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1、金融机构管理,http:/ (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,http:/ 第二部分：风险及其测定 第三部分：风险的管理,http:/ 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，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。,http:/ 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
2、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重要标志之一。,http:/ （净借款者）,http:/ 、资金流量水平低 监督成本 流动性 liqudity 价格风险 price risk,http:/ 资产转换(asset transfer) 初级证券（Primary securities） 二级证券（Secondary securities） 经纪人职能 专门提供信息和交易服务 导致交易成本的降低或者规模经济,http:/ 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
3、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；,http:/ 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,http:/ 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
4、Intergenerational transfers or time intermediation. 结算服务 Payment services (FedWire and CHIPS). 面值调整 Denomination intermediation.,http:/ 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；,http:/ 外部性 信息不对称,http:/ -资产分散化要求 -资本充足度要求 -保护基金 Bank I
5、nsurance 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,http:/ Pillar Structure of the New Accord,capital charge imposed on banks based upon the results of an assessment of losses attributed to operational risk and that mapped the institutions operational risk profile.,Enhancement to the
6、 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 1 Minimum Ca
7、pital Requirements,Pillar 3 Market Discipline,Pillar 2 Supervisory Review Process,http:/ The Pillar Structure of the New Accord,http:/ 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。,http:/ Depository Institutions,A depository instituti
8、on 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 from consumers. Federal depository institutions are regulated by the Federal Deposit Insurance Corporation (
9、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,http:/ Largest US Depository Institutions (billions of dollars 2007),Citigroup $1,746.2 Bank of America 1,451.6 J.P.Morgan Chase
10、1,338.0 Wachovia 559.9 Wells Fargo 483.4 HSBC North America 473.7 Taurus 430.4 Washington Mutual 348.9 U.S. Bancorp 216.9 Countrywide Financial 193.2,Total Assets ($Billions),http:/ Depository Institutions,商业银行 Commercial Banks Largest depository institutions are commercial banks. Differences in ope
11、rating characteristics and profitability across size classes. Notable differences in ROE and ROA as well as the spread 储蓄机构 Thrifts S&Ls Savings Banks 信用社 Credit Unions Mix of very large banks with very small banks,http:/ Functions & Structural Differences,Functions of depository institutions Regula
12、tory sources of differences across types of depository institutions. Structural changes generally resulted from changes in regulatory policy. Example: changes permitting interstate branching Reigle-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.,http:/ Balance Sheet and Trends,Business loans have declined
13、 in importance Offsetting increase in securities and mortgages Increased importance of funding via commercial paper market Securitization of mortgage loans Temporary effects: credit crunch during recessions of 1989-92 and 2001-02,http:/ 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
14、 权益 普通股 优先股 资本盈余 未分配利润 资本公积金,http:/ 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,http:/ 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 framework ROE = ROA EM（权益乘数） ROA = PM（利润率） AU（资产利用率）,http:/ Off-balance Sheet Activities,Heightened importance of off
15、-balance sheet items OBS assets 表外资产 OBS liabilities 表外负债 Large increase in derivatives positions is a major issue Standby letters of credit 备用信用证 Loan commitments 贷款承诺 When-issued securities 虚售证券,http:/ Other Fee-generating Activities,Trust services 信托服务 Correspondent banking 往来银行业务 Check clearing
16、Foreign exchange trading Hedging Participation in large loan and security issuances Payment usually in terms of noninterest bearing deposits,http:/ Key Regulatory Agencies,FDIC Role in preventing contagious runs or panics OCC: Primary function is to charter national banks. FRS: monetary policy, lend
17、er of last resort. National banks are automatically members of the FRS. State-chartered banks can elect to become members. State bank regulators Dual Banking System: Coexistence of nationally and state-chartered banks.,http:/ Regulators,http:/ Savings Institutions,Comprised of: Savings and Loans Ass
18、ociations 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.,http:/ Credit Unions,Nonprofit depository institutio
19、ns 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 banks 2006: 66.4 percent of CUs federally chartered and regulated
20、by NCUA,http:/ Global Issues,Narrowing margins and flattening yield curves Mortgages dominating retail growth Personal bankruptcies rising Near crisis in Japanese Banking China Deterioration in early 2000s, NPLs at 50% levels Opening to foreign banks (WTO entry) slow,http:/ Insurance Companies,Diffe
21、rences 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 composition Balance sheets and recent trends Regulation of insurance companies Global competition and trends,http:/ 股份Stock保险公司Insurance Companies,http:/ Life Insurers(2007),ht
22、tp:/ Life Insurance: Issues,Demutualization Adverse selection Insured have higher risk than general population Alleviated by grouping of policyholders into risk pools,http:/ Life Insurance Companies,Life 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)
23、 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）,http:/ Other Life Insurer Activities,年金保险 Annuities Reverse of life insurance activities. Topped $272 billion in 2005 Ethics: Conseco, 2004 个人退休金基金 Private pension funds Com
24、pete 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 insurance Morbidity insurance Effects of growth in HMO enrollment,http:/ Balance Sheet,Long-term assets Need to generate competitive returns on savings comp
25、onents of life insurance policies Bonds, equities, government securities Policy loans(保单质押贷款) Long-term liabilities Net policy reserves to meet policyholders claims Separate account business 32.9% of total liabilities and capital in 2006.,http:/ Regulation of Life Insurance Companies,McCarran-Fergus
26、on Act of 1945 Confirms primacy of state over federal regulation. State insurance commissions Coordinated examination system developed by the National Association of Insurance Commissioners (NAIC). States promote life insurance guaranty funds Not permanent funds (like FDIC) Required contributions fr
27、om surviving within-state firms. Financial Services Modernization Act, 1999,http:/ P&C Products,保费净额 （NPW net premiums written） 火险和关联险 Fire insurance and allied 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 dama
28、ge insurance 责任保险 Liability insurance (other than automobile),http:/ P&C Balance Sheet,Similar to life insurance cos. (Smaller asset base) Requirement for liquid assets Major liabilities: loss reserves 损失储备 loss adjustment expense 损失调整费用 unearned premiums 未到期保费,http:/ of loss)和损失频率(frequency of loss
29、) 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,http:/ Underwriting 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 rat
30、io: Includes both loss and expense experience. If greater than 100 then premiums are insufficient to cover losses and expenses.,http:/ 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: Cause
31、s PC managers to place importance on measuring and managing credit risk and interest rate risk.,http:/ Regulation,PC insurers chartered and regulated by state commissions. State guaranty funds National Association of Insurance Commissioners (NAIC) provides various services to state regulatory commis
32、sions. Includes Insurance Regulatory Information System (IRIS). Some lines face rate regulation. Criticism regarding Katrina related claims,http:/ Global Issues,Insurance industry becoming more global Regulatory and tax effects in Cayman Islands and Bahamas Introduction and acceleration of insurance
33、 market reforms cross-country mergers (insurance companies as well as universal banks),http:/ Securities Firms &Investment Banks,Nature of business: Underwrite securities. Market making. Advising (example: M&A, restructurings).,http:/ Key Activities,Investing Investment banking Activities related to
34、 underwriting and distributing new issues of debt and equity. Market making Increasing importance of online trading Technology risk Decimalization Trading Position trading, pure arbitrage, risk arbitrage, program trading Cash management Assisting with M&A Back-office and service functions,http:/ Bal
35、ance Sheet,Key assets: 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 banks Capital levels much lower than levels in banks,http:/ Regulation,Prima
36、ry regulator: SEC Reiterated by National Securities Markets Improvement Act (NSMIA) of 1996. Prior to NSMIA, regulated by SEC and states. Regulate trading activities such as shelf registration Early 2000s erosion of SEC dominance Increased vigilance by State Attorneys General Spring 2003, $1.4 billi
37、on in penalties over investor abuses. Sarbanes-Oxley Act of 2002 Independent auditing oversight board under SEC Instigated by Enron, Global Crossings, Tyco, WorldCom,http:/ Protection & Other Monitoring,Securities Investors Protection Corporation (SIPC). Protection level of $500,000 Federal Reserve
38、also has role in overseeing securities firms and investment banks Vulnerability of the financial system Issue of timely settlement raised by Greenspan,http:/ Mutual Funds,Diversification opportunities enhanced for small investors Economies of scale Predominantly open-ended funds At the end of Octobe
39、r 2011, the top 10 mutual fund complexes in the United States were: （Investment Company Institute, as cited in Ignites, December 30, 2011 ） 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,http:/ Types
40、of Mutual Funds,Types of Long-term Funds Bond and income funds. Equity funds. Hybrid. Short-term funds,http:/ Returns to Mutual Funds,Income and dividends of underlying portfolio. Capital gains on trades by mutual fund management. Capital appreciation in values of assets held in the portfolio. Marke
41、d-to-market Net-asset value (NAV).,http:/ Mutual Fund Costs,Two types of fees: Sales loads Generally, negative effect on performance outweighs benefits Short term versus long term investment alters impact of loads on cost Fund operating expenses Management fee 12b-1 fees Front end and back end fees Class A, Class B and Class C differences SEC creation of new rules Sweeping decreases in fees, 2005 and 2006,http:/