第四章商业银行资本管理(对外经济贸易大学何自云)

1/42Copyright©2004何自云商业银行世界（）第四章商业银行资本管理对外经济贸易大学金融学院何自云©2004何自云商业银行世界（）MainContents1.WhatIstheFunctionofBankCapital?2.HowMuchCapitalIsAdequate?3.TheEffectofCapitalRequirementsonBankOperatingPolicies《资本充足率管理办法》新资本协议问答银监会关于新资本协议的意见3/34Copyright©2004何自云商业银行世界（）ThefunctionofbankcapitalReducebankrisk.Threebasicways:AcushiontoabsorblossesandremainsolventIncreasestheproportionofallowableproblemassetsthatcandefaultbeforeequityisdepleted.吸收非预期损失AreadyaccesstofinancialmarketsandthusguardsagainstliquidityproblemsConstrainsgrowthandlimitsrisktaking4/34Copyright©2004何自云商业银行世界（）ImpactofloanlossoncapitalCapital：4Total：100Total：100Borrowings：16Other：40Deposits：80Loans：60LiabilitiesAssets5/34Copyright©2004何自云商业银行世界（）BalanceSheetofBigFour:2002/12/31AssetsLiabilities100m%100m%Loans81,54960.2Deposits110,25281.4Other53,94630.8Borrowings20,16214.9Capital5,0823.8Total135,495100Total135,4951006/34Copyright©2004何自云商业银行世界（）USbanks:Capital/Assets(%)6.178.426.764.427.648.2710.11468101219871988198919901991199219931994199519961997199819992000All10LargestBeyong10007/34Copyright©2004何自云商业银行世界（）Impactofloanlossoncapital:1%Capital：3.44Total：99.6100Total：99.6100Borrowings：16Other：40Deposits：80Loans：59.460LiabilitiesAssets8/34Copyright©2004何自云商业银行世界（）Impactofloanlossoncapital:6.7%Capital：04Total：96100Total：96100Borrowings：16Other：40Deposits：80Loans：5660LiabilitiesAssets9/34Copyright©2004何自云商业银行世界（）Impactofloanlossoncapital:10%Capital：-24Total：94100Total：94100Borrowings：16Other：40Deposits：80Loans：5460LiabilitiesAssets10/34Copyright©2004何自云商业银行世界（）Impactofloanlossoncapital:10%Capital：-24Total：102100Total：102100Borrowings：16Other：40Deposits：80Deposits：8Loans：5460Loans：8LiabilitiesAssets11/34Copyright©2004何自云商业银行世界（）ReadyaccesstofinancialmarketsAdequatebankcapitalminimizesoperatingproblemsbyprovidingreadyaccesstofinancialmarkets.Aslongasabank’scapitalexceedstheregulatoryminimums,itcanstayopenandhasthepotentialtogenerateearningstocoverlossesandexpand.Failuresaretieddirectlytomarketvalues,notaccountingvalues.Whenregulatorsguaranteebankdebt,capitalismeaningless.Capitalservesthesamepurposeasfederalguaranteeswhenregulatoryassistanceisnotopenlyprovided.12/34Copyright©2004何自云商业银行世界（）ConstrainsgrowthandreducesriskEquityisexpensiveExpectedassetreturnsmustbehightojustifythefinancing.Capitalproviderswillexertmarketdisciplineoverbanks.RigidcapitalrequirementsConstraingrowthReducerisks13/34Copyright©2004何自云商业银行世界（）Howmuchcapitalisadequate?银行和监管当局的技术难题如何决定足够防御非预期损失所需的资本量?如果资本水平太低银行可能不能够吸收大额的损失，增加了银行倒闭的风险，其后果是存款人承担风险。如果资本水平太高银行也许不能够最有效地使用资源，限制了其发放贷款的能力。14/34Copyright©2004何自云商业银行世界（）Howmuchcapitalisadequate?ReasonsforlessequityWithfewerfixedcosts,operatingriskislower.Depositinsuranceandotherpolicy:cashflowReasonsformoreequityMarketvalueofbankassetsismorevolatileSourcesoffundsaremorevolatile15/34Copyright©2004何自云商业银行世界（）Howmuchcapitalisadequate?RegulatorsprefermorecapitalSafetyofbanksViabilityoftheinsurancefundStabilityoffinancialmarketsBankerspreferlesscapitalLeverageimprovesprofitabilityHowaboutdepositors?Nottoomuch,nottoolittleAdequate16/34Copyright©2004何自云商业银行世界（）Capitalv.s.risksHowmuchcapitalisadequatedependsonhowmuchriskthebankassumes.QualityofassetsAccesstoliquidfundsMatchesinassetandliabilitymaturitiesanddurationsOperationalriskCAMELS17/34Copyright©2004何自云商业银行世界（）Risk-basedrequirements:weaknessesAccountforlimitedrisksBookvalueofcapitalignoreschangesinthemarketvalueofassetsthevalueofunrealizedgainsorlossesonheld-to-maturitybankinvestmentsthevalueofabankcharterthevalueoffederaldepositinsuranceaccountingploysBy2001,93%ofallbanksarewell-capitalized.Theyhavefewrisk-basedincentivestocontrolrisk.18/34Copyright©2004何自云商业银行世界（）Capital&bankoperatingpolicyTheEffectofCapitalRequirementsonBankOperatingPoliciesLimitingAssetGrowthChangingtheCapitalMixChangingAssetCompositionPricingPoliciesShrinkingtheBank19/34Copyright©2004何自云商业银行世界（）LimitingassetgrowthAssetgrowthislimitedtosomepercentageofretainedearningsplusnewexternalcapital.OptionI:increasecapitalHigherreturns:riskierassetsormoreservicesDecreasedividendsIssuenewcapitalOptionII:nottogrow20/34Copyright©2004何自云商业银行世界（）ChangingthecapitalmixLargebanksPublicofferingsConvertiblebondsSmallbanksExistingshareholdersBankcustomersUpstreamcorrespondentbanksHoldingcompany.Saleandleaseback:realestateproperties21/34Copyright©2004何自云商业银行世界（）ChangingassetcompositionRisk-aversemanagers:Fromhigh-riskcategoriestolowerriskcategories.Co