3 商业银行管理(罗斯)
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Ratio of Total Assets to Total Equity Capital Accounts
ROE with an ROA of: 0.5% 2.5% 5% 7.5% 1.0% 5% 10% 15% 1.5% 7.5% 15% 22.5% 2.0% 10% 20% 30%
5:1 10:1 15:1
经营杠杆系数 Degree of Operating Leverage，DOL
年份 1998 营业 额 2400 营业 额增 长率 变动 成本 1440 固定 成本 800 营业 利润 160 利润 增长 率
1999
2000
2600
3000
8%
15%
1560
1800
800
800
240
400
50%
67%
=净利润率 ×资产利用率×股权资本乘数
The net profit margin(NPM): reflects the
effectiveness of expense management and service pricing policies. The degree of asset utilization(AU): reflects the portfolio management policies, especially the mix and yield on assets. The equity multiplier(EM): reflects the leverage or financing policies.
Net income ROE Pr etax net operationg income Pr etax net operationg income Total operationg revenue Total operationg revenue Total asset Total asset Total equity captial Tax management efficiency Expense control efficiency Asset management efficiency Funds management efficiency
我国衡量商业银行效益性指标
资产利润率
资本利润率
净息差
＝（利息净收入+债券投资利息收入）/ 生息资产平均余额 × 100% × 折年系数 非利息收入占比 ＝（手续费及佣金净收入 + 其他业务收入 + 不含债券投资 利息收入的投资收益） / 营业收入 × 100% 成本收入比 ＝（营业支出 - 营业税金及附加） / 营业收入 × 100%
decline
Value of Bank’s Stock if Earnings Growth is Constant
Where: D1 is the expected dividend in the first period;
r is the rate of discount reflecting the perceived level of risk; and g is the constant growth rate of the bank’s dividends.
9th Edition Peter S. Rose
CHAPTER THREE
MEASURING AND EVALUATING THE PERFORMANCE OF BANKS
Key topics
Stock values and profitability ratios Measuring credit, liquidity, and other risks
Return on Assets and Its principal Components
PLUS
Net Noninterest Margin
PLUS
LESS
Special Transactions affecting its net income
Net Interest Margin
ROA
What a Breakdown of Profitability Measures Can Tell Us
Interest rate risk Transaction risk Compliance risk
Operational risk
Legal risk Reputational risk
Reputational risk
Reputational risk
Strategic risk
Credit Risk
The probability that some of the bank’s assets will
decline in value and perhaps become worthless. Credit Risk Measures
Nonperforming assets/Total Loans and leases Net Charge-Offs/Total Loans and leases
stockholder dividends; and (1 + r)t is the discount factor (based on the minimum required market rate of return on equity capital given each bank’s perceived level of risk).
20:1
10%
20%
30%
40%
ROE
Net income Total operationg revenue Total asset Total operationg revenue Total asset Total equity captial Net profit m arg in Asset utilization ratio Equity multiplier
我国商业银行监管指标 （2016第1、2季度)
Return on Equity and Its principal Components
ROE=Net Income/Total Equity Capital
ROA=Net Income/AsseΒιβλιοθήκη Baidus
Equity Multiplier=Total Assets/Equity Capital
Profitability Ratios: A Surrogate for Stock Values (1)
Profitability Ratios (2)
Earnings spread=
Total interest income Total interest expense Total earning assets Total interest-bearing liabilities
Careful use of financial leverage. Careful use of operating leverage from fixed
assets. Careful control of operating expenses so that more dollars of sales revenue become net income. Careful management of the asset portfolio to meet liquidity needs while seeking the highest returns from any assets acquired. Careful control of exposure to risk so that losses don’t overwhelm income and equity capital.
Value of a Bank’s Stock Rises When:
Expected dividends increase Risk of the bank falls
Market interest rates decrease
Combination of expected dividend increase and risk
Measuring Risk in Banking
Risks Encountered by Financial Institutions
Basel Committee on Banking Supervision Federal Reserve System Comptroller of the Currency
Credit risk Country and transfer risk Market risk
Interest rate risk Liquidity risk
Credit risk Liquidity risk
Market risk Operational risk Legal risk
Credit risk Liquidity risk
Provision for Loan Losses/Total Loans and leases or
relative to equity capital Allowance for Loan Losses/Total Loans and leases or relative to equity capital Nonperforming assets/Equity capital Total Loans/Total Deposits
Net Profit Margin=Net Income/Total Operating Revenue
Asset Utilization=Tota l Operating Revenue/Total Assets
Net income Total asset ROE Total asset Total equity captial ROA Equity multiplier
Value of the Bank’s Stock
Value of stock(P0)=Expected stream of future stockholder
dividends/ Discount factor
Where: E(Dt) is the expected stream of future
Introduction
In today world, bankers and their competitors are
under great pressure to perform well all the time. The success or lack of success of these institutions in meeting the expectations of others is usually revealed by a careful study of their financial statements. This chapter centers on the most important dimensions of performance ——profitability and risk, that is , to maximize the value of the shareholders’ wealth invested in the firm at an acceptable level of risk.
Profitability Ratios (3)
Return on equity capital –ROE 资本利润率 Return on assets –ROA 资产利润率 Net interest margin 净利息收益率（净息差） Net Noninterest margin净非利息收益率 Net bank operating margin 净经营收益率 Earnings per share (EPS)每股收益率 Earrings spread 净利息差（净利差）
ROE with an ROA of: 0.5% 2.5% 5% 7.5% 1.0% 5% 10% 15% 1.5% 7.5% 15% 22.5% 2.0% 10% 20% 30%
5:1 10:1 15:1
经营杠杆系数 Degree of Operating Leverage，DOL
年份 1998 营业 额 2400 营业 额增 长率 变动 成本 1440 固定 成本 800 营业 利润 160 利润 增长 率
1999
2000
2600
3000
8%
15%
1560
1800
800
800
240
400
50%
67%
=净利润率 ×资产利用率×股权资本乘数
The net profit margin(NPM): reflects the
effectiveness of expense management and service pricing policies. The degree of asset utilization(AU): reflects the portfolio management policies, especially the mix and yield on assets. The equity multiplier(EM): reflects the leverage or financing policies.
Net income ROE Pr etax net operationg income Pr etax net operationg income Total operationg revenue Total operationg revenue Total asset Total asset Total equity captial Tax management efficiency Expense control efficiency Asset management efficiency Funds management efficiency
我国衡量商业银行效益性指标
资产利润率
资本利润率
净息差
＝（利息净收入+债券投资利息收入）/ 生息资产平均余额 × 100% × 折年系数 非利息收入占比 ＝（手续费及佣金净收入 + 其他业务收入 + 不含债券投资 利息收入的投资收益） / 营业收入 × 100% 成本收入比 ＝（营业支出 - 营业税金及附加） / 营业收入 × 100%
decline
Value of Bank’s Stock if Earnings Growth is Constant
Where: D1 is the expected dividend in the first period;
r is the rate of discount reflecting the perceived level of risk; and g is the constant growth rate of the bank’s dividends.
9th Edition Peter S. Rose
CHAPTER THREE
MEASURING AND EVALUATING THE PERFORMANCE OF BANKS
Key topics
Stock values and profitability ratios Measuring credit, liquidity, and other risks
Return on Assets and Its principal Components
PLUS
Net Noninterest Margin
PLUS
LESS
Special Transactions affecting its net income
Net Interest Margin
ROA
What a Breakdown of Profitability Measures Can Tell Us
Interest rate risk Transaction risk Compliance risk
Operational risk
Legal risk Reputational risk
Reputational risk
Reputational risk
Strategic risk
Credit Risk
The probability that some of the bank’s assets will
decline in value and perhaps become worthless. Credit Risk Measures
Nonperforming assets/Total Loans and leases Net Charge-Offs/Total Loans and leases
stockholder dividends; and (1 + r)t is the discount factor (based on the minimum required market rate of return on equity capital given each bank’s perceived level of risk).
20:1
10%
20%
30%
40%
ROE
Net income Total operationg revenue Total asset Total operationg revenue Total asset Total equity captial Net profit m arg in Asset utilization ratio Equity multiplier
我国商业银行监管指标 （2016第1、2季度)
Return on Equity and Its principal Components
ROE=Net Income/Total Equity Capital
ROA=Net Income/AsseΒιβλιοθήκη Baidus
Equity Multiplier=Total Assets/Equity Capital
Profitability Ratios: A Surrogate for Stock Values (1)
Profitability Ratios (2)
Earnings spread=
Total interest income Total interest expense Total earning assets Total interest-bearing liabilities
Careful use of financial leverage. Careful use of operating leverage from fixed
assets. Careful control of operating expenses so that more dollars of sales revenue become net income. Careful management of the asset portfolio to meet liquidity needs while seeking the highest returns from any assets acquired. Careful control of exposure to risk so that losses don’t overwhelm income and equity capital.
Value of a Bank’s Stock Rises When:
Expected dividends increase Risk of the bank falls
Market interest rates decrease
Combination of expected dividend increase and risk
Measuring Risk in Banking
Risks Encountered by Financial Institutions
Basel Committee on Banking Supervision Federal Reserve System Comptroller of the Currency
Credit risk Country and transfer risk Market risk
Interest rate risk Liquidity risk
Credit risk Liquidity risk
Market risk Operational risk Legal risk
Credit risk Liquidity risk
Provision for Loan Losses/Total Loans and leases or
relative to equity capital Allowance for Loan Losses/Total Loans and leases or relative to equity capital Nonperforming assets/Equity capital Total Loans/Total Deposits
Net Profit Margin=Net Income/Total Operating Revenue
Asset Utilization=Tota l Operating Revenue/Total Assets
Net income Total asset ROE Total asset Total equity captial ROA Equity multiplier
Value of the Bank’s Stock
Value of stock(P0)=Expected stream of future stockholder
dividends/ Discount factor
Where: E(Dt) is the expected stream of future
Introduction
In today world, bankers and their competitors are
under great pressure to perform well all the time. The success or lack of success of these institutions in meeting the expectations of others is usually revealed by a careful study of their financial statements. This chapter centers on the most important dimensions of performance ——profitability and risk, that is , to maximize the value of the shareholders’ wealth invested in the firm at an acceptable level of risk.
Profitability Ratios (3)
Return on equity capital –ROE 资本利润率 Return on assets –ROA 资产利润率 Net interest margin 净利息收益率（净息差） Net Noninterest margin净非利息收益率 Net bank operating margin 净经营收益率 Earnings per share (EPS)每股收益率 Earrings spread 净利息差（净利差）