货币银行学 第四讲

No.4商业银行TopicsCovered•1.概述•2.基本理论(DDmodel等)•3.经营管理•4.监管•5.信用创造Q:Bank:“板凳”还是“柜台”？归于银行发展的一个思想实验:•从物物交换到货币经济•货币兑换商与金匠•保管,收费,收条•从收条到标准化的银行券•概率论!•贷款的发行.•与时俱近:从金匠到商业银行.一.Introduction(2)为什么需要银行?(Arebanksspecial?)DDModel:基本思想Q：传统商业银行的衰落•市场竞争:负债+资产•脱媒•市场份额下降与风险上升传统商业银行的衰落TheDeclineinBanksasaSourceofFinanceBankFailuresBankProfitability银行的定义银行是面向公众吸收存款并发放贷款的金融机构.Note:每个词都很重要银行的功能1.支付体系2.资产变换3.风险管理4.信息处理与代理监管金融中介理论•在纯粹的市场理论中，很难解释银行的存在性。•古典：成本•第一代:流动性保险(DDmodel)•第二代:中介+市场DDModel•“BankRuns,DepositInsurance,andLiquidity”ByD.DiamondandP.DybvigJPE,1983,91(3),pp.401-19MotivationQuestions•什么是风险？Whatis“RISK”?•什么是流动性？Whatis“LIQUIDITY”?•为什么银行比市场能更好地提供流动性？Whythe“BANK”,ratherthanthe“MARKET”canprovideliquidity?•基本思想:二.银行的经营管理资产负债表:Asthenameimplies,totalassets=totalliabilities+capital1.资本Capital2.负债Liabilities:CheckabledepositNontransactiondepositsBorrowings3.资产Assets:准备Reserves:证券Securities:贷款Loans:表外业务:Off-Balance-SheetActivities狭义:有风险的业务TradingActivitiesA.Financialfutures/Financialoptions/Foreignexchange/SwapsB.GuaranteesofdebtC.Backuplinesofcredit广义:狭义+中间业务(无风险)非利息收入份额ShareofNoninterestIncome资产证券化简介将不流动的资产（例如住宅抵押贷款）转换为流动的、可交易证券的业务。TheProcessoftransformingotherwiseilliquidfinancialassets(suchasresidentialmortgages)whichhavetypicallybeenbreadandbutterofbankinginstitutions,intomarketablecapitalmarketsecurities.银行管理的基本原则1.流动性管理2.资本充足性管理3.负债管理4.资产管理A.信用风险B.市场风险5.内控:操作风险法定储备要求超额储备：Reserverequirement=10%,Excessreserves=$10millionAssetsLiabilitiesReserves$20millionDeposits$100millionLoans$80millionBankCapital$10millionSecurities$10million存款流出：Depositoutflowof$10millionAssetsLiabilitiesReserves$10millionDeposits$90millionLoans$80millionBankCapital$10millionSecurities$10millionWith10%reserverequirement,bankstillhasexcessreservesof$1million:nochangesneededinbalancesheet1.流动性管理如果没有超额储备NoexcessreservesAssetsLiabilitiesReserves$10millionDeposits$100millionLoans$90millionBankCapital$10millionSecurities$10millionDepositoutflowof$10millionAssetsLiabilitiesReserves$0millionDeposits$90millionLoans$90millionBankCapital$10millionSecurities$10million(1).同业借入BorrowfromotherbanksorcorporationsAssetsLiabilitiesReserves$9millionDeposits$90millionLoans$90millionBorrowings$9millionSecurities$10millionBankCapital$10million(2).出售证券SellSecuritiesAssetsLiabilitiesReserves$9millionDeposits$90millionLoans$90millionBankCapital$10millionSecurities$1million(3).从央行借入BorrowfromFedAssetsLiabilitiesSecurities$10millionBankCapital$10millionReserves$9millionDeposits$90millionLoans$90millionDiscountLoans$9million(4).出售或收回贷款CallinorselloffloansAssetsLiabilitiesReserves$9millionDeposits$90millionLoans$81millionBankCapital$10millionSecurities$10million结论:超额储备用来防止上述四种风险2.资本充足性管理1.资本是防止破产的屏障Bankcapitalisacushionthathelpspreventbankfailure2.资本充足与股本回报的辩证关系Higherisbankcapital,lowerisreturnonequityROA=Netprofits/AssetsROE=Netprofits/EquityCapitalEM=Assets/EquityCapital(EM:Equitymultiplier)ROE=ROA×EMCapital↑,EM↓,ROE↓3.此外，银行持有资本以满足储备要求Banksalsoholdcapitaltomeetcapitalrequirements资本管理:A.售出股权B.改变红利从而改变利润留存C.改变资产业务3.资产负债管理(1)目标:(2)资产管理:信贷风险:专业化;审查;担保;信用评级;长期客户关系管理利率风险缺口分析：利率敏感资产－利率敏感负债GAP=rate-sensitiveassets–rate-sensitiveliabilities=$20–$50=–$30millionWheni↑5%:1.资产收入Incomeonassets=+$1million(=5%×$20m)2.负债成本Costsofliabilities=+$2.5million(=5%×$50m)3.净利率变化ΔProfits=$1m–$2.5m=–$1.5m=5%×($20m–$50m)=5%×(GAP)ΔProfits=Δi×GAP表外业务风险管理流氓交易员与委托代理问题(RogueTradersandPrincipal-AgentProblemTradershaveincentivestotakebigrisks(Barings,Daiwa,andSumitomo)风险控制RiskManagementControls1.前后台分离Separationoffrontandbackrooms2.在险价值模型Value-at-riskmodeling3.压力测试StresstestingRegulatorsencouragingbankstopaymoreattentiontoriskmanagement(3)负债管理LiabilityManagement1.自1960年代以后更重要Importantsince1960s2.主动负债Whenseeloanopportunities,borroworissueCDstoacquirefunds(4)资产负债比例关系:4.内控风险四.银行监管的经济分析•为什么金融机构,尤其是银行受到的监管最严格?•银行本质上是高风险行业;•银行创造的货币是准公共产品;•银行倒闭具有传染性和外部性.BankingCrisesWorldwideCostofBankingCrises银行监管1.安全网与存款保险:利与弊A.防止由于信息不对称导致的银行挤兑B.引起银行的道德风险:承担过度风险;“大而不倒”(Too-Big-to-Fail)2.资本充足管理巴塞尔协议BaselAccord:startedfrom1988起因:(Tier1+Tier2)/Totalasset大于8%Tier1/TotalCapital大于50%基本思想:以资本约束资产(Asset/Capital)资本:核心资本与附属资本(tier1andtier2)资产:风险加权(riskweighted)•巴塞尔协议的发展及其在中国的应用•新资本协议(BaselII):背景与三支柱:•(1)最低资本要求•(2)监管当局的监管•(3)市场纪律•中国要不要采用巴塞尔协议3.适度竞争,减少风险5.货币创造货币定义:Mo:M1:M2:基本假设:1.部分准备2.支票存取款DepositCreationDepositMultiplierSimpleDepositMultiplier1ΔD=×ΔRrDQ:原始存款来自何处?