金融市场与金融机构 第二章

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Commercial banks
Defined by the Functions It Serves and the Roles It Play A financial intermediary accepting deposits and granting loans Offer the widest range of financial services. --Financial department stores
Part 1 Introduction
Chapter 2 AN OVERVIEW OF THE FINANCIAL SYSTEM
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Chapter Objectives
Function of Financial Markets Classifications of Financial Markets Function of Financial Intermediaries Types of Financial Intermediaries Regulation of Financial Markets
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Governmental regulator Hurry!
Competitors Hurry!
Bank
Credit risk
Liquidity risk Market risk
Well Done! Legal risk Capital risk Customers
Just an Inch Remained!
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Asymmetric Information: Adverse Selection and Moral Hazard
Moral Hazard
1. After transaction occurs 2. Hazard that borrower has incentives to engage in undesirable (immoral) activities making it more likely that won't pay loan back
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The Bank Balance Sheet
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China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002)
Asset (%) CN Loans Investments Cash Other Total 60.2 6.6 24.8 8.4 100 US 61.4 Deposits 23.1 Borrowings 9.1 7.4 Capital 100 Total 3.8 100 7.1 100
1. Before transaction occurs 2. Potential borrowers most likely to produce adverse outcome are ones most likely to seek loan and be selected
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信息发掘( 信息发掘 information provision)
Diamond ( 1984) 对Leland 和Pyle ( 1977) 做了一个重要推广: 假设企业家的投资项目的回报是独立分布 做了一个重要推广: 那么他们可以联合起来向投资者借款。这样, 的, 那么他们可以联合起来向投资者借款。这样, 每个项目的期望回报 不变, 但由于多元化, 其风险大大降低了, 不变, 但由于多元化, 其风险大大降低了, 从而减少了信息不对称带来的 资本成本, 这样的联合便是银行。 资本成本, 这样的联合便是银行。银行可以克服企业家和投资者之间的 信息不对称, 吸收存款并投资于银行有内部信息的投资项目。 信息不对称, 吸收存款并投资于银行有内部信息的投资项目。
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Asymmetric Information: Adverse Selection and Moral Hazard
Adverse Selection
Asymmetric Information: Adverse Selection and Moral Hazard
Example: r = 8%, 20% loan = £100 - Borrower A: has project with 10% return with 100% probability of success - Borrower B: project with 100% return with 75% probability of success (25% prob. of failure)
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Function of Financial Markets
一、聚敛 二、配置功能 三、调节功能 四、反映功能 国民经济的“晴雨表”和“气
象台”
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———金融中介：文献综述和最新发展，黄张凯，管理世界， ———金融中介：文献综述和最新发展，黄张凯，管理世界， 金融中介 2006（ 2006（2）
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Chapter Objectives
Function of Financial Markets Classifications of Financial Markets Function of Financial Intermediaries Types of Financial Intermediaries Regulation of Financial Markets
Reputational risk Operational risk
GO来自百度文库L
stockholders
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Fundamental risks
Credit risk Liquidity risk Market risk Operational risk Reputational risk Legal risk Capital or solvency偿付能力risk
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Financial Intermediaries
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Types of Financial Intermediaries
Depository Institutions (Banks)
Commercial banks Savings & Loan Associations (S&Ls) Mutual Savings Banks Credit Unions
Life insurance companies Fire & casualty insurance companies Pension funds, government retirement funds
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假设某人寿保险公司拥有100 000个保单持有人，他们每个 个保单持有人， 假设某人寿保险公司拥有 个保单持有人 人都是40岁 每个客户申请100万美元的保单。保险公司 万美元的保单。 人都是 岁，每个客户申请 万美元的保单 应向每个保单持有人收取多少保险费呢？ 应向每个保单持有人收取多少保险费呢？ 确定预期死亡人数。 确定预期死亡人数。100 000*4/000=400 预期索赔金额=100*400=4亿 预期索赔金额 亿 假设该保险公司的分析家估计本年其投资组合平均收益率为 8%。 。 预期索赔现值=4亿 （ 预期索赔现值 亿/（1+8%）=370.4百万 ） 百万 估计每个保单持有人的净保险费= 估计每个保单持有人的净保险费 370.4百万 百万/100 000=3 704 百万
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Liabilities(%) CN 81.4 14.9 US 65.8 27.2
Banks' Income Statement
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Banking Risks and Returns
Profitability, liquidity, and solvency trade-off
受委托的监管者(deligated monitor) 受委托的监管者
Williamson( 1986) , Krasa 和Villamil( 1992) 等文献都抓住了银 行的这一重要特征: 银行是大量投资人和融资人的联合, 行的这一重要特征: 银行是大量投资人和融资人的联合, 能集中处 理监管企业的任务, 并且能更好的解决信息不对称问题。 理监管企业的任务, 并且能更好的解决信息不对称问题。银行的 这一优势核心在于其多元化发放贷款, 因此对存款人来说, 这一优势核心在于其多元化发放贷款, 因此对存款人来说, 只要银 行足够大, 就不需要监管银行能否按时还款。 行足够大, 就不需要监管银行能否按时还款。
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Function of Financial Markets
1. Allows transfers of funds from person or business without investment opportunities to one who has them 2. Improves economic efficiency
The fundamental objective of bank management is to maximize shareholders’ wealth, i.e., to maximize the market value of the bank’s common stock. Wealth maximization requires the manager to evaluate and balance the trade-offs between the opportunity for higher returns, the probability of not realizing those returns, and the possibility that the bank might fail. Risk management is the process by which managers identify, assess, monitor, and control risks associated with a financial institution’s activities.
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Asymmetric Information: Adverse Selection and Moral Hazard
Moral Hazard
Example: int. rate = 8% - Loan approved for Project I: 10% return with 100% probability of success - New opportunity Project II: 100% return with 80% probability of success (20% prob. of failure)
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Types of Financial Intermediaries
Investment Intermediaries
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Types of Financial Intermediaries
Contractual Savings Institutions(契约性储蓄机构包 括各种保险公司和养老基金。它们的共同特征是 以合约方式定期定量地从持约人手中收取资金（ 保险费或养老金预付款），然后按合约规定向持 约人提供保险服务或养老金。)