的新兴的表外业务 如外汇及股价 指数等期权 期货交易 其风险度更是超过了一般的信用业务 3 发展的时间长短不同 表外业务是近 20 年才发展起来的 与国际业务的发展 国际金融市场及现代通讯技术 的发展紧密联系的 而在我国通常被称为银行中间业务的金融服务类业务 大部分与银行的 资产负债业务相伴而生的 长期存在的 3 当今银行和其竞争者都面临着哪些不同的风险 6 16 To what different kinds of risk are banks and their financial service competitors subjected today a Credit Risk the probability that loans and securities the bank holds will not pay out as promised b Liquidity Risk the probability the bank will not have sufficient cash on hand in the volume needed precisely when cash demands arise c Market Risk the probability that the value of assets held by the bank will decline due to falling market prices d Interest Rate Risk the possibility or probability interest rates will change subjecting the bank to lower profits or a lower value for the firm s capital e Operational Risk the uncertainly regarding a financial firm s earnings due to failures in computer systems employee misconduct floods lightening strikes and other similar events f Legal and Compliance Risk the uncertainty regarding a financial firm s earnings due to actions taken by our legal system or due to a violation of rules and regulations g Reputation Risk the uncertainty due to public opinion or the variability in earnings due to positive or negative publicity about the financial firm h Strategic Risk the uncertainty in earnings due to adverse business decisions lack or responsiveness to changes and other poor decisions by management i Capital Risk the risk that the value of the assets will decline below the value of the liabilities All of the other risks listed above can affect earnings and the value of the assets and liabilities and therefore can have an effect on the capital position of the firm 4 格拉斯 斯蒂格尔法案 1933 的主要内容及其美国金融业的影响 2 6 What is the Glass Steagall Act and Why Was It Important in banking history The Glass Steagall Act passed by the U S Congress in 1933 was one of the most comprehensive pieces of banking legislation in American history It created the Federal Deposit Insurance Corporation to insure smaller size bank deposits imposed interest rate ceilings on bank deposits broadened the branching powers of national banks to include statewide branching if state banks possessed similar powers and separated commercial banking from investment banking thereby removing commercial banks from underwriting the issue and sale of corporate stocks and bonds in the public market There are many people who feel that banks should have some limitations on their investment banking activities These analysts focus on two main areas First they suggest that this service may cause problems for customers using other bank services For example a bank may require a customer getting a loan to purchase securities of a company it is underwriting This potential conflict of interest concerns some analysts The second concern deals with whether the bank can gain effective control over an industrial organization This could make the bank subject to additional risks or may give unaffiliated industrial organizations a competitive disadvantage Today banks can underwrite securities as part of the Gramm Leach Bliley Act Financial Services Modernization Act However congress built in several protections to make sure that the bank does not take advantage of customers In addition banks are prevented from affiliating with industrial firms under this law 5 信用衍生工具是什么 使用信用衍生工具会给金融机构带来什么风险 含义 是降低资产负债表上信用风险敞口的合约 风险 9 21 What risks do credit derivatives pose financial institutions using them In your opinion what should regulators do about the recent rapid growth of this market if anything There are several risks associated with these instruments One risk is that the other party in the swap or option may fail to meet their obligation Courts may rule that these instruments are illegal or improperly drawn These types of instruments are relatively new and the markets for these instruments are relatively thin If a bank needs to resell one of these contracts they may have difficulty finding a buyer or they may not be able to sell it at a reasonable price Regulators need to understand clearly the benefits and risks of these types of credit instruments and act to ensure the safety of the banks 6 什么是债务抵押债券 CDO 与其他信用衍生工具有何不同 9 20 What are CDOs How do they differ from other credit derivatives A CDO is very similar to loan securitization where the pool of assets can include high yield bonds equities and other financial instruments which are generally of higher risk than in the traditional loan securitization 7 商业银行为什么具有信用创造能力 影响其信用创造能力的因素有哪些 20 商业银行何以有信用创造能力 影响商业银行信用创造的因素是什么 20 答 在金融体系中 商业银行与其他金融机构的基本区别在于商业银行是惟一可以经营 活期存款 支票存款 的机构 活期存款是货币的重要组成部分 商业银行通过经营活期存 款 又创造出派生存款 从而创造了货币 这个过程称为信用创造 现代银行采用部分准备金制度和非现金结算制度是商业银行信用创造的基础 部分准备 金制度是指根据法律规定 商业银行须将存款的一定比例交存中央银行作为准备的制度 留 存法定准备金之后 其余部分可用于放款 若准备率是 100 则商业银行不可能有资金用 来创造存款 在部分准备金制度下 准备比例越大 信用创造的规模越小 准备比例越小 信用创造的规模越大 非现金结算制度下 人们元需用通货进行支付 如果完全用现金结算 银行就不可能以转账 形式去发放贷款 一切贷款必须付现 则产生不出派生存款 银行也就没有创造信用的可能 所以非现金结算制度也是商业银行创造信用的前提条件 由存款乘数 d 可以看出 rd e k t 及 rt 都是影响商业银行信用创造规模的因素 在经 济生活中 由于财富和利率是决定 e k t 的因素 所以它们也影响着商业银行信用创造的 规模大小 8 为什么上世纪 50 年代美国控股公司会迅速发展起来 更容易利用资本市场筹资 较之那些不具有附属银行的公司 他们更能有效运用杠杆效应 具有用内部利润补偿其他公司损失的税收优势 能跨州跨国界业务 9 金融中介如何降低交易成本 金融中介降低交易成本的主要方法是利用技术上的规模经济和范围经济 若存在与任何金融 资产交易相关的固定交易成本 那么 和直接融资情况下借贷双方一对一的交易相比 通过 金融中介的交易就可以利用规模经济降低交易成本 之所以有规模经济存在 是因为在金融 市场上 当交易量增加时 一项交易的总成本增加得很少 从整个社会的储蓄投资过程看 中介手段有助于提高储蓄和投资水平以及在各种可能的投 资机会之间更有效地分配稀缺的储蓄 这被称之为金融中介的 分配技术 同时 金融中介还可通过协调借贷双方不同的金融需求而进一步降低金融交易的成本 并 且依靠中介过程创造出各种受到借贷双方欢迎的新型金融资产 这被称之为 中介技术 金融中介的规模经济还表现在它能更好地开发专门技术来降低交易成本 10 利率波动对金融市场的逆向选择和道德风险有无影响 为什么 利率市场化会使潜在的信用风险逐步增加 金融市场存在信息不对称现象 由此产生的逆向 选择和道德风险将随着利率市场化的进程而表现得日益明显 一般而言 利率具选择功能 对于企业来说 风险越高 收益越高 因此 对于每一个借款利率 存在一个对应的收益和 风险水平 如果商业银行提高利率 将会筛选掉低风险项目的借款人 结果将提高信贷市场 的平均风险 高利率的结果是高风险项目驱逐低风险项目 产生逆向选择 adverse election 在利率市场化过程中 如果缺少相应的风险控制措施 商业银行如果片面追求短期收益 过 于强调通过提高利率来弥补风险损失 结果是刺激冒险者的贷款需求 同时挤出正常利率水 平下的合格贷款需求者 必然导致信贷市场的逆向选择 同时提高贷款人的道德风险 moral risk 使信贷市场贷款项目质量的整体水平下降 并进而提高未来违约的信用风险 这就可 能导致银行不良资产的进一步增加 商业银行进一步甄别信用风险的压力也越来越大 11 管理利率风险的工具有哪些 具体含义是什么 a 利率敏感型缺口管理 这项技术强调保护或最大化银行利息收入和利息支出间的净利差 或利差 例如 一家银行使用专业化计算机软件可以把资产和负债分为利率敏感型项目 利息收入流和利息支出流随市场利率变动而变动 和利率不敏感型项目 管理层首先 明确银行在任一到期日期间内是资产敏感型 利率敏感型资产多于利率敏感型负债 还 是负债敏感型 然后权衡利率敏感型缺口和银行对利率的预测 采取适当措施以保证净 利差 局限 不能保护业绩的另一重要方面 净资产 b 久期缺口管理 利率变动引发资产负债价值变动往往会导致净资产损失 基于久期概念 可以评价净资产损失的可能性 这一技术强调了避免银行资产组合与负债组合久期缺口 过大的重要性 12 哪些因素引起利率变动 利率变动时金融机构会面临哪些风险 7 3 What forces cause interest rates to change What kinds of risk do financial firms face when interest rates change Interest rates are determined not by individual banks but by the collective borrowing and lending decisions of thousands of participants in the money and capital markets They are also impacted by changing perceptions of risk by participants in the money and capital markets especially the risk of borrower default liquidity risk price risk reinvestment risk inflation risk term or maturity risk marketability risk and call risk Financial institutions can lose income or value no matter which way interest rates go Rising interest rates can lead to losses on security instruments and on fixed rate loans as the market values of these instruments fall Falling interest rates will usually result in capital gains on fixed rate securities and loans but an institution will lose income if it has more rate sensitive assets than liabilities Rising interest rates will also cause a loss to income if an institution has more rate sensitive liabilities than rate sensitive assets 13 收益率曲线的形状对投资经理的决策有什么重要意义 7 5 What is the yield curve and why is it important for bankers to know about its shape or slope The yield curve is a graphical description of the distribution of market interest rates by maturity of financial instrument The slope of the yield curve determines the spread between long term and short term interest rates In banking most of the long term rates apply to loans and securities i e bank assets and most of the short term interest rates are attached to bank deposits and money market borrowings Thus the shape or slope of the yield curve has a profound influence on a bank s net interest margin or spread between asset revenues and liability costs 14 存款机构的流动性需求和流动性供给来源主要有哪些 11 1 What are the principal sources of liquidity demand for a financial firm The most pressing demands for liquidity arise principally from customers withdrawing money from their deposits and from credit requests However demands for liquidity can also come from repayment of nondeposit borrowings operating expenses and taxes incurred during operations and from payment of a cash dividend to stockholders 11 2 What are the principal sources from which the supply of liquidity comes Supplies of funds stem principally from incoming deposits sales of bank assets particularly money market securities and repayments of outstanding loans Liquidity also comes from the sale of nondeposit services and borrowings from the money market 15 为什么金融机构面临着重大的流动性管理问题 应对流动性问题的策略有哪些 为什么 11 5 Why do financial firms face significant liquidity management problems Financial institutions are prone to liquidity management problems due to 1 their relatively high proportion of short term deposits and relatively long term financial assets 2 the sensitivity of their assets and liabilities to interest rate movements and 3 their central role in the payments process 16 选择准备金来源的影响因素有哪些 P307 17 什么叫一级准备金及二级准备金 分别有什么用途 5 5 What are primary and secondary reserves and what are they