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1、金融机构管理,docin/sundae_meng,docin/sundae_meng,教材：,金融机构管理-一种风险管理方法(第5版)(高等学校教材)作者：(美)桑德斯,科尼特 著,王中华,陆军 译出版社：人民邮电出版社 出版日期：2009年7月 ISBN：711520993,docin/sundae_meng,金融机构管理,第一部分：金融机构概论第二部分：风险及其测定第三部分：风险的管理,docin/sundae_meng,金融机构(Financial Institution),金融机构是指从事金融服务业有关的金融中介机构，为金融体系的一部分；金融服务业包括银行、证券、保险、信托、基金等行业
2、，与此相应，金融中介机构也包括银行、证券公司、保险公司、信托投资公司和基金管理公司等。,docin/sundae_meng,银行性与非银行性金融机构,银行性金融机构以吸收存款作为资金来源，且这种负债可以被存款的持有人当作货币使用。银行性金融机构可包括商业银行、中央银行、专业银行三种类型，在金融机构体系中居于支配地位，构成现代银行制度。非银行性金融机构与银行的区别在于不以吸收存款作为资金来源，而以某种方式吸收资金，以某种方式运用资金并从中获利，包括保险公司、信用合作社、消费信用机构、信托公司、证券公司、租赁公司财务公司等。在金融机构体系中是重要组成部分，其发展状况是衡量一国金融机构体系是否成熟的
3、重要标志之一。,docin/sundae_meng,金融中介机构为何特殊,？,docin/sundae_meng,无金融中介的资金转移,公司（净借款者）,docin/sundae_meng,无金融中介资金转移的特点,缺乏效率 、资金流量水平低监督成本流动性 liqudity价格风险 price risk,docin/sundae_meng,通过金融中介的资金转移,docin/sundae_meng,金融中介的职能,提供支付体系资产转换(asset transfer) 初级证券（Primary securities） 二级证券（Secondary securities）经纪人职能 专门提供信息和
4、交易服务 导致交易成本的降低或者规模经济,docin/sundae_meng,信息成本,大的金融机构就比小的家庭有更大激励去收集信息和监督公司的行为，因为这与其自身有很大利益关系； 收集信息的平均成本更低； 创造的二级证券，合同中加进详细的条款可以提高金融机构的监督能力； 银行贷款一般来说是短期债务合同，这个短期的性质可以使金融机构拥有更多的监督权力从而控制借款者；,docin/sundae_meng,流动性和价格风险,二级证券通常比初级证券如公司股票和债券有着更高的流动性，包括存款、基金股份、人寿保险的保单等。金融机构利用规模效益来分散大部分资产组合风险，以低价或资本价值风险提供高流动性的资
5、产；在现实中，大部分金融机构的倒闭是在产品种类上和地域范围内相对不能进行分散投资的小的金融机构,docin/sundae_meng,其他职能,减少交易成本 Reduced transaction costs期限调整 Maturity intermediation货币政策的传导 Transmission of monetary policy.信贷分配 Credit allocation 代际财产转移或时间媒介Intergenerational transfers or time intermediation.结算服务 Payment services (FedWire and CHIPS).面值
6、调整 Denomination intermediation.,docin/sundae_meng,金融机构的特殊性与监管,金融机构向经济中的各部门提供各种特殊服务而显得与众不同； 如果不能提供这些服务或者其有效服务中断，对于储蓄的最终来源（家庭）和使用者（公司）就会产生成本。当经济中的金融机构部门出现问题时，对公司和家庭产生负外部性； 监管对整个社会是有利的，但是对金融机构来说却产生了私人成本；,docin/sundae_meng,金融中介的特殊性与监管,垄断外部性信息不对称,docin/sundae_meng,监管的内容,安全和稳健性监管 -资产分散化要求 -资本充足度要求 -保护基金 B
7、ank Insurance Fund (BIF) -自律货币政策方面的监管信用分配方面的监管存款者保护方面的监管市场准入和特许方面的监管,docin/sundae_meng,The Pillar Structure of the New Accord,capital charge imposed onbanks based upon the resultsof an assessment of losses attributed to operational riskand that mapped the institutions operational risk profile.,Enhan
8、cement to the supervisory review process. Stresses the importance of bank management developing an internal capital assessment process.,Enlisting active involvement of the financial services community to invoke some sort of market discipline over member institutions. (Disclosure Requirements),Pillar
9、 1MinimumCapitalRequirements,Pillar 3Market Discipline,Pillar 2Supervisory Review Process,docin/sundae_meng,新资本协议简单结构图The Pillar Structure of the New Accord,docin/sundae_meng,监管成本,道德风险：由于制度方面或其他方面的变化而引发的私人部门行为的变化，进而产生有害的和消极的作用合规成本：被监管者为遵守或者符合有关监管规定而额外承担的成本。社会经济福利的损失：由于存在监管，各经济主体的产量可能会低于不存在监管时的产量。动态成
10、本：监管起着保护低效率的生产结构的作用，可能成为管理和技术革新的障碍。,docin/sundae_meng,存款机构 Depository Institutions,A depository institution is a financial institution in the United States (such as a savings bank, commercial bank, savings and loan association, or credit union) that is legally allowed to accept monetary deposits fro
11、m consumers. Federal depository institutions are regulated by the Federal Deposit Insurance Corporation (FDIC).规模、结构与组成 Size, structure and composition资产负债表 Balance sheets and recent trends存款机构的监管Regulation of depository institutions业绩 Depository institutions performance,docin/sundae_meng,美国最大的存款机构
12、Largest US Depository Institutions (billions of dollars 2019),Citigroup$1,746.2Bank of America 1,451.6J.P.Morgan Chase 1,338.0Wachovia 559.9Wells Fargo 483.4 HSBC North America 473.7Taurus 430.4Washington Mutual 348.9U.S. Bancorp 216.9Countrywide Financial 193.2,Total Assets ($Billions),docin/sundae
13、_meng,存款机构的类型 Depository Institutions,商业银行 Commercial BanksLargest depository institutions are commercial banks.Differences in operating characteristics and profitability across size classes.Notable differences in ROE and ROA as well as the spread储蓄机构 Thrifts S&LsSavings Banks信用社 Credit UnionsMix of
14、 very large banks with very small banks,docin/sundae_meng,功能与结构差异 Functions & Structural Differences,Functions of depository institutionsRegulatory sources of differences across types of depository institutions.Structural changes generally resulted from changes in regulatory policy.Example: changes
15、permitting interstate branchingReigle-Neal Act:瑞格尼尔法案1994年对银行规模放松管制，并且允许跨州建立分行.,docin/sundae_meng,资产负债表 Balance Sheet and Trends,Business loans have declined in importanceOffsetting increase in securities and mortgagesIncreased importance of funding via commercial paper marketSecuritization of mortg
16、age loansTemporary effects: credit crunch during recessions of 1989-92 and 2019-02,docin/sundae_meng,商业银行的资产负债表(balance sheet),资产 负债和权益现金资产 交易账户存款投资证券 非交易账户存款贷款 借款贷款损失准备 其他负债其他资产 权益 普通股 优先股 资本盈余 未分配利润 资本公积金,docin/sundae_meng,损益表 Income Sheet,利息收入服务费和手续费其他非利息收入利息支出贷款损失准备金非利息支出,docin/sundae_meng,损益表和资
17、产负债表的关系,docin/sundae_meng,*财务报表分析 Financial Statement Analysis,关键比率的时间序列分析 (Time series analysis of key ratios)分析框架 ROE frameworkROE = ROA EM（权益乘数）ROA = PM（利润率） AU（资产利用率）,docin/sundae_meng,表外业务 Off-balance Sheet Activities,Heightened importance of off-balance sheet itemsOBS assets 表外资产 OBS liabiliti
18、es 表外负债Large increase in derivatives positions is a major issueStandby letters of credit 备用信用证Loan commitments 贷款承诺When-issued securities 虚售证券,docin/sundae_meng,其他收费业务 Other Fee-generating Activities,Trust services 信托服务Correspondent banking 往来银行业务Check clearingForeign exchange tradingHedgingParticip
19、ation in large loan and security issuancesPayment usually in terms of noninterest bearing deposits,docin/sundae_meng,主要监管机构 Key Regulatory Agencies,FDICRole in preventing contagious runs or panicsOCC: Primary function is to charter national banks.FRS: monetary policy, lender of last resort. National
20、 banks are automatically members of the FRS. State-chartered banks can elect to become members.State bank regulatorsDual Banking System: Coexistence of nationally and state-chartered banks.,docin/sundae_meng,Bank Regulators,docin/sundae_meng,储蓄机构 Savings Institutions,Comprised of:Savings and Loans A
21、ssociations 储蓄协会Savings Banks 储蓄银行Effects of changes in Federal Reserves policy of interest rate targeting combined with Regulation Q and disintermediation(脱媒).Effects of moral hazard and regulator forbearance.Qualified Thrift Lender (QTL) test.,docin/sundae_meng,信用社 Credit Unions,Nonprofit deposito
22、ry institutions owned by member-depositors with a common bond.Exempt from taxes and Community Reinvestment Act (CRA 社区再投资法).Expansion of services offered in order to compete with other FIs.Claim of unfair advantage of CUs over small commercial banks2019: 66.4 percent of CUs federally chartered and r
23、egulated by NCUA,docin/sundae_meng,全球问题 Global Issues,Narrowing margins and flattening yield curvesMortgages dominating retail growthPersonal bankruptcies risingNear crisis in Japanese BankingChinaDeterioration in early 2000s, NPLs at 50% levelsOpening to foreign banks (WTO entry) slow,docin/sundae_
24、meng,保险公司 Insurance Companies,Differences in services provided by:Life Insurance Companies 人寿保险公司Property and Casualty Insurance财产事故保险公司Size, structure and compositionBalance sheets and recent trendsRegulation of insurance companiesGlobal competition and trends,docin/sundae_meng,互助Mutual 股份Stock保险公司
25、Insurance Companies,docin/sundae_meng,Biggest Life Insurers(2019),docin/sundae_meng,人寿保险 Life Insurance: Issues,DemutualizationAdverse selectionInsured have higher risk than general populationAlleviated by grouping of policyholders into risk pools,docin/sundae_meng,人寿保险公司 Life Insurance Companies,Li
26、fe Insurance Products:Ordinary life（普通寿险）Term life （定期寿险), Whole life(终身寿险) Endowment life （两全寿险)Variable life （可变寿险), Universal life（万能寿险), Variable universal life.Group life（团体寿险）Industrial life（产业寿险）Credit life（信用寿险）,docin/sundae_meng,其他人寿保险业务 Other Life Insurer Activities,年金保险 Annuities Reverse
27、of life insurance activities.Topped $272 billion in 2019Ethics: Conseco, 2019个人退休金基金 Private pension fundsCompete with other financial service companies.Mid 2000s, managing $2.3 trillion (45% of all private pension plans)意外和医疗事故保险 Accident and health insuranceMorbidity insuranceEffects of growth in
28、HMO enrollment,docin/sundae_meng,资产负债表 Balance Sheet,Long-term assetsNeed to generate competitive returns on savings components of life insurance policiesBonds, equities, government securitiesPolicy loans(保单质押贷款)Long-term liabilitiesNet policy reserves to meet policyholders claimsSeparate account bu
29、siness 32.9% of total liabilities and capital in 2019.,docin/sundae_meng,监管 Regulation of Life Insurance Companies,McCarran-Ferguson Act of 1945Confirms primacy of state over federal regulation.State insurance commissions Coordinated examination system developed by the National Association of Insura
30、nce Commissioners (NAIC).States promote life insurance guaranty fundsNot permanent funds (like FDIC)Required contributions from surviving within-state firms.Financial Services Modernization Act, 2019,docin/sundae_meng,财产灾害保险 P&C Products,保费净额 （NPW net premiums written）火险和关联险 Fire insurance and allie
31、d lines屋主多种事故险 Homeowners multiple peril insurance商业多种事故险Commercial multiple peril insurance汽车责任与损坏险Automobile liability and physical damage insurance责任保险 Liability insurance (other than automobile),docin/sundae_meng,财产保险公司的资产负债表 P&C Balance Sheet,Similar to life insurance cos. (Smaller asset base)R
32、equirement for liquid assetsMajor liabilities: loss reserves 损失储备 loss adjustment expense 损失调整费用 unearned premiums 未到期保费,docin/sundae_meng,损失风险,损失程度(severity of loss)和损失频率(frequency of loss)长期损失和短期损失 Long-tail risk exposure产品通胀和社会通胀 Product inflation versus social inflation,docin/sundae_meng,保险业比率 U
33、nderwriting Ratios,Loss ratios have generally increased.Expense ratios have generally decreased.Trend toward selling directly through their own brokers rather than independent brokers.综合比率 Combined ratio:Includes both loss and expense experience.If greater than 100 then premiums are insufficient to
34、cover losses and expenses.,docin/sundae_meng,投资收益/回报风险 Investment Yield Return Risk,运营率 = 扣除红利后的综合比率与投资收益率之差Operating ratio = Combined ratio after dividends minus investment yield.Importance of investment income:Causes PC managers to place importance on measuring and managing credit risk and interes
35、t rate risk.,docin/sundae_meng,监管 Regulation,PC insurers chartered and regulated by state commissions.State guaranty fundsNational Association of Insurance Commissioners (NAIC) provides various services to state regulatory commissions.Includes Insurance Regulatory Information System (IRIS).Some line
36、s face rate regulation.Criticism regarding Katrina related claims,docin/sundae_meng,全球问题 Global Issues,Insurance industry becoming more globalRegulatory and tax effects in Cayman Islands and BahamasIntroduction and acceleration of insurance market reformscross-country mergers (insurance companies as
37、 well as universal banks),docin/sundae_meng,证券公司和投资银行Securities Firms &Investment Banks,Nature of business:Underwrite securities.Market making.Advising (example: M&A, restructurings).,docin/sundae_meng,主要业务 Key Activities,InvestingInvestment bankingActivities related to underwriting and distributing
38、 new issues of debt and equity.Market makingIncreasing importance of online tradingTechnology riskDecimalizationTradingPosition trading, pure arbitrage, risk arbitrage, program tradingCash managementAssisting with M&ABack-office and service functions,docin/sundae_meng,资产负债表 Balance Sheet,Key assets:
39、Long positions in securities and commodities.Reverse repurchase agreements.Key liabilities:Repurchase agreements major source of funds.Securities and commodities sold short.Broker call loans from banksCapital levels much lower than levels in banks,docin/sundae_meng,监管 Regulation,Primary regulator: S
40、EC Reiterated by National Securities Markets Improvement Act (NSMIA) of 2019.Prior to NSMIA, regulated by SEC and states.Regulate trading activities such as shelf registrationEarly 2000s erosion of SEC dominance Increased vigilance by State Attorneys GeneralSpring 2019, $1.4 billion in penalties ove
41、r investor abuses.Sarbanes-Oxley Act of 2019Independent auditing oversight board under SECInstigated by Enron, Global Crossings, Tyco, WorldCom,docin/sundae_meng,Investor Protection & Other Monitoring,Securities Investors Protection Corporation (SIPC).Protection level of $500,000Federal Reserve also
42、 has role in overseeing securities firms and investment banksVulnerability of the financial systemIssue of timely settlement raised by Greenspan,docin/sundae_meng,共同基金 Mutual Funds,Diversification opportunities enhanced for small investorsEconomies of scalePredominantly open-ended fundsAt the end of
43、 October 2019, the top 10 mutual fund complexes in the United States were: （Investment Company Institute, as cited in Ignites, December 30, 2019 ）1、 Vanguard 2、Fidelity 3、American Funds (Capital Research) 4、BlackRock 5、PIMCO 6、Franklin Templeton 7、JPMorgan 8、SSgA 9、T. Rowe Price 10、Federated,docin/s
44、undae_meng,共同基金的类型 Types of Mutual Funds,Types of Long-term FundsBond and income funds.Equity funds.Hybrid.Short-term funds,docin/sundae_meng,共同基金的收益 Returns to Mutual Funds,Income and dividends of underlying portfolio.Capital gains on trades by mutual fund management.Capital appreciation in values
45、of assets held in the portfolio.Marked-to-marketNet-asset value (NAV).,docin/sundae_meng,共同基金的成本 Mutual Fund Costs,Two types of fees:Sales loadsGenerally, negative effect on performance outweighs benefitsShort term versus long term investment alters impact of loads on costFund operating expensesMana
46、gement fee12b-1 feesFront end and back end feesClass A, Class B and Class C differencesSEC creation of new rulesSweeping decreases in fees, 2019 and 2019,docin/sundae_meng,资产负债表 Balance Sheet and Trends,Money Market FundsKey assets are short-term securities (consistent with deposit-like nature)Most
47、have share values fixed at $1 and adjust number of shares owned by the investor.Long-term FundsStocks comprised over 70.7 % of asset portfolios in 2019. Credit market instruments 27.2% of asset portfoliosShift to other securities such as credit market instruments, U.S. Treasuries, municipal bonds et
48、c. when equity markets not performing as well.,docin/sundae_meng,财务公司 Finance Companies,Activities similar to banks, but no depository function. May specialize in installment loans (e.g. automobile loans) or may be diversified, providing consumer loans and financing to corporations, especially throu
49、gh factoring.Commercial paper is key source of funds.Captive Finance Companies: e.g. GMACHighly concentratedLargest 20 firms: 65 percent of assets,docin/sundae_meng,财务公司的类型 Types of Finance Companies,Sales finance institutionsFord Motor Credit and Sears Roebuck Acceptance Corp.Personal credit instit
50、utionsHSBC Finance and AIG American General.Business credit institutionsCIT Group and FleetBoston Financial.Equipment leasing and factoring.,docin/sundae_meng,资产负债表 Balance Sheet,Business and consumer loans are the major assets 52.8% of total assets, 2019. Reduced from 95.1% in 1977.Increases in rea
