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1、主权风险+流动性风险,内容,Sovereign Risk流动性风险 Liquidity Risk,主权风险+流动性风险,概述 Introduction,70年代，美国和其他国家商业银行的迅速扩张 In 1970s，Expansion of loans to Eastern bloc, Latin America and other LDCs.80年代初，债务偿还出现问题Debt moratoria announced by Brazil and Mexico.Increased loan loss reservesCitigroup set aside additional $3 billio
2、n in reserves for example,主权风险+流动性风险,概述 Introduction (continued),80年代末和90年代初期Expanding investments in emerging markets.Peso devaluation and subsequent restructuring U.S. loan guarantees under Clinton AdministrationMore recently:Asian and Russian crises.Turkey and ArgentinaArgentinas focus on fiscal
3、surplus Economic growth in the 2000s and reduction in external debt.多年重构协议（MYRAs）布雷迪债券（Brady Bonds）,主权风险+流动性风险,外国银行所持有亚洲债务的份额,主权风险+流动性风险,国家风险（Sovereign Risk）,政府可以限制债务的偿付。Governments can impose restrictions on debt repayments to outside creditors.Loan may be forced into default even though borrower h
4、ad a strong credit rating at origination of loan.Legal remedies are very limited.贷款人评估借款人的基本信用质量贷款人评估借款所在国家的国家风险质量Need to assess credit quality and sovereign risk,主权风险+流动性风险,国家风险（Sovereign Risk）,*债务拒付 Debt repudiationSince WW II, only China, Cuba and North Korea have repudiated debt.*债务重新安排 Reschedu
5、lingMost common form of sovereign risk.South Korea, 1998Argentina, 2001,主权风险+流动性风险,国家风险评估（Country Risk Evaluation）,外部评估模型 Outside evaluation models:欧洲货币指数 The Euromoney Index经济学家智库The Economist Intelligence Unit ratings机构投资者指数 Institutional Investor Index,主权风险+流动性风险,经济学家智库评级,主权风险+流动性风险,机构投资者指数,主权风险+
6、流动性风险,中国出口信用保险公司：国家风险参考评级共分9个级别，分别标识为1、2、3、4、5、6、7、8和9级，风险水平依次增高。,主权风险+流动性风险,国家风险评估（Country Risk Evaluation）,内部评价模型 Internal Evaluation Models 统计模型 Statistical models: Country risk-scoring models based on primarily economic ratios.,主权风险+流动性风险,统计模型（Statistical Models）指标,主要指标Commonly used economic rat
7、ios外债偿还率 Debt service ratio: (Interest + amortization on debt)/Exports进口率 Import ratio: Total imports / Total FX reserves投资率 Investment ratio: Real investment / GNP出口收入方差 Variance of export revenue，国内货币供应量 Domestic money supply growth,主权风险+流动性风险,国家风险分析CRA,选择关键变量后，建立统计模型：,主权风险+流动性风险,模型的问题 Problems wi
8、th Statistical CRA Models,1、关键变量的计量 Measurements of key variables.2、总体分组 Population groupsFiner distinction than reschedulers and nonreschedulers may be required.3、政治风险因素 Political risk factors may not be capturedStrikes, corruption, elections, revolution.Corruption Perceptions Index,主权风险+流动性风险,模型的问
9、题 Problems with Statistical CRA Models,4、组合方面 Portfolio aspectsMany large FIs with LDC exposures diversify across countriesDiversification of risks not necessarily captured in CRA models 5、动机方面Incentive aspects of rescheduling借款者和贷款者的收益Benefits-成本Cost6、稳定性 Stability Model likely to require frequent
10、updating.,主权风险+流动性风险,运用市场数据估算风险 Using Market Data to Measure Risk,欠发达国家的二级市场 Secondary market for LDC debtSellers and buyers市场组成 Market segments布雷迪债券 Brady Bonds是以美国财政部部长尼古拉斯布雷迪Nicholas Brady 名字命名的一种债券，由美国政府发行，是一项供第三世界国家使用的债务工具。把发展中国家现有的债务转为新的债务时产生的一种债券。这种新债券与原来的债券相比,面值较小或名义利率较低,但通过对其本金和(或)部分利息提供抵押担
11、保等方式可以提高。主权债券 Sovereign Bonds正常贷款 Performing LDC loans不良贷款 Nonperforming LDC loans,主权风险+流动性风险,发展中国家的贷款价格,主权风险+流动性风险,影响贷款价格的主要变量 Key Variables Affecting LDC Loan Prices,通过实证检验，影响显著的变量（significant variables）外债偿还率 Debt service ratios进口率 Import ratio积累债务欠款 Accumulated debt arrears贷款损失准备 Amount of loan l
12、oss provisions,主权风险+流动性风险,处理国家风险敞口的机制 Mechanisms for Dealing with Sovereign Risk Exposure,债权-股权互换 Debt-equity swapsExample: Citibank sells $100 million Chilean loan to Merrill Lynch for $91 million.Merrill Lynch (market maker) sells to IBM at $93 million.Chilean government allows IBM to convert the
13、$100 million face value loan into pesos at a discounted rate to finance investments in Chile.,主权风险+流动性风险,多年重组协议 MYRAs,Aspects of MYRAs:重构贷款的费用Fee charged by bank for restructuring新贷款的利率 Interest rate charged宽限期Grace period贷款的期限 Maturity of loan期权特性 Option features受让Concessionality = 贷款的现值 - 重组贷款的现值
14、= PV0 - PVR,主权风险+流动性风险,假设原贷款是2年期的$1亿，原贷款条件下，借款人必须在第1年、第2年末分别偿还本金$ 5000万，贷款利率为10%，银行融资成本8%。假设借款国第1年和第2年无法偿还$6000万和$ 5500的本息，为防止违约拒付，银行达成MYRAs，条款如下：,主权风险+流动性风险,MYRAs的特征,银行受让,主权风险+流动性风险,MYRAs的期权特征,币种期权：假定银行给发展中国家1年期贷款，贷款人有权选择接受1000万美元或者是650万英镑。下图是一年后可能的汇率。,期权价值,主权风险+流动性风险,其他机制 Other Mechanisms,贷款出售 Loa
15、n Sales债券-贷款互换 Bond for Loan Swaps (Brady bonds)Transform LDC loan into marketable liquid instrument.Usually senior to remaining loans of that country.,主权风险+流动性风险,流动性的概念,流动性有两种不同的概念。第一种，流动性风险是一种对连续筹资的需求。第二种，流动性是指当突然的危机发生时对筹资的需求。Liquidity risk refers to the risk that the bank would be unable to gener
16、ate a sufficient cashflow to meet financial obligations,主权风险+流动性风险,流动性风险,流动性风险的成因 负债方面的原因 ：存款人或保险单持有人实现他们的金融要求权时资产方面的原因： 贷款承诺,主权风险+流动性风险,净存款外流的分布,主权风险+流动性风险,金融机构和流动性风险敞口FIs and Typical Liquidity Risk Exposure,High exposureDIsModerate ExposureLife Insurance CompaniesLow exposureMutual funds, hedge fu
17、nds, pension funds, propertycasualty insurance companies.Typically low, does not mean zero:September 2006, Amaranth Advisors, a hedge fund forced to shut down,主权风险+流动性风险,商业银行流动性风险的成因负债方面Causes of Liquidity Risk for DIs,负债方面的流动性风险 Liability sideReliance on demand depositsCore depositsDepository Insti
18、tutions need to be able to predict the distribution of net deposit drains.Seasonality effects in net withdrawal patternsEarly 2000s problem with low rates: finding suitable investment opportunities for the large inflows,主权风险+流动性风险,商业银行流动性风险的成因资产方面Causes of Liquidity Risk,资产方面的流动性风险 Asset sideRisk fr
19、om loan commitments and other credit lines，May result from OBS loan commitments，May be forced to liquidate assets too rapidly，Faster sale may require much lower pricemet either by borrowing funds or by running down reserves,主权风险+流动性风险,流动性风险管理,Traditional approach: reserve asset management. Alternati
20、ve: liability management. 负债管理: 调整仅仅发生在负债方面 通过市场的获得购买资金 purchased liquidity management 联邦资金市场和回购协议市场 Federal funds market or repo 发行固定期限的存款单 变现证券 储备资产调整：（stored liquidity management） 问题：导致银行规模的缩小；要求持有超额无息资产,主权风险+流动性风险,负债管理 Liability Management,主权风险+流动性风险,储备资产调整 Stored Liquidity Management,主权风险+流动性风险
21、,资产方流动风险的管理Asset Side Liquidity Risk,主权风险+流动性风险,资产方流动风险的管理Asset Side Liquidity Risk,主权风险+流动性风险,银行流动性风险的衡量 Measuring Liquidity Exposure,净流动性报告（Net liquidity statement），列出流动性的来源和用途。 净流动性头寸流动性来源（Sources） 1、全部现金型资产 $ 2，0002、最大借入资金限额 12，0003、超额现金准备 500 流动性来源总计 $ 14，500 流动性使用（Uses）1、借入现金 $ 6，0002、借入联邦储备 1
22、，000 流动性运用总计 $ 7，000 净流动性合计 $ 7，500,主权风险+流动性风险,其他方法 Other Measures,同行业比率比较 Peer group comparisons ratios include：borrowed funds/total assets, loan commitments/assets etc. 流动性指数 Liquidity index 融资缺口和融资需求Financing gap and the financing requirement流动性计划 Liquidity plan,主权风险+流动性风险,流动性指数 Liquidity index,衡
23、量金融机构因资产突然或紧急出售处理的收入，与正常市场情况下（可能需要较长的时间找寻和谈判）的公平市场价相比得出的潜在损失。 Weighted sum of “fire sale price” P to fair market price, P*, where the portfolio weights are the percent of the portfolio value formed by the individual assets.,主权风险+流动性风险,例,一家金融机构有两种资产：国库券与房地产贷款50% 。如果今天金融机构要将国库券变现，100元面值可以收到99元；如果等到到期（
24、一个月）才兑现，可以得到100元（P1*）。如果今天将其不动产贷款变现，100元面值它可以收到85元（P2），月末变现的话，可收回92元（P2*）。金融机构资产组合一个月的流动性指数是：I = （1/2）（.99/1.00） + （1/2）（.85/.92）,主权风险+流动性风险,融资缺口和融资需求Financing gap and the financing requirement,融资缺口 = 平均贷款 平均存款Financing gap = Average loans - Average deposits融资缺口 = -流动资产 + 借入资金 融资缺口 + 流动资产 = 融资需求（借入资
25、金） financing gap + liquid assets = financing requirement银行的融资缺口和持有的流动资产越大，它需要从货币市场借入的资金数量越大，因此承受的流动性风险也就越大。融资缺口增大是银行未来流动性问题的警报，贷款者将关注银行的信用状况，可能对借出资金要求更高的风险溢价或更严格的信用限额,主权风险+流动性风险,巴塞尔方法 BIS Approach,Maturity ladder/Scenario AnalysisFor each maturity, assess all cash inflows versus outflowsDaily and cu
26、mulative net funding requirements can be determined in this mannerMust also evaluate “what if” scenarios in this framework,主权风险+流动性风险,巴塞尔方法确定净资金要求,主权风险+流动性风险,到期日阶梯 Maturity ladder,主权风险+流动性风险,流动性管理-流动性计划 Liquidity Planning,流动性计划的构成描述流动性管理内容和职责 列出最有可能提款的存款人和季节性提款seasonal effects 潜在存款规模和未来各个时点的资金流出（一周、
27、一个月、一年等）和填补这些流出的可供选择的资金来源 分支机构借入的内部限额和在各种市场（同业市场、回购市场、大额存单市场等）支付的可接受的风险溢价的限度。,主权风险+流动性风险,累计融资缺口,主权风险+流动性风险,银行流动性计划中的存款分布及预期取款,主权风险+流动性风险,未预期的存款外流和银行挤兑 Bank Runs,1、对一家银行相对其它银行的清偿能力的担心concern about banks solvency.2、相关银行的倒闭导致存款人对其他银行清偿能力担心的增加（扩散影响） Failure of a related FI 。3、投资倾向的突然转变，Sudden changes in
28、 investor preferences.4、先到先得，Demand deposits are first come first served. Depositors place in line matters.5、银行恐慌，Bank panic: systemic or contagious bank run,主权风险+流动性风险,银行挤兑与当局的措施 Alleviating Bank Runs,挤兑的核心问题： 活期存款契约具有“先来先偿还”的性质防范流动性风险的措施 存款保险FDIC和贴现窗口制度Discount windowNot without economic costs.FDI
29、C protection can encourage DIs to increase liquidity risk.,主权风险+流动性风险,其他金融机构的流动性风险Liquidity Risk for Other FIs,人寿保险公司 Life Cos. Hold reserves to offset policy cancellations. The pattern is normally predictable.财产意外保险公司 Problem is less severe for P&C insurers since assets tend to be shorter term and
30、more liquid.However, spikes in claims can be problematic. Hurricane Andrew precipitated 11 bankruptcies and wholesale restructuring of Florida insurance. Claims due to sequence of hurricanes Charlie, Frances, Ivan, and Jeanne (fall 2004) as large as losses from Andrew.,主权风险+流动性风险,投资基金 Investment Fun
31、ds,Mutual funds, hedge fundsNet asset value (NAV) of the fund is market value. The incentive for runs is not like the situation faced by banks. Asset losses will be shared on a pro rata basis so there is no advantage to being first in line.Hedge funds implicated in some severe liquidity crisesExample: Long Term Capital Management,