【導(dǎo)讀】decreases.decreasesworth.–Assetwrite-downs.–Declineinlending.BankingCrisis. disintermediation.–Decreaseinlending.country.Dynamicsofpast.problem.

　　

【正文】 t a x e sa s s e t s?a s s e t se q u i t y c a p i t a lR O E = R O A ? E MCopyright 169。 2020 Pearson AddisonWesley. All rights reserved. 942 Capital Adequacy Management: Safety ? Benefits the owners of a bank by making their investment safe ? Costly to owners of a bank because the higher the bank capital, the lower the return on equity ? Choice depends on the state of the economy and levels of confidence Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 943 Application: How a Capital Crunch Caused a Credit Crunch in 2020 ? Shortfalls of bank capital led to slower credit growth – Huge losses for banks from their holdings of securities backed by residential mortgages. – Losses reduced bank capital ? Banks could not raise much capital on a weak economy, and had to tighten their lending standards and reduce lending. Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 944 Credit Risk: Overing Adverse Selection and Moral Hazard ? Screening and Monitoring –Screening –Specialization in lending –Monitoring and enforcement of restrictive covenants Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 945 Credit Risk: Overing Adverse Selection and Moral Hazard ? Longterm customer relationships ? Loan mitments ? Collateral and pensating balances ? Credit rationing Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 946 InterestRate Risk ? If a bank has more ratesensitive liabilities than assets, a rise in interest rates will reduce bank profits and a decline in interest rates will raise bank profits First National Bank Assets Liabilities Ratesensitive assets $20M Ratesensitive liabilities $50M Variablerate and shortterm loans Variablerate CDs Shortterm securities Money market deposit accounts Fixedrate assets $80M Fixedrate liabilities $50M Reserves Checkable deposits Longterm loans Savings deposits Longterm securities Longterm CDs Equity capital Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 947 Interest Rate Risk: Gap Analysis ? Basic gap analysis: (rate sensitive assets rate sensitive liabilities) x ?? interest rates = ??? in bank profit ? Maturity bucked approach – Measures the gap for several maturity subintervals. ? Standardized gap analysis – Accounts for different degrees of rate sensitivity. ? ?Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 948 Interest Rate Risk: Duration Analysis %?? in market value of security ? percentage point ?? in interest rate x duration in years. ? Uses the weighted average duration of a financial institution’s assets and of its liabilities to see how worth responds to a change in interest rates. ? ?Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 949 OffBalanceSheet Activities ? Loan sales (secondary loan participation) ? Generation of fee ine. Examples: – Servicing mortgagebacked securities. – Creating SIVs (structured investment vehicles) which can potentially expose banks to risk, as it happened in the subprime financial crisis of 20202020. Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 950 OffBalanceSheet Activities ? Trading activities and risk management techniques – Financial futures, options for debt instruments, interest rate swaps, transactions in the foreign exchange market and speculation. – Principalagent problem arises Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 951 OffBalanceSheet Activities ? Internal controls to reduce the principalagent problem – Separation of trading activities and bookkeeping – Limits on exposure – Valueatrisk – Stress testing