商业银行管理教案(CH4)

商业银行管理教案(CH4) 4-1第四章银行经营绩效评估Measuring and Evaluating the Performance of Banks MeasuringandEvaluatingthePerformanceofBanks4-2?衡量银行经营绩效的理念?衡量银行绩效的两个重要维度?盈利能力?风险水平?银行经营目标在可接受的风险水平之上实现股东价值最大化?银行绩效要满足以下五类人的要求?股东（所有者）?雇员（一个不能满足雇员需要的公司不是好公司）?存款人（公众利益）?其它债权债务人?监管机构（风险和监管目标考虑）4-3?银行经营首要目标普通股价值最大化Value of the Banks Stock（P0）?=+=0ttr) (1)E(D Pt0其中E(D t)为预期未来普通股股东收到的现金流（股息），r为给定的合适风险水平下可接受的最低收益率，r=R f(无风险收益率)+R p（资产风险溢价），g为不变的股息年增长率（rg）。 当股息以不变增长率增长时g-r DP10=预期的未来现金流用必要报酬率或资金成本率进行贴现（用必要报酬率或资金成本率进行贴现（WACC）未来现金流的现值nnrCFrCFrCF)1()1()1(2211+?现在时间其中CF t=在t时刻的自由现金流，假设该现金流是可派发的股息；r为折现率。 现金流贴现模型?现金流贴现模型（DCF）是资产管理的核心估值方法?DCF的基本假设是任何资产（债券、股票和财产）的价值应该是未来现金流现值的反映。 4-4?银行股票价值上升的理论情况?Expected DividendsIncrease?Risk of the BankFalls?Market Interest Rates Decrease?Combination ofExpected DividendIncrease andRisk Decline注释投资银行股的价格/价值理念时间内在价值内在价值市场反映内在价值的可能情形价格/内在价值市场反映内在价值的可能情形价格/内在价值价格偏离内在价值买或卖的决策依据价格偏离内在价值买或卖的决策依据?股票内在价值是其未来现金流量的现值?市场行为引起价格与内在价值的偏离带来投资机会?寻找不同的证券、区域、行业与货币中价格/内在价值偏离带来的投资机会?价格/价值理念(P/V)-14-5?衡量盈利能力的财务比率（Profitability Retios）Assets TotalIneInterest Net Margin Interest Net=Assets TotalI Noninteres Net Margint NoninteresNet=Net IneReturnon Equity Capital(ROE)=Total Equity CapitalNet IneReturnon Assets(ROA)=Total AssetsAssets TotalExpenses Operating Total-Revenues OperatingTotal MarginOperating BankNet=g OutstandinShares EquityCommon TaxesAfter Ine Net(EPS)Share PerEarnings=s LiabilitieestBearing TotalInterestExpenseTotalInterngsAssets TotalEarniestIneTotalInterread EarningsSp?=4-6?衡量盈利能力的财务比率（ROE）Net IneReturnon Equity Capital(ROE)=Total Equity Capital?股东权益收益率，或称为“净资产收益率”（净资产为总资产扣除负债后的为股东所有的账面价值Book Value）。 ?衡量股东投资的收益率，可用该指标大致估算股东投资获得的利润（即承担一定风险获取的利润）。 ?体现银行管理层的经营效率，即资金、资产、费用、税收等的管理效率。 4-7?衡量盈利能力的财务比率（ROA）?银行管理效率指标，反映管理层将银行资产转化为净利润的能力。 ?回顾Net Ine和Total Assets的各个项目，体会银行管理者通过资金运用赚取利息收入、非利息收入和控制各项费用的能力。 Net IneReturnon Assets(ROA)=Total Assets4-8?衡量盈利能力的财务比率（NIM、NNM、利差率）?三个指标反映银行经营者使收益增长超过成本增长的能力。 ?NIM反映银行用最便宜的资金投资于盈利资产，实现利差最大化的能力。 ?NNM通常是负值，虽然它在银行总收入中的比重一直在上升，但非利息支出总是超过非利息收入。 ?NBOM称为“银行净营业边际”，是总营业收入与总营业支出的差额对总资产的比率，传统指标是“利差率”，即Assets TotalIneInterestNetMargin InterestNet=Assets TotalI NoninteresNetMargint NoninteresNet=AssetsTotalExpensesOperatingTotal-Revenues OperatingTotal MarginOperating BankNet=总生息负债总利息支出总盈利资产总利息收入利差率?=s LiabilitieestBearing TotalInterestExpenseTotalInterngsAssets TotalEarniestIneTotalInterread EarningsSp?=4-9?衡量盈利能力的财务比率（EPS）?普通股每股收益（EPS）。 ?计算时分子要扣除银行优先股应得股息和非正常收益。 ?在简化计算时，分母可直接用会计期末总普通股股本；精确计算时，需用报告期普通股加权平均总股本。 ?稀释每股收益（Diluted EPS）是在分母中加入同未清偿可转换债券和优先认股权有关的股本。 g OutstandinShares EquityCommon TaxesAfter IneNet(EPS)Share PerEarnings=4-10?ROE指标的有用分解(Breaking DownROE)?Equity MultiplierLeverage orFinancing Policies?Net ProfitMarginEffectiveness ofExpense Management?Asset UtilizationPortfolio ManagementPoliciesROE DependsOn:ROE=Net Ine/Total Equity CapitalROA=Net Ine/Total AssetsM=Total Assets/Total EquityCapitalNet ProfitMarginNet Ine=Total Operating RevenueAsset UtilizationTotal OperatingRevenue=Total Assets4-11?ROE的计算举例Components ofROE forAll InsuredU.S.Banks(1998-xx)Year ROE=NPM XAU XEMxx12.68=18.89X6.93X9.63xx13.27=19.81X6.51X9.72xx15.04=19.86X6.95X10.93xx14.11=17.10X7.60X10.87200013.53=12.02X9.48X11.78199813.51=12.73X9.11X11.74Homework:列表计算xx-xx年ICBC的ROE4-12?换个角度考量与计算ROENet InePre-Tax NetOperating IneROE=Pre-Tax NetOperating IneTotal OperatingRevenueTotal OperatingRevenue Total AssetsTotal AssetsTotal EquityCapitalROE=Tax Management Efficiency ExpenseControl EfficiencyAsset ManagementEfficiency FundsManagementEfficiency4-13?ROA指标的有用分解(Breaking DownROA)ROA=Net InterestMargin+Net NoninterestMargin+Special TransactionsAffecting NetIneNet InterestIneNetNoninterest IneROA=Total AssetsTotal AssetsPLL-Security Gain(Losses)+Taxes-Extraordinary Gains-Total Assets+4-14?银行风险?Credit Risk?Liquidity Risk?Market Risk?Interest RateRisk?Operational Risk?Legal andCompliance Risk?Reputation Risk?Strategic Risk?Capital Risk4-15?银行信贷风险?Definition ofCredit RiskThe Probability thatSome of the Financial Firms AssetsWill Declinein Valueand PerhapsBee Worthless.?Credit Risk Measures:?Nonperforming Loans/Total Loans?Net Charge-Offs/Total Loans?Provision forLoan Losses/Total Loans?Provision forLoan Losses/EquityCapital?Allowance forLoan Losses/Total Loans?Allowance forLoan Losses/EquityCapital?Nonperforming Loans/EquityCapital4-16?银行流动性风险?DefinitionProbability the Financial FirmWill NotHave SufficientCash andBorrowing Capacityto MeetDeposit Withdrawals（提款）and OtherCash Needs.?Liquidity RiskMeasuresPurchased Funds/Total AssetsNet Loans/Total AssetsCash andDue(应收款)from Banks/Total AssetsCash andGovernment Securities/Total Assets4-17?银行资产组合的市场风险?DefinitionProbability ofthe Market Value oftheFinancial Firms InvestmentPortfolio Decliningin ValueDue toa Changein Interest Rates.?Market RiskMeasuresBook-Value ofAssets/Market Value of AssetsBook-Value ofEquity/Market Value of EquityBook-Value ofBonds/MarketValueof BondsMarketValueofPreferred Stockand CommonStock4-18?银行利率风险?DefinitionThe Dangerthat ShiftingInterestRatesMay AdverselyAffect aBanksNetIne,the Valueof its Assets orEquity.?InterestRateRiskMeasuresInterest SensitiveAssets/Interest SensitiveLiabilitiesUninsured Deposits/Total Deposits4-19?银行操作风险?Definition OfOperational RiskUncertaintyRegarding aFinancialFirms EarningsDue toFailures inComputer Systems,Errors andMisconduct byEmployees,Floods,Lightening Strikesand SimilarEvents orRisk ofLoss Due to UnexpectedOperating Expenses.4-20?银行法律及客户投诉风险?Legal andCompliance RiskRiskof EarningsResulting fromActions Takenby theLegal System.This canInclude UnenforceableContracts,Lawsuits orAdverse Judgments.Compliance RiskIncludes Violationsof Rulesand Regulations.4-21?银