typora-copy-images-to: Risk Management and Financial Institution
文章目录
- Risk Management and Financial Institution Chapter 2 —— Banks
Risk Management and Financial Institution Chapter 2 —— Banks
- Today, most large banks engage in both commercial and investment banking
- 商业银行做存贷业务，投行做发行股票、举债、并购重组、证券经纪等等业务
- 商业银行分为零售与整售，retail and wholesale，零售的存贷价差要高于整售，但整售的成本以及预期损失更低，整售的资金经常从货币*银行借出，money center banks
2.1 Commercial Banking
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监管事务包括：capital that banks must keep, the activities they are allowed to engage in, deposit insurance, and the extent to which mergers and foreign ownership are allowed
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The structure of banking in the United States is largely a result of regulatory restrictions on interstate banking，架构源于美国监管条约中的跨州经营规定
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两个阻力和弊端：
- 小银行失去市场份额
- 支票清算及其他付款服务会降低货币中心银行的盈利
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McFadden Act 一个州之内只能开一家分行
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成立多银行控股可以绕过法案
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1970年限制令开始消失，互惠条约，reciprocal agreements
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2010年颁布了Dodd-Frank Wall Street Reform and Consumer Protection Act
2.2 Capital Requirements of a small Commercial Bank
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subordinated long‐term debt——bonds issued by the bank to investors that rank below deposits in the event of a liquidation 破产优先级仅次于存款
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The equity capital consists of the original cash investment of the shareholders and earnings retained in the bank 股权资本由留存收益与最初投资组成
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It is important for the bank to be managed so that net interest income remains roughly constant regardless of movements in interest rates of different maturities 不同利率环境下平缓利差收入至关重要
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default 无法避免，导致 loan losses,违约率随着经济状况波动
- 非利息收入包括服务费手续费等
- 非利息支出包括工资，技术支出等等，提升的趋势明显
- 银行需要避免 litigation,business disruption, employee fraud 等操作风险
2.2.1 Capital Adequacy
- ROE指标，Income before tax / equity capital，提升的方式：
- 回购股份
- 以存款替代equity
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Clearly, it is inadequate for a bank to have only 1% of assets funded by equity capital
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subordinated debt does not provide as good a cushion for the bank as equity because it does not prevent the bank’s insolvency
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Equity capital is categorized as “Tier 1 capital” while subordinated long‐term debt is categorized as “Tier 2 capital，一类资本和二类资本
2.3 Deposit Insurance 存款保险
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目的为了维持信心，达到25万美金
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2007年开始，保费的支付与存款总额与监管认定的风险程度决定，从0.1%到0.35%
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1980-1990期间bank failure 的原因：
- 利率风险
- 石油产业下挫
- 存款保险制度的存在，使银行更加冒险——moral hazard——the possibility that the existence of insurance changes the behavior of the insured party
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存款保险在2007年，1991年被使用
2.4 Investment Banking
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功能：
- 举债
- 发行、承销证券
- 可转债
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A prospectus is created outlining the company’s past performance and future prospects，招股说明书
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“road show” in which the investment bank and senior management from the company attempt to market the securities to large fund managers，路演是销售
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融资的一种分类：
- private placement 私募
- public offering 公开发行
- firm commitment 包销
- best efforts 代销
- 取决于投行自身的风险偏好
2.4.1 IPO 首次公开发行
- Banks frequently offer IPOs to the fund managers who are their best customers and to senior executives of large companies in the hope that they will provide them with business 违规派送行为 “spinning”
2.4.2 Dutch Auction Approach 荷兰式拍卖
- 解决了传统IPO的两个弊端：
- 市场的清盘价对应如果所有潜在投资者都参与来后得到的市场价
- IPO优惠发行的情况被避免了
2.4.3 Advisory Services 咨询服务
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对于兼并收购，divestments 撤资分拆，重大重组等的咨询建议
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投行建议毒丸计划：
- 章程中加入规定
- 给关键雇员发放期权，当被收购时可以行权
- 新主人在一年或两年内不得解雇现任董事会成员，当被收购时
- 发行优先股，在控制权有变化时，转换为普通股
- 章程中规定，在被收购时，股票持有人可以以折扣价买入股票
- 章程中改变投票权
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毒丸计划在很多国家是违法的，需要被大多数股东所同意
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定价估值，战略和战术是投资咨询的主要方面
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有时候也需要考虑到反托拉斯法（antitrust issues）
2.5 Securities Trading 证券交易
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多得法案禁止了银行参与证券的自营交易（proprietary trading）
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商业银行与投行有着广泛的交易行为，除了自营意外，银行还为其客户提供服务，比如说使用衍生品做外汇汇率的对冲
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broker的一种分类
- 提供投资建议的，full broker
- 不提供建议的，discount broker
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market maker同时报出买入卖出价，赚取差价，风险在于，容易留下大笔的单边头寸而导致损失
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Banks have in the past been market makers for instruments such as forward contracts, swaps, and options trading in the over‐the‐counter (OTC) market
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bid-offer的差额最大值往往被交易所限制
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swap execution facilities (SEFs) in USA、organized trading facilities (OTFs) in Europe
2.6 Potential Conflicts of Interest in Banking
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potential Conflicts:
- fiduciary account 托管账户被销售难以销售的证券
- 借贷部门将保密信息传递给兼并部门
- 研究部门给予买入评级来讨好公司管理层
- 发新债还旧债，利用信息不对称
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格拉斯=斯蒂格尔法案限制了商业银行与投行的交叉运作，商业银行允许承销债券，以及私募，但是股票的公开发行不能。投行也不能承接存款，发放商业贷款等等。
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1987年，美联储监管进一步放松，允许银行控股公司有两个分支同时进行业务，但是投行业务的收入比率要在一定水平之下
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1997年进一步放松，商业银行可以收购已存的投资银行
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the Financial Services Modernization Act was passed. This effectively eliminated all restrictions on the operations of banks , insurance companies, and securities firms
2.7 Today’s Large Banks
- 公司可以与银行交易对冲面临的风险，天气风险也可以对冲
- 提供提供调研服务，经纪服务、信托服务
- 宏观经济及政策预测，对利率，汇率，商品价格等一系列变量进行预测
- 承销*债券及公司债券，提供兼并的咨询服务
- 利益冲突的防止：
- Chinese Wall，internal barriers
- hefty fines 巨额罚款，诉讼
2.7.1 Accounting 审计
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如何计算利润及损失，在多元化行为下
- banking book——loans，IFRS 9 and FASB
- trading book —— marked to market daily
- lack of liquidity——采用 marking to model的方式
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The new accounting rules require lenders to estimate the amount of credit losses expected in their loan portfolios and adjust the value of the loan portfolios accordingly
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偶尔，银行采用人工的方式来避免贷款损失的识别
2.7.2 The Originate-to- Distribute Model 发起与配售
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This involves the bank originating but not keeping loans，Portfolios of loans are packaged into tranches that are then sold to investors
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投资者承担提前还款的风险，不承担违约风险
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发起配售适用很多方面：
- 学生贷款
- 商业贷款
- 商业按揭
- 个人住房按揭
- 信用卡
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发起配售也称作为资产证券化
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对银行的好处
- 监管资本的降低
- 风险转嫁
- 使能够进行更多的贷款
- 能够收取关于贷款的管理费用
2.8 The risks facing Banks
- Central bank regulators require banks to hold capital for the risks they are bearing
- Capital is now required for three types of risk: credit risk, market risk, and operational risk
- Credit risk is the risk that counterparties in loan transactions and derivatives transactions will default
- Market risk arises primarily from the bank’s trading operations
- Operational risk, which is often considered to be the biggest risk facing banks, is the risk that losses are created because internal systems fail to work as they are supposed to or because of external events
- 操作风险、信用风险的horizon是一年，market risk 的horizon 更短 ,daily
- economic capital ，using bank’s own models rather than regulatory capital