1、Chapter 1,An Introduction to the Business of Banking,1.1 The Emergence出现 and Development of Modern Banking现代银行的出现和发展1.2 The Role of Banks银行的角色1.3 Trends Affecting All Banks影响银行的趋势1.4 The Change in Banks existence environment银行所处环境的变化,1.1 The Emergence and Development of Modern Banking,1.2 The Role o
2、f Banks,The many different roles banks play in the economy银行在经济中扮演了许多不同角色 The functional roles of banks银行的功能角色 The role of banks in theory理论上的银行角色 The services banks offer the public银行向公众提供的服务,1.3 Trends Affecting All Banks,Service Proliferation服务扩散 Rising competition竞争加剧 Deregulation违反规定 Rising fun
3、ding costs融资成本上升 An increasingly interest-sensitive mix of funds,A technological revolution技术革命 Consolidation and geographic expansion (A tier institutional system)兼并以及地理扩张（等级制度体系） Convergence集合 Globalization of banking银行业全球化 Increased risk of failure and the weakening of government deposit insuranc
4、e systems风险加剧以及政府存款保险系统的衰弱,1.4 The Change in Banks existence environment- The competing financial institutions against banks 与银行相互矛盾的金融机构- The Financial Services Modernization Act of 1999 in the US (P47)金融服务现代化法案The convergence of financial services among banks and its competitors银行及其竞争者间的金融服务的集聚The
5、 internationalization of financial supervision金融监管的全球化 - Basel Accord II巴塞尔2,Savings and loan associations储蓄与贷款合作社Credit unions信用合作社Money market funds货币市场基金Mutual funds共同基金Hedge funds对冲基金Security brokers经纪人 and dealers 经销商Finance companies借贷公司Financial holding companies or conglomerates融资控股公司或集团Life
6、 and property/casualty insurance companies人生和财产保险公司,2008-2010Top 25 Banks in the World,Top 25 by total ass,“Banks Are Dying!”?,The intermediation role中介 The payments role支付 The guarantor role保证人 The agency role代理 The policy role政策 The risk management role风险管理 The saving/investment advisor role存款投资咨询
7、 The safekeeping/certification of value role保管和鉴定,The Functional Roles of Banks,The Role of Banks in TheoryBanks are financial intermediaries金融中介 selling financial services金融服务. The term financial intermediary simply means a business that interacts with two types of individuals and institutions in t
8、he economy.经济上连接连接个人和机构的业务,The Role of Banks in TheoryBanks intermediation activities will take place :,- if there is a positive spread积极的拓展 between the expected yields投资效益 on the loans banks make to deficit-spending赤字开支 units and the expected interest rate (cost) on the funds banks borrow from surp
9、lus-spending units;,- if there is a positive correlation相互关系 between the yields on bank loans and the interest rates banks pay for deposits and other funds provided by surplus-spending units.如果在银行贷款和银行存款及其他剩余支出单位提供资金支付的利率间有一个正相关关系,The Role of Banks in TheoryAfter we have found that the financial sys
10、tems and financial markets in the developed countries are extremely efficient, we wonder why commercial banks still have survived and developed under such circumstances. 在我们发现发达国家的金融体系和金融市场是非常有效的之后，我们想知道为什么商业银行仍然在这种情况下存活和发展。,The Role of Banks in TheoryThe reasons for banks existence in theory are :-
11、Imperfections in the financial market system. -Banks willingness to accept risky loans from borrowers, while issuing low-risk securities to their depositors. -Banks ability to satisfy the strong need of many customers for liquidity. - Banks superior ability to evaluate information. -Banks delegated授
12、权 monitoring function.银行在理论上存在的原因是：-在金融市场体系的不完善。-银行愿意接受借款人高风险贷款，同时向存款人发出低风险的证券。-银行满足众多客户对流动资金的强烈需求的能力。-银行评估信息的能力超群。-银行的委托授权监控功能。,Services Banks Offer the Public,Traditional items: Carrying out currency exchanges Discounting commercial notes and making business loans Offering savings deposits Safekee
13、ping of valuables and Certification of value Supporting Government activities with credit Offering checking accounts (demand deposits) Offering trust services传统项目 ：开展货币兑换商业票据贴现和商业贷款提供储蓄存款保管贵重物品，价值认证信贷支持与政府的活动提供支票账户（活期存款）提供信托服务,Services Banks Offer the Public,-Granting consumer loans Financial Advisi
14、ng Managing Cash Offering equipment leasing Making venture capital loans Selling insurance services准许消费者贷款财务顾问现金管理提供设备租赁使风险资本贷款出售保险服务,- Selling retirement plans- Offering security brokerage佣金 and security underwriting services Offering mutual funds and annuities Offering investment banking and merch
15、ant 批发商 services-销售退休计划-提供安全的经纪佣金和证券承销服务提供共同基金和年金提供投资银行和批发商服务,Services banks have developed more recently:,Convenience: The Sum of All Bank Services,It should be clear from the list of services we have described that not only are most banks offering a wide array of financial services today, but the
16、bankers service menu is growing rapidly. New types of loans and deposits are being launched every year. Viewed as a whole, the impressive array of services offered by modern banks adds up to greater convenience for their customers. Customers can satisfy virtually all their financial service needs at
17、 one financial institution in one location. Banks are the “financial department stores” of modern era, working to unify banking, fiduciary, insurance, and security brokerage 信托services under one roof a trend often referred to as universal banking in the world.见下页,Convenience: The Sum of All Bank Ser
18、vices,应该明确我们所描述的，大多数银行现在不仅提供一系列广泛的金融服务，银行的服务单中的项目还在迅速增长。每年都会推出新的贷款和存款类型。 作为一个整体来看，一系列令人印象深刻的现代银行提供的服务为他们的客户提供了更大的便利。客户可以在一个地方的金融机构满足他们几乎所有的金融服务需求。 银行是当今时代的“金融百货公司 ”，工作统一在一个屋檐下的银行，信托，保险，证券经纪业务的服务-经常被称为世界上通用银行的趋势。,What is a (COMMERCIAL) BANK?,A Bank is any business that offers the widest range of fina
19、ncial services especially credit, savings, payment services and performs the widest range of financial functions in the economy.银行提供最广泛的金融服务- 特别是信贷，储蓄，支付服务 - 并且发挥最广泛的经济财政职能。,21,Chapter 2,Management a Banks Equity Capital资本管理,22,2.1 A Brief Introduction to Bank Capital 银行资本介绍2.2 How Much Capital Does
20、 a Bank Need? 银行需要多少资本？2.3 Planning to Meet a Banks Capital Needs 确定银行所需资本量,23,2.1 A Brief Introduction to Bank CapitalThe Tasks Performed by Bank Capital银行功能Bank Capital and Risk银行资本与风险Types of Bank Capital资本类型,24,The Tasks Performed by Bank Capital功能Capital provides a cushion against the risk of f
21、ailure.损失的缓冲Capital provides the funds needed to get the bank chartered, organized and operating before deposits come flowing in.在其他自己流入前，资本为金融机构注册、组建、经营提供资金Capital promotes public confidence in a bank and reassures its creditors and depositors of the banks financial strength.提高公众的信心，消除债权人疑虑Capital
22、provides funds for the organizations growth and the development of new services, programs, and facilities.银行扩展、新业务的拓展Capital serves as a regulator of bank growth, helping to ensure that the individual banks growth is held to a pace that is sustainable in the long run.作为银行增长的检测者，有助于长期可持续发展Capital has
23、 played a key role in the rapid growth of mergers.在金融机构浪潮兼并中的重要作用Capital has become an important tool to limit banks risk exposure.控制银行风险敞口的重要工具,25,Bank Capital and Risk,Key Risks in Banking主要风险-Credit risk信用风险-Liquidity risk流动性风险-Interest rate risk利率风险-Operating risk经营风险-Exchange risk汇率风险-Crime ris
24、k犯罪风险,26,Bank Capital and Risk,Bank Defenses against Risk抵御风险-Quality management质量管理-Diversification多元化Portfolio diversification资产多元化Geographic diversification地域多元化-Deposit insurance存款保险-Owners capital产权资本,27,Types of Bank Capital,Preferred stock优先股Common stock普通股Surplus资本公积Undivided profits未分配利润Equ
25、ity reserves权益准备金,Subordinated debentures次级债券Minority interest in consolidated subsidiaries附属机构少数股东权益Equity 权益承诺票据commitment notes,28,While each banks capital position（ 资本情况）must be evaluated relative to its own internal and external situation, concern over bank failures has led financial authoritie
26、s all over the world to set up minimum capital requirements for all banks. But the rate of total capital to total assets can be misleading.,How Much Capital Does a Bank Need?,29,Balance Sheet of Bank A (in million),30,Balance Sheet of Bank B (in million),31,The Basle Agreement on International Bank
27、Capital Standards (cont.),In 1987 the Federal Reserve Board（美联储）, representing the United States, and representatives from 11 other leading industrialized countries (Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom, and Luxembourg) reached an a
28、greement often referred to as the Basle Agreement (Basel I) that set the foundation of capital supervision of the financial authorities worldwide over international banks.为世界范围内资本监管奠定了基础,32,The Basle Agreement on International Capital Standards (cont.),Tier 1 capital (core capital)（一级资本） includes co
29、mmon stock （普通股本）and surplus（资本公积）, undivided profits (retained earnings)（盈余）, qualifying non-cumulative perpetual preferred stock（优质非永久优先股）, minority interest in the equity accounts of consolidated subsidiaries（附属机构少数权益）, and selected identifiable intangible asset less goodwill and other intangible
30、 assets.（可确认的无形资产-商誉-其他无形资产）,33,The Basle Agreement on International Capital Standards (cont.),Tier 2 capital (supplemental capital) （二级资本）includes the allowance (reserves) for loan and lease losses（贷款和租赁损失准备金）, subordinated debt capital instruments（次级债务工具）,mandatory convertible debt（法定可转换债券）, inter
31、mediate-term preferred stock（中期优先股）, cumulative perpetual preferred stock with unpaid dividends（未支付股利的累积永久优先股）, and equity notes （权益承诺票据）and other long-term capital instruments that combine both debt and equity features.（和其他具有债务和股权双重特征的资本工具）,34,The Basle Agreement on International Bank Capital Stand
32、ards (cont.),The capital requirements include:,Ratio of core capital (Tier 1) to risk-weighted assets must at least 4 percent.一级资本对加权风险资产的比例至少4%Ratio of total capital (the sum of Tier 1 and Tier 2 capital) to total risk-weighted assets must be at least 8 percent, with the amount of Tier 2 capital li
33、mited to 100 percent of Tier 1 capital.总资本对总加权风险资产的比例至少8%，二级资产最高为一级资产的100%,35,The Basle Agreement on International Capital Standards (cont.),Calculating Risk-Weighted Assets under Basel I计算加权风险资产,Each asset item on a banks balance sheet and any off-balance-sheet (OBS) commitments it has made are eac
34、h multiplied by a risk-weighting factor designed to reflect its credit risk exposure.资产负债表内和表外每一项资产项目都与反映银行信用风险大小的风险权重系数相乘。,36,Basle I on International Capital Standards (cont.),Steps of calculating risk-weighted assetsCompute the credit-equivalent amount of each OBS item（计算每一表外项目的等价信贷）. This figure
35、 is supposed to translate each OBS item into the equivalent amount of a direct loan considered to be of equal risk to the bank. Each OBS item is multiplied by an equivalent conversion factor.Then multiply each balance sheet item and the credit-equivalent amount of each OBS item by its risk weight.风险
36、权重乘以每一表内项目和表外项目的等价信贷,37,The Basle Agreement on International Capital Standards (cont.),Calculating the Capital-to-Risk-Weighted Assets Ratio计算资本对加权风险资产的比率Capital adequacy ratio资本充足率 = Total regulatory capital 总资本/ Total risk-weighted bank assets 加权风险资产,38,The Basle Agreement on International Capital
37、 Standards (cont.),Capital requirements attached to derivatives资本要求需要考虑衍生工具Derivatives futures, options, forward contracts, interest rate and currency swaps, interest rate cap and floor contracts, and other instruments designed to hedge against changing currency prices and changing interest rates（以及
38、其他用来为货币价格、利率和商品头寸的变动做套期保值的工具） expose a bank to counter-party risk （交易对手风险） the danger that a customer the bank has entered into a contract with will fail to pay or to perform, forcing the bank to find a replacement contract that may be less satisfactory（迫使银行与不甚合适的另一方签订代替合约）.,39,Basle I on Internatio
39、nal Capital Standards (cont.),The revised Basel I required bankers to convert each risk-exposed derivative contract into its credit-equivalent amount as if it were a risky asset listed on a banks balance sheet. （修订后的协议要求银行首先把所以有风险的合约都转换成等额信贷，就好像是表内的一项风险资产）Then , the credit-equivalent amount is multi
40、plied by a pre-specified risk weight（然后与事先确定的风险权重相乘. ） For example, interest rate contracts（利率合约） with a maturity of one year or less were assigned 0 credit-conversion factor, while rate contracts over one year carry a credit conversion factor of only 0.5 percent. In contrast, currency-based （外币合约）c
41、ontracts one year or less to maturity carry a credit-conversion factor of 1 percent and those with maturities over one year have been assigned a credit-conversion factor of 5 percent. The difference between two types of contracts lies in that interest contracts display considerably less risk exposur
42、e than do for foreign-currency contracts.,40,Basle I on International Capital Standards (cont.),Capital requirements attached to derivatives: The risk exposure of each contract is divided into two categories:1. Potential market risk exposure潜在市场风险2. Current market risk exposure现有市场风险,41,Potential ma
43、rket risk refers to the danger of bank loss at some future time if the customer who entered into a market-based rate or currency contract with the bank fails to perform.Current market risk exposure is designed to measure the risk of loss to the bank should a customer default today on its contract, w
44、hich would compel the bank to replace the failed contract with a new one. There is replacement cost.用来衡量客户违约导致银行用一个新合约来代替以前未履行的合约,42,The potential market risk exposure = Face amount of contract （合约面值） Conversion factor forpotential market risk exposure 潜在市场风险转换系数 The equivalent amount of risk-weight
45、ed assets of the derivative contracts = (The potential market riskexposure + The replacement cost)Credit risk weight,43,Bank Capital Standard（资本标准） and Market RiskOne of the most glaring holes in Basel I was its failure to deal with market risk. It refers to the losses a bank may suffer due to adver
46、se changes in interest rates, security prices（证券价格）, and currency and commodity prices.,44,Market Risk and Value at Risk (VAR) Models (cont.)市场风险和风险价值模型In January 1996 the Basel Committee on Banking Supervision formally approved a modification（修改） to the Basel I rules, permitting the largest banks t
47、o conduct internal risk measurement（允许大型银行进行内部风险评估）, and estimate the amount of capital necessary to cover market risk. The revised Basel I rules allowed the largest banks to use their own preferred methods to determine the maximum loss they might sustain over a designated period of time known as va
48、lue at risk (VAR) models.,45,Market Risk and Value at Risk (VAR) ModelsValue at risk (VAR) models attempt to measure the price or market risk of a portfolio of assets whose value may decline due to adverse movements in interest rates, stock prices, currency values, or commodity prices. （VAR试图计算组合资产的
49、市场风险、利率股票价格、货币或商品价格的不利变动带来的损失） These models provide a single number for an entire portfolio of assets, expressing the potential for loss over a specific time horizon with a given level of statistical confidence in the accuracy of the loss estimate. （给资产组合提供一个数字描述其在指定期间内遭受损失的可能性，该数字在孤寂损失的精确成都上具有一定的可信
50、度）,46,Market Risk and Value at Risk (VAR) ModelsThe central elements（中心要素） of Value at risk (VAR) include:1.An estimate of the maximum amount of loss in the banks asset values that could occur at a specific level of risk.（对于某风险水平上银行资产损失的最大估计值）An estimate of the time over which the assets in question
51、 could be liquidated should market deterioration occur.对问题资产在市场恶化的情况下被清算的时间期的估计The confidence level that management attaches to its estimate of the probability of loss occurring in any given period. （管理层赋予对任意期间内所估计的损失可能性的置信水平）Among the leaders in VAR modeling and measurement are CreditMetrics and RiskMetrics, both of which emerged during the 1990s under the leadership of J. P. Morgan.,
