金融机构英文课件 (23)
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金融机构英文课件 (4)
l If we assume the default rate has a gamma distribution then the probability of m defaults has a negative binomial distribution (see equation 21.4 and Table 21.4)
Table 21.2 page 447
Initial Rating Aaa Aa A Baa Ba B Caa Ca-C Default
Rating at end
Aaa
Aa
A
Baa
Ba
B
Caa
Ca-C Default
61.83% 28.85% 7.97% 1.02% 0.23% 0.06% 0.01% 0.00% 0.04%
l They are allowed to make a constant level of risk assumption (minimum liquidity horizon is three months)
Constant Level of Risk Assumption
l Suppose a bank has a BBB bond and uses a liquidity horizon of 3 months
3.19% 59.53% 30.10% 5.72% 0.90% 0.28% 0.08% 0.01% 0.19%
0.40% 8.67% 65.07% 20.36% 3.49% 1.12% 0.26% 0.04% 0.59%
0.18% 1.44% 14.58% 63.62% 12.63% 4.57% 0.98% 0.12% 1.87%
0.01% 0.06% 0.37% 6.17% 83.45% 8.06% 0.65% 0.07% 1.16%
Table 21.2 page 447
Initial Rating Aaa Aa A Baa Ba B Caa Ca-C Default
Rating at end
Aaa
Aa
A
Baa
Ba
B
Caa
Ca-C Default
61.83% 28.85% 7.97% 1.02% 0.23% 0.06% 0.01% 0.00% 0.04%
l They are allowed to make a constant level of risk assumption (minimum liquidity horizon is three months)
Constant Level of Risk Assumption
l Suppose a bank has a BBB bond and uses a liquidity horizon of 3 months
3.19% 59.53% 30.10% 5.72% 0.90% 0.28% 0.08% 0.01% 0.19%
0.40% 8.67% 65.07% 20.36% 3.49% 1.12% 0.26% 0.04% 0.59%
0.18% 1.44% 14.58% 63.62% 12.63% 4.57% 0.98% 0.12% 1.87%
0.01% 0.06% 0.37% 6.17% 83.45% 8.06% 0.65% 0.07% 1.16%
金融市场与金融机构英文课件 (10)
Purpose of Finance Companies
• Most finance companies issue commercial paper and use the proceeds to make loans. • Unlike banks, finance companies are largely unregulated. States may limit the size of a loan contract to a consumer borrower, but that is about it. • Exist to service both consumers and businesses with tailored products (usually not offered by banks).
Chapter Preview
– Regulation of Finance Companies – Finance Company Balance Sheet
History of Finance Companies
• Finance companies date back to the 1800s when retailers started offering installment credit, requiring equal payments to repay loans. Prior to this, loans were typically balloon loans. • Mass marketing of autos really developed the industry. Since banks didn’t offer car loans in the early 1990s, finance companies developed to fill the void.
国际金融机构PPT课件PPT41页
第15页，共41页。
国际金融
国际货币基金资金来源
IMF的主要基金来源于各成员国缴纳的基 金份额。此外，IMF还可以通过向成员国 借款和设立信托基金来获得资金。
第16页，共41页。
份额
国际金融
份额是指每一IMF成员国必须缴纳一定数额的款项。 IMF的运行类似于一家股份制公司，份额相等于一 国参股的数量。会员国缴纳的份额对于会员国具有 三个重要的作用：一、决定会员国从IMF借款的额 度；二、决定会员国的投票权大小；三、决定会 员国从IMF分得特别取款权的多少。在基金组织内，
General Arrangements to Borrow, GAB),设立于1962年 ，有11个参加国。二、借款新安排(The New Arrangements to Borrow, NAB)设立于1997年，有25个 成员国参与。借款新安排规定，当IMF美元足够的基
金向成员国提供金融援助的时候，或者为了排除危害 国际金融体系稳定的潜在危险而急需大量现金时，25
IMF的宗旨
国际金融
（一）、建立一个永久性的国际货币机 构，促进国际货币合作；
（二）、促进国际贸易的扩大与平衡发 展，借以提高和维持就业、实际所得于 较高的水平之上，并开发各会员国的生 产资源；
（三）、促进汇率之稳定，维持会员国 之间的正常汇兑关系，避免竞争性的货 币贬值；
第6页，共41页。
第25页，共41页。
特别提款权
国际金融
为了解决会员国国际储备不足的问题，IMF在1969年的年 会上正式通过“十国集团”提出的创设特别提款权
(Special Drawing Right, SDR)的方案，并于1970年1月正式 “发行”。SDR的分配是按照各成员国在IMF的份额的
金融市场与金融机构英文课件 (2)
– The Bank Balance Sheet – Basics of Banking – General Principles of Bank Management – Off-Balance Sheet Activities – Measuring Bank Performance
The Bank Balance Sheet
The Bank Balance Sheet: Assets (b)
• Securities: these are either U.S. government/agency debt, municipal debt, and other (non-equity) securities. These m Short-term Treasury debt is often referred to as secondary reserves because of its high liquidity.
• Banks invest these liabilities (sources) into assets (uses) in order to create value for their capital providers
The Bank Balance Sheet
• The next slide shows the aggregate balance sheet for all commercial banks as of 2007. We will then step through each item, discussing each in detail.
• The Balance Sheet is a list of a bank’s assets and liabilities
The Bank Balance Sheet
The Bank Balance Sheet: Assets (b)
• Securities: these are either U.S. government/agency debt, municipal debt, and other (non-equity) securities. These m Short-term Treasury debt is often referred to as secondary reserves because of its high liquidity.
• Banks invest these liabilities (sources) into assets (uses) in order to create value for their capital providers
The Bank Balance Sheet
• The next slide shows the aggregate balance sheet for all commercial banks as of 2007. We will then step through each item, discussing each in detail.
• The Balance Sheet is a list of a bank’s assets and liabilities
金融英语课件
• 金匠发现在为客户保护货币时，存款 和取款往往相互冲销，这样保留在保险 箱的存款余额还算是稳定。
金融英语
• 8．The system of keeping one’s money on deposit with the goldsmith was safer than leaving money where it could be easily stolen, but it was a bit nuisance to have to visit the goldsmith each time money needed.
• 交易中介是交换所出售商品和服务时被 普遍接受的任何东西。玉米不是最终的 交换物而是最终交换物的中介。
金融英语
• 5 ． Rather than having to quote rate of exchange for each good in terms of every other good, as was the case in the barter economy, the price of everything could be measured in terms of corn.
• rate of inflation 通货膨胀率 scarce resources 稀缺资源
• social cost of funds 资 金 的 社 会 成 本 credit institution 信贷机构
• principal 资金 本金 基本财产 denomination
面值
金融英语
• 1. In any economy in which decision by individual economic units play a major role, interest rates perform several important function through which they exercise a pervasive influence over economic decision and performance, similar in scope to the influence of other economy-wide prices such as the exchange rate and the basic wage rate.
金融英语
• 8．The system of keeping one’s money on deposit with the goldsmith was safer than leaving money where it could be easily stolen, but it was a bit nuisance to have to visit the goldsmith each time money needed.
• 交易中介是交换所出售商品和服务时被 普遍接受的任何东西。玉米不是最终的 交换物而是最终交换物的中介。
金融英语
• 5 ． Rather than having to quote rate of exchange for each good in terms of every other good, as was the case in the barter economy, the price of everything could be measured in terms of corn.
• rate of inflation 通货膨胀率 scarce resources 稀缺资源
• social cost of funds 资 金 的 社 会 成 本 credit institution 信贷机构
• principal 资金 本金 基本财产 denomination
面值
金融英语
• 1. In any economy in which decision by individual economic units play a major role, interest rates perform several important function through which they exercise a pervasive influence over economic decision and performance, similar in scope to the influence of other economy-wide prices such as the exchange rate and the basic wage rate.
金融市场与金融机构英文课件 (3)
• Capital must exceed 8% of the banks riskweighted assets and off-balance sheet activities (details follow)
• Has this spread of insurance been a good thing? Did it improve the performance of the financial system and prevent crises?
• Oddly enough, the answer appears to be no.
Asymmetric Information and Bank Regulation
1. Government Safety Net: Deposit Insurance and the FDIC
• The FDIC handles failed banks in one of two ways: the payoff method, where the banks is permitted to fail, and the purchase and assumption method, where the bank is folded into another banking organization.
1. Government Safety Net: Deposit Insurance and the FDIC:
• Regulators are reluctant to let the largest banks fail because of the potential impact on the entire system. This is known as the “Too Big to Fail” doctrine. This increases the moral hazard problem for big banks and reduces the incentive for large depositors to monitor the bank.
• Has this spread of insurance been a good thing? Did it improve the performance of the financial system and prevent crises?
• Oddly enough, the answer appears to be no.
Asymmetric Information and Bank Regulation
1. Government Safety Net: Deposit Insurance and the FDIC
• The FDIC handles failed banks in one of two ways: the payoff method, where the banks is permitted to fail, and the purchase and assumption method, where the bank is folded into another banking organization.
1. Government Safety Net: Deposit Insurance and the FDIC:
• Regulators are reluctant to let the largest banks fail because of the potential impact on the entire system. This is known as the “Too Big to Fail” doctrine. This increases the moral hazard problem for big banks and reduces the incentive for large depositors to monitor the bank.
金融专业英语教学课件
2013-9-27 Chen Jianhui 20
M2 is the most often used reference to money supply. M3 is the most often used reference to M2 is an even broader definition of the money supply, as it includes all money supply. M2是衡量货币供应量最 常用的参考值。 of the components of M1 and M2 plus a number金融资产 of financial assets and financial assets instruments generally employed by financial instruments n. 金融票据 large (jumbo) certificates of deposit.
2013-9-27
Chen Jianhui
8
Strictly enforced government regulations control how many of the deposited dollars must be held in fractional reserve loans. reserve to support deposit money expansion activities 部分准备金存 Loans made against this fractional 款扩张业务 reserve are a key factor in banking and current fractional reserve deposit money expansion activities. a
M2 is the most often used reference to money supply. M3 is the most often used reference to M2 is an even broader definition of the money supply, as it includes all money supply. M2是衡量货币供应量最 常用的参考值。 of the components of M1 and M2 plus a number金融资产 of financial assets and financial assets instruments generally employed by financial instruments n. 金融票据 large (jumbo) certificates of deposit.
2013-9-27
Chen Jianhui
8
Strictly enforced government regulations control how many of the deposited dollars must be held in fractional reserve loans. reserve to support deposit money expansion activities 部分准备金存 Loans made against this fractional 款扩张业务 reserve are a key factor in banking and current fractional reserve deposit money expansion activities. a
金融英语(4-13)ppt课件(全)
➢ Accommodating investment needs.
Financial institutions serve as intermediaries within the financial markets to channel funds from investors to corporations.
➢ Regulators.
Most countries need regulators who control their financial institutions and regulate dealings in securities markets with the objects of ensuring that the financial institutions are able to honour their commitments, that people have access to relevant information before they enter into contracts, and dealing in securities is fair.
Chapter 4 Financial Markets 4.1 Types of Financial Markets
Direct financial market and indirect financial market
• In direct financial market, borrowers borrow funds directly from lenders without using a third party service.
• International financial markets allow a number of traders who are not only across the country but also around the world to make transactions.
Financial institutions serve as intermediaries within the financial markets to channel funds from investors to corporations.
➢ Regulators.
Most countries need regulators who control their financial institutions and regulate dealings in securities markets with the objects of ensuring that the financial institutions are able to honour their commitments, that people have access to relevant information before they enter into contracts, and dealing in securities is fair.
Chapter 4 Financial Markets 4.1 Types of Financial Markets
Direct financial market and indirect financial market
• In direct financial market, borrowers borrow funds directly from lenders without using a third party service.
• International financial markets allow a number of traders who are not only across the country but also around the world to make transactions.
金融市场与金融机构英文课件ppt.ppt
─ Mutual Savings Banks ─ Savings and Loan Associations ─ Savings and Loans in Trouble: The Thrift Crisis ─ Political Economy of the Savings and Loan Crisis
篮球比赛是根据运动队在规定的比赛 时间里 得分多 少来决 定胜负 的，因 此，篮 球比赛 的计时 计分系 统是一 种得分 类型的 系统ຫໍສະໝຸດ Chapter Preview
Consumer banking was almost non-existent in the early 1800s. Commercial banks were common, but their business was primarily restricted to commercial loans and services. But, in the late 1800s, a new type of institution opened—the savings and loan association. This is the topic of chapter 25.
Mutual Savings Banks
▪ Depositors are the owners of the firm
▪ Stock in the bank is not sold or issued, but rather depositors own a share of the bank in proportion to their deposits
© 2012 Pearson Education. All rights reserved.
篮球比赛是根据运动队在规定的比赛 时间里 得分多 少来决 定胜负 的，因 此，篮 球比赛 的计时 计分系 统是一 种得分 类型的 系统ຫໍສະໝຸດ Chapter Preview
Consumer banking was almost non-existent in the early 1800s. Commercial banks were common, but their business was primarily restricted to commercial loans and services. But, in the late 1800s, a new type of institution opened—the savings and loan association. This is the topic of chapter 25.
Mutual Savings Banks
▪ Depositors are the owners of the firm
▪ Stock in the bank is not sold or issued, but rather depositors own a share of the bank in proportion to their deposits
© 2012 Pearson Education. All rights reserved.
金融机构英文课件 (9)
3.00 (0.80) 0.90 (2.50)
Pre-Tax Operating Income 0.60
Year 2016
l What happens in year 2016 if it is the same as year 2015 except that provision for loan losses is 4.0 instead of 0.8?
l Investors who bid $85 or more obtained 74.2% of the shares they had bid for
Securities Trading
l Exchange-traded vs OTC l Why do banks trade? l Brokerage services
Banks
Nature of Banking
l Commercial banking
l Taking deposits, making loans (wholesale or retail)
l Money center banks operate in the wholesale market and often fund themselves by borrowing
Example of Simple Bank Balance Sheet: End 2015 (Table 2.2, page 28)
Assets
Cash
5
Marketable Securities 10
Loans
80
Fixed Assets
5
Total
100
Liabilities
Deposits
l In the US the FDIC has provided protection for depositors since 1933
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l If the stress testing committee comes up with extreme scenarios more regulatory capital is likely to be required
l The stress testing committee may therefore has an incentive to “water down” the scenarios they consider
What to do managers place more reliance on stress testing results or VaR results
l One idea is to ask the stress testing committee to assign probabilities to scenarios (e.g. 0.05% or 0.2% or 0.5%)
0.00050 0.00100 0.00298 0.00498 0.00696 0.00896 0.01094 0.01292 0.01490 0.01990 0.02188
0.02386
0.02584 …. ….
Subjective vs Objective Probabilities
l Objective probabilities are calculated from data l Subjective probabilities is based on a individual’s
Core vs Peripheral Variables
l If scenario generated involves only a few “core” variables, regress other “peripheral” variables on the core variables to determine their movements. (Kupiec, 1999)
judgment. l Objective probabilities are inevitably backward
looking l The procedure just described is a way of
combining subjective and objective probabilities.
l The stress scenarios can then be integrated with the historical simulation scenarios to produce a composite VaR
Example from Chapter 13 (page 475)
Scenario
s5 s4 v494 s3 v339 s2 v349 v329 v487 s1 v227
v131
v238 …. ….
Loss ($000s)
850.000 750.000 477.814 450.000 345.435 300.000 282,204 277.041 253.385 235.000 217.974
l Often an adverse scenario has an immediate effect on the value of a portfolio and a “knock on” effect
l Examples
l Credit crisis of 2007 l LTCM
Reverse Stress Testing (page 468-469)
l Use an algorithm to search for scenarios where large losses occur
l Can be a useful input to the stress testing committee.
What are the Incentives of a Financial Institution?
Scenario Analysis and Stress Testing
Stress Testing
l Key Questions
l How do we generate the scenarios? l How do we evaluate the scenarios? l What do we do with the results?
l Ideally the relationship between peripheral and core variables should be estimated for stressed market conditions (Kim and Finger, 2000)
Making Scenarios Complete
Generating the Scenarios
l Stress individual variables l Choose particularly days when there were
big market movements and stress all variables by the amount they moved on those days l Form a stress testing committee of senior management and ask it to generate the scenarios
Scenarios Chosen by Regulators
l A part of US, UK, and EU regulation l CCAR for largest US banks considers recession
scenarios similar to 1973-75, 1981-81, and 20072009 and banks must submit capital management plan l DFAST for medium sized banks involves similar scenarios but no capital management plans are required l If banks fail the tests they have to raise more capital l Regulators have to make sure banks do not game the system (See Business Snapshot 22.2)
205.256
201.389 …. ….
Probability
0.00050 0.00050 0.00198 0.00200 0.00198 0.00200 0.00198 0.00198 0.00198 0.00500 0.00198
0.00198
0.00198 …. ….
Cumul. Probability
l The stress testing committee may therefore has an incentive to “water down” the scenarios they consider
What to do managers place more reliance on stress testing results or VaR results
l One idea is to ask the stress testing committee to assign probabilities to scenarios (e.g. 0.05% or 0.2% or 0.5%)
0.00050 0.00100 0.00298 0.00498 0.00696 0.00896 0.01094 0.01292 0.01490 0.01990 0.02188
0.02386
0.02584 …. ….
Subjective vs Objective Probabilities
l Objective probabilities are calculated from data l Subjective probabilities is based on a individual’s
Core vs Peripheral Variables
l If scenario generated involves only a few “core” variables, regress other “peripheral” variables on the core variables to determine their movements. (Kupiec, 1999)
judgment. l Objective probabilities are inevitably backward
looking l The procedure just described is a way of
combining subjective and objective probabilities.
l The stress scenarios can then be integrated with the historical simulation scenarios to produce a composite VaR
Example from Chapter 13 (page 475)
Scenario
s5 s4 v494 s3 v339 s2 v349 v329 v487 s1 v227
v131
v238 …. ….
Loss ($000s)
850.000 750.000 477.814 450.000 345.435 300.000 282,204 277.041 253.385 235.000 217.974
l Often an adverse scenario has an immediate effect on the value of a portfolio and a “knock on” effect
l Examples
l Credit crisis of 2007 l LTCM
Reverse Stress Testing (page 468-469)
l Use an algorithm to search for scenarios where large losses occur
l Can be a useful input to the stress testing committee.
What are the Incentives of a Financial Institution?
Scenario Analysis and Stress Testing
Stress Testing
l Key Questions
l How do we generate the scenarios? l How do we evaluate the scenarios? l What do we do with the results?
l Ideally the relationship between peripheral and core variables should be estimated for stressed market conditions (Kim and Finger, 2000)
Making Scenarios Complete
Generating the Scenarios
l Stress individual variables l Choose particularly days when there were
big market movements and stress all variables by the amount they moved on those days l Form a stress testing committee of senior management and ask it to generate the scenarios
Scenarios Chosen by Regulators
l A part of US, UK, and EU regulation l CCAR for largest US banks considers recession
scenarios similar to 1973-75, 1981-81, and 20072009 and banks must submit capital management plan l DFAST for medium sized banks involves similar scenarios but no capital management plans are required l If banks fail the tests they have to raise more capital l Regulators have to make sure banks do not game the system (See Business Snapshot 22.2)
205.256
201.389 …. ….
Probability
0.00050 0.00050 0.00198 0.00200 0.00198 0.00200 0.00198 0.00198 0.00198 0.00500 0.00198
0.00198
0.00198 …. ….
Cumul. Probability