【PPT精品课件】货币金融学7版英文课件--9-大学课件20

Chapter9BankingandtheManagementofFinancialInstitutions©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.9-2TheBankBalanceSheet©2005PearsonEducationCanadaInc.9-3BankOperationT-accountAnalysis:Depositof$100cashintoFirstBankAssetsLiabilitiesVaultCash+$100ChequableDeposits+$100(=Reserves)Depositof$100chequeintoFirstBankAssetsLiabilitiesCashitemsinprocessChequableDeposits+$100ofcollection+$100FirstBankSecondBankAssetsLiabilitiesAssetsLiabilitiesChequableChequableReservesDepositsReservesDeposits+$100+$100–$100–$100Conclusion:Whenbankreceivesdeposits,reservesbyequalamount;whenbanklosesdeposits,reservesbyequalamount©2005PearsonEducationCanadaInc.9-4PrinciplesofBankManagement1.LiquidityManagement2.AssetManagementManagingCreditRiskManagingInterest-rateRisk3.LiabilityManagement4.CapitalAdequacyManagement©2005PearsonEducationCanadaInc.9-5PrinciplesofBankManagementLiquidityManagementDesiredreserveratio=10%,Excessreserves=$10millionAssetsLiabilitiesReserves$20millionDeposits$100millionLoans$80millionBankCapital$10millionSecurities$10millionDepositoutflowof$10millionAssetsLiabilitiesReserves$10millionDeposits$90millionLoans$80millionBankCapital$10millionSecurities$10millionWith10%desiredreserveratio,bankstillhasexcessreservesof$1million:nochangesneededinbalancesheet©2005PearsonEducationCanadaInc.9-6LiquidityManagementNoexcessreservesAssetsLiabilitiesReserves$10millionDeposits$100millionLoans$90millionBankCapital$10millionSecurities$10millionDepositoutflowof$10millionAssetsLiabilitiesReserves$0millionDeposits$90millionLoans$90millionBankCapital$10millionSecurities$10million©2005PearsonEducationCanadaInc.9-7LiquidityManagement1.BorrowfromotherbanksorcorporationsAssetsLiabilitiesReserves$9millionDeposits$90millionLoans$90millionBorrowings$9millionSecurities$10millionBankCapital$10million2.SellSecuritiesAssetsLiabilitiesReserves$9millionDeposits$90millionLoans$90millionBankCapital$10millionSecurities$1million©2005PearsonEducationCanadaInc.9-8LiquidityManagement3.BorrowfromBankofCanadaAssetsLiabilitiesSecurities$10millionBankCapital$10millionReserves$9millionDeposits$90millionLoans$90millionAdvances$9million4.CallinorselloffloansAssetsLiabilitiesReserves$9millionDeposits$90millionLoans$81millionBankCapital$10millionSecurities$10millionConclusion:excessreservesareinsuranceagainstabove4costsfromdepositoutflows©2005PearsonEducationCanadaInc.9-9AssetandLiabilityManagementAssetManagement1.Getborrowerswithlowdefaultrisk,payinghighinterestrates2.Buysecuritieswithhighreturn,lowrisk3.Diversify4.ManageliquidityLiabilityManagement1.Importantsince1960s2.Banksnolongerprimarilydependondeposits3.Whenseeloanopportunities,borroworissueCDstoacquirefunds©2005PearsonEducationCanadaInc.9-10CapitalAdequacyManagement1.Bankcapitalisacushionthathelpspreventbankfailure2.Higherisbankcapital,lowerisreturnonequityROA=NetProfits/AssetsROE=NetProfits/EquityCapitalEM=Assets/EquityCapitalROE=ROAEMCapital,EM,ROE3.Tradeoffbetweensafety(highcapital)andROE4.Banksalsoholdcapitaltomeetcapitalrequirements5.ManagingCapital:A.SellorretirestockB.ChangedividendstochangeretainedearningsC.Changeassetgrowth©2005PearsonEducationCanadaInc.9-11ManagingCreditRiskSolvingAsymmetricInformationProblems1.Screening2.MonitoringandEnforcementofRestrictiveCovenants3.SpecializeinLending4.EstablishLong-TermCustomerRelationships5.LoanCommitmentArrangements6.CollateralandCompensatingBalances7.CreditRationing©2005PearsonEducationCanadaInc.9-12ManagingInterestRateRiskFirstBankAssetsLiabilitiesRate-sensitiveassets$20mRate-sensitiveliabilities$50mVariable-rateloansVariable-rateCDsShort-termsecuritiesOvernightfundsFixed-rateassets$80mFixed-rateliabilities$50mReservesChequabledepositsLong-termbondsSavingsdepositsLong-termsecuritiesLong-termCDsEquitycapital©2005PearsonEducationCanadaInc.9-13ManagingInterest-RateRiskGapAnalysisGAP=rate-sensitiveassets–rate-sensitiveliabilities=$20–$50=–$30millionWheni5%:1.Incomeonassets=+$1million(=5%$20m)2.Costsofliabilities=+$2.5million(=5%$50m)3.Profits=$1m–$2.5m=–$1.5m=5%($20m–$50m)=5%(GAP)Profits=iGAP©2005PearsonEducationCanadaInc.9-14DurationAnalysisDurationAnalysis%value–(%pointi)(DUR)Example:i5%,durationofbankassets=3years,durationofliabilities=2years;%assets=–5%3=–15%%liabilities=–5%2=–10%Iftotalassets=$100millionandtotalliabilities=$90million,thenassets$15million,liabilities$9million,andbank’snetworthby$6millionStrategiestoManageInterest-rateRisk1.Rearrangebalance-sheet2.Interest-rateswap3.Hedgewithfinancialfutures©2005PearsonEducationCanadaInc.9-15Off-Balance-SheetActivities1.Loansales2.FeeincomefromA.ForeignexchangetradesforcustomersB.Servicingmortgage-backedsecuritiesC.GuaranteesofdebtD.Backuplinesofcredit3.TradingActivitiesA.FinancialfuturesB.FinancialoptionsC.ForeignexchangeD.Swaps©2005PearsonEducationCanadaInc.9-16RiskManagementPrincipal-AgentProblemTradershaveincentivestotakebigrisksRiskManagementControls1.Separationoffrontandbackrooms2.Value-at-riskmodeling3.StresstestingRegulatorsencouragingbankstopaymore