金融市场与机构 Jeff Madura 19

19BankManagementChapterObjectivesDescribetheunderlyinggoalofbankmanagementDiscusshowbanksmanageliquidityEvaluatehowbanksmanageinterestrateriskLookatthetechniquestomanagecreditriskExplainhowbanksmanagecapitalGoalofBankManagementTheunderlyinggoalofbankmanagementistomaximizethewealthofthebank’sshareholdersMaximizingthesharepriceAgencycostsInvestorcostsincurredtopromotemanagers’interestinservinginvestors’interestManagersneedincentivestoseekshareholder’sbestinterestsTakeovertargetifstockpriceundervaluedRisksFacedByBanksValueofBankCreditRiskInterestRateRiskLiquidityRiskValueRelatedtoCashFlowsandRiskofCashFlowsCapitalorInsolvencyRiskMarketRiskManagingLiquidityRiskRiskofvariabilityofreturnimpactedbycostofprovidingliquidityfordepositoutflowsand/orloandemandMaintainliquidassetsandabilitytoborrowinfinancialmarketsSecuritizingloansprovideliquidityMustforecastfuturecashflowsManagingLiquidityUseofsecuritizationtoboostliquiditySellingoffloanstotrusteeMortgageandautomobileloansTrusteeissuessecuritiescollateralizedbytheassetsLoanpaymentspassthroughtoholdersofsecuritiesSecuritizationturnsfuturecashflowsintoimmediatecashRisklevelrelatedtoguaranteeprovidedtotrustManagingInterestRateRiskRiskofvariabilityofreturnscausedbychangingmarketinterestratesInterestrateriskcomprisedofpriceriskandreinvestmentriskPricerisk=variabilityofreturnscausedbyvaryingpricesofassetsSecurityandloanvaluesvaryinverselywithchangesinmarketratesManagingInterestRateRiskReinvestmentrisk=variabilityofreturncausedbychanginginterestratesonthereinvestedcouponofsecuritiesorloansReinvestmentriskandpriceriskcauserealizedreturnstovaryfromexpectedPriceriskandreinvestmentriskhaveanoppositeimpactonrealizedreturnwhenmarketinterestrateschangeManagingInterestRateRiskCausesvariabilityinnetinterestincome(NII)andnetinterestmargin(NIM)NII=interestincome-interestexpenseNIM=NII/assetsVaryinginterestratesimpactvalueoffinancialassets,liabilities,andreinvestmentreturnsVaryinginterestratescauserepricingofloans,securities,anddepositsimpactingNIIMeasuringInterestRateRisk$GAPmeasurementDurationmeasurementRegressionanalysisBenefitsandlimitationsofeach$GAPeasilyconstructedDurationmeasuremoreaccurateRegressiondependsonfutureconsistentrelationshipofvariablesGAPMeasurement$GAP=ratesensitiveorrepriceableassets(RSA)foratimeperiod-ratesensitiveliabilities(RSL)Measuresvariedrepriceabilityofinterest-bearingassets,liabilities,andthecashflowsofeach$GAPratio=RSA-RSL+$GAP=assetsensitiveposition-$GAP=liabilitysensitivepositionGAP,VaryingRates,NIIANDNIMDurationMeasurementAddsconsiderationofcashflow,timevalue,andrepricingDuration=sumofdiscounted,time-weightedcashflowsdividedbythepriceofsecurityorloanDurationmeasurestime-weightedmaturityDurationabettermeasureofriskthan$GAPManagingInterestRateRiskDurationmeasurementCapturesdifferentdegreesofsensitivitytointerestratechangesE.g.a10-yearzerocouponbondismoreinterest-sensitivethana10-yearcouponbondShortermaturities;lowerdurationCouponinterestandloanpaymentsshortendurationDurationofeachtypeofbankassetandliabilityisdeterminedDURGAP=DURAS–[DURLIABxLIAB/AS]ManagingInterestRateRiskRegressionanalysisEstimatesthehistoricalrelationbetweeninterestratesandbankperformanceR=B0+B1Rm+B2i+uB2=interestratecoefficientPositivecoefficientsuggeststhatpastperformanceispositivelyaffectedbyrisinginterestratesResearchsuggesttheoppositeistrueBanksandS&L’stendtohaveanegativegapNIIandNIMadverselyimpactedwithincreasinginterestratesManagingInterestRateRiskDeterminingwhethertohedgeinterestrateriskBanksoftenuseallthreemethodsBanksusetheiranalysisofgapwithinterestrateforecaststomaketheirhedgingdecisionMethodsofreducinginterestrateriskMaturitymatchingofloansanddepositsUsingfloating-rateloansUsinginterestratefuturescontractsUsinginterestrateswapsUsinginterestratecapsManagingInterestRateRiskMethodsofreducinginterestrateriskMaturitymatchingMatcheachdeposit’smaturitywithanassetofthesamematurityDifficulttoimplementLotsofshort-termdepositsUsingfloating-rateloansOftenincreasescreditriskandliquidityriskManagingInterestRateRiskMethodsofreducinginterestrateriskUsinginterestratefuturescontractsE.g.saleofT-bondfuturesbynegativeGAPbanktohedgeinterestrateincreaseresultsinafuturesgain,offsettingadverseeffectsonNIIHedginglocksinNIMandnegatesbenefitoffallingrates.Whataboutfuturesoptions?UsinginterestrateswapsArrangementtoexchangeperiodiccashflowsbasedonspecificinterestratesFixedloaninterest-for-floatingfornegativelyGAPbanktoreduceGAPexposureUsinginterestratecapsManagingCreditRiskVariabilityofreturncausedbydelayedornonpaymentofloan/securityinterestorprincipalBankassemblesportfolioofvarioustypesofloansseekingmaximumnetreturnperlevelofriskLoan/securitymixvarieswithdesiredrisklevelandeconomicconditionsMeasuringCreditRiskCalculateExpectedLossRatePerTypeOfLoanandTotalLoanPortfolioHigherDefaultPremiumsChargedForHigherExpectedLossRateCollateralmayreduceexpectedlossratePrimePlusLoanPricingbasedonriskprofileDiversifyingCreditRiskAssembleloanportfolioofdiverseBorrowersusingportfoliotheory:VariedincomeoremploymentGeographiclocationsIndustriesReducetotalportfoliocreditriskviadiversificationAvoidconcentrationofloansNationwidebanking=diversificationManagingCreditRiskDiversifyingcreditriskInternationaldiversificationofloansMaynothelpifthebankacceptsloansfromareaswithveryhighcreditriskLDC’sinearly1980’s;Asiancrises,1997;Argentina,2001SellingloansProblemloanscanberemovedfromthebank’sassetsSellingpricereflectsexpecteddefaultriskRevisingtheloanportfolioinresponsetoeconomicconditionsManagingMarketRiskMarketriskresultsfromthechangesinvalueofsecuritiesduetochangesinfinancialmarketconditionssuchasinterestrates,exchangerates,andequitypricesBankshaveincreasedexposuretoderivativesandtradingactivitiesMeasuringmarketrisk:Bankscommonlyusevalue-at-risk(VAR),whichinvolvesdeterminingthelargestpossiblelossthatwouldoccurintheeventofanadversescenarioManagingMarketRiskMeasuringmarketriskBankrevisionsofmarketriskmeasurementsWhenchangesinmarketconditionsoccur,suchasincreasingvolatility,banksrevisetheirestimatesofmarketriskHowJ.P.MorganassessesmarketriskCalculatesa95percentconfidenceintervalfortheexpectedmaximumone-daylossdueto:InterestratesExchangeratesEquitypricesCommoditypricesCorrelationsbetweenthesevariablesManagingMarketRiskMethodsofreducingmarketriskReduceinvolvementinactivitiesthatcausehighexposureTakeoffsettingtradingpositionsSellsecuritiesthatareheavilyexposedtomarketriskOperatingRiskOperatingriskisthevariabilityofreturnsthatmayresultfromafailureinabank’sgeneralbusinessoperationsProcessingandsortinginformationExecutingtransactionsMaintainingrelationshipswithclientsDealingwithregulatoryissuesLegalissuesUseofinsurance,contracts,andotherpureriskmanagementtechniquesBankCapitalManagementBankcapital=banknetworthPurposeofbankcapitalAbsorbslossesonassetsProvidesbaseforleveragingdebtIsasourceoffundsServestomaintainconfidenceoffinancialmarketsRegulatorsspecifyminimumcapitalperriskinessofassetsROE=ROAxleveragemeasureManagementBasedonForecastsSomebankspositionthemselvestobenefitformexpectedchangesintheeconomyIfmanagersexpectastrongeconomytheymayshifttowardriskierloansandsecuritiesInaccurateforecastshavelesseffectonmoreconservativebanksBankRestructuringtoManageRisksDecisionsarecomplexbecausetheyaffectcustomers,employees,andshareholdersBankacquisitionsCommonformofrestructuringQuickwayofachievinggrowthAdvantages:Economiesofscale,diversificationManagerialadvantagesDisadvantagesPurchasepricemaybetoohigh;sellingshareholderbenefitEmployeemoraleBankRestructuringtoManageRisksArebankacquisitionsworthwhile?StudiesshowthatthemarketreactsneutrallyornegativelytonewsofabankacquisitionMaybedueto:Intra-marketversusout-of-marketmergerPessimismoverwhetherefficiencieswillbeachievedPersonnelclashesPricemaybetoohigh;sellingshareholdercaptureaddedvalueIntegratedBankManagementBankmanagementofassets,liabilities,andcapitalisnecessarilyintegratedAnintegratedmanagementapproachisalsonecessarytomanageLiquidityrisk,Interestraterisk,CreditriskOperatingriskCapit