《【PPT精品课件】货币金融学7版英文课件--9-大学课件20.ppt》由会员分享，可在线阅读，更多相关《【PPT精品课件】货币金融学7版英文课件--9-大学课件20.ppt（18页珍藏版）》请在三一办公上搜索。
1、,Chapter 9,Banking and the Management of Financial Institutions,2005 Pearson Education Canada Inc.,2005 Pearson Education Canada Inc.,9-2,The Bank Balance Sheet,2005 Pearson Education Canada Inc.,9-3,Bank Operation,T-account Analysis:Deposit of$100 cash into First BankAssetsLiabilitiesVault Cash+$10
2、0Chequable Deposits+$100(=Reserves)Deposit of$100 cheque into First BankAssetsLiabilitiesCash items in processChequable Deposits+$100of collection+$100First BankSecond BankAssetsLiabilitiesAssetsLiabilitiesChequableChequableReservesDepositsReservesDeposits+$100+$100$100$100Conclusion:When bank recei
3、ves deposits,reserves by equal amount;when bank loses deposits,reserves by equal amount,2005 Pearson Education Canada Inc.,9-4,Principles of Bank Management,1.Liquidity Management2.Asset ManagementManaging Credit RiskManaging Interest-rate Risk3.Liability Management4.Capital Adequacy Management,2005
4、 Pearson Education Canada Inc.,9-5,Principles of Bank Management,Liquidity ManagementDesired reserve ratio=10%,Excess reserves=$10 millionAssets LiabilitiesReserves$20 millionDeposits$100 millionLoans$80 millionBank Capital$10 millionSecurities$10 millionDeposit outflow of$10 millionAssets Liabiliti
5、esReserves$10 millionDeposits$90 millionLoans$80 millionBank Capital$10 millionSecurities$10 millionWith 10%desired reserve ratio,bank still has excess reserves of$1 million:no changes needed in balance sheet,2005 Pearson Education Canada Inc.,9-6,Liquidity Management,No excess reservesAssets Liabil
6、itiesReserves$10 millionDeposits$100 millionLoans$90 millionBank Capital$10 millionSecurities$10 millionDeposit outflow of$10 millionAssets LiabilitiesReserves$0 millionDeposits$90 millionLoans$90 millionBank Capital$10 millionSecurities$10 million,2005 Pearson Education Canada Inc.,9-7,Liquidity Ma
7、nagement,1.Borrow from other banks or corporationsAssets LiabilitiesReserves$9 millionDeposits$90 millionLoans$90 millionBorrowings$9 millionSecurities$10 millionBank Capital$10 million2.Sell SecuritiesAssets LiabilitiesReserves$9 millionDeposits$90 millionLoans$90 millionBank Capital$10 millionSecu
8、rities$1 million,2005 Pearson Education Canada Inc.,9-8,Liquidity Management,3.Borrow from Bank of CanadaAssets LiabilitiesSecurities$10 millionBank Capital$10 millionReserves$9 millionDeposits$90 millionLoans$90 millionAdvances$9 million4.Call in or sell off loansAssets LiabilitiesReserves$9 millio
9、nDeposits$90 millionLoans$81 millionBank Capital$10 millionSecurities$10 millionConclusion:excess reserves are insurance against above 4 costs from deposit outflows,2005 Pearson Education Canada Inc.,9-9,Asset and Liability Management,Asset Management1.Get borrowers with low default risk,paying high
10、 interest rates2.Buy securities with high return,low risk3.Diversify4.Manage liquidityLiability Management1.Important since 1960s2.Banks no longer primarily depend on deposits3.When see loan opportunities,borrow or issue CDs to acquire funds,2005 Pearson Education Canada Inc.,9-10,Capital Adequacy M
11、anagement,1.Bank capital is a cushion that helps prevent bank failure2.Higher is bank capital,lower is return on equityROA=Net Profits/AssetsROE=Net Profits/Equity CapitalEM=Assets/Equity CapitalROE=ROA EMCapital,EM,ROE 3.Tradeoff between safety(high capital)and ROE4.Banks also hold capital to meet
12、capital requirements5.Managing Capital:A.Sell or retire stockB.Change dividends to change retained earningsC.Change asset growth,2005 Pearson Education Canada Inc.,9-11,Managing Credit Risk,Solving Asymmetric Information Problems1.Screening2.Monitoring and Enforcement of Restrictive Covenants3.Speci
13、alize in Lending4.Establish Long-Term Customer Relationships5.Loan Commitment Arrangements6.Collateral and Compensating Balances7.Credit Rationing,2005 Pearson Education Canada Inc.,9-12,Managing Interest Rate Risk,First BankAssets LiabilitiesRate-sensitive assets$20 mRate-sensitive liabilities$50 m
14、Variable-rate loans Variable-rate CDsShort-term securities Overnight fundsFixed-rate assets$80 mFixed-rate liabilities$50 mReservesChequable depositsLong-term bondsSavings depositsLong-term securitiesLong-term CDsEquity capital,2005 Pearson Education Canada Inc.,9-13,Managing Interest-Rate Risk,Gap
15、AnalysisGAP=rate-sensitive assets rate-sensitive liabilities=$20$50=$30 millionWhen i 5%:1.Income on assets=+$1 million(=5%$20m)2.Costs of liabilities=+$2.5 million(=5%$50m)3.Profits=$1m$2.5m=$1.5m=5%($20m$50m)=5%(GAP)Profits=i GAP,2005 Pearson Education Canada Inc.,9-14,Duration Analysis,Duration A
16、nalysis%value(%pointi)(DUR)Example:i 5%,duration of bank assets=3 years,duration of liabilities=2 years;%assets=5%3=15%liabilities=5%2=10%If total assets=$100 million and total liabilities=$90 million,then assets$15 million,liabilities$9 million,and banks net worth by$6 millionStrategies to Manage I
17、nterest-rate Risk1.Rearrange balance-sheet2.Interest-rate swap3.Hedge with financial futures,2005 Pearson Education Canada Inc.,9-15,Off-Balance-Sheet Activities,1.Loan sales2.Fee income fromA.Foreign exchange trades for customersB.Servicing mortgage-backed securitiesC.Guarantees of debtD.Backup lin
18、es of credit3.Trading ActivitiesA.Financial futuresB.Financial optionsC.Foreign exchangeD.Swaps,2005 Pearson Education Canada Inc.,9-16,Risk Management,Principal-Agent ProblemTraders have incentives to take big risksRisk Management Controls1.Separation of front and back rooms2.Value-at-risk modeling
19、3.Stress testingRegulators encouraging banks to pay more attention to risk management,2005 Pearson Education Canada Inc.,9-17,Financial Innovation,Innovation is result of search for profitsResponse to Changes in DemandMajor change is huge increase in interest-rate risk starting in 1960sExample:Adjus
20、table-rate mortgagesResponse to Changes in SupplyMajor change is improvement in computer technology1.Increases ability to collect information2.Lowers transactions costsExamples:1.Bank credit cards2.Electronic banking facilities,2005 Pearson Education Canada Inc.,9-18,Avoidance of Existing Regulations,Regulations Behind Financial Innovation1.Reserve requirementsTax on deposits=i rD2.Deposit-rate ceilingsAs i,loophole mine to escape reserve requirement tax and deposit-rate ceilingsExamples:1.Eurodollars2.Bank Commercial Paper3.Sweep Accounts and Overnight RPs4.Money Market Mutual Funds,
