銀行管理

前言

北京大學(xué)出版社策劃出版的《金融學(xué)精選教材》系列圖書與讀者見面了，這是一件令人興奮的好事。中國是一個金融人才短缺的國度，急需培養(yǎng)一大批高質(zhì)量、具有國際先進(jìn)知識的優(yōu)秀金融人才，從而增強(qiáng)在經(jīng)濟(jì)全球化背景下的國際競爭力。而我們深知，要培養(yǎng)出一流的金融人才，不僅需要一流的師資和學(xué)者、一流的教學(xué)管理水平，而且還需要一流的教科書。作為在國內(nèi)外從事了多年金融學(xué)研究和教學(xué)的學(xué)者，我們深感國內(nèi)教材建設(shè)嚴(yán)重滯后，教材老化、脫離現(xiàn)實(shí)、遠(yuǎn)離前沿的現(xiàn)象非常嚴(yán)重。雖然隨著近年來一批國外原版教科書的陸續(xù)引進(jìn)，上述情況已經(jīng)有所改善，但與國外相比還存在著很大的差距。將國外最優(yōu)秀的著作引入中國，讓國內(nèi)的學(xué)生能夠接觸到國際最經(jīng)典和前沿的理論知識，讓國內(nèi)的教師能夠借鑒國際上最成熟先進(jìn)的教材編寫方式和教學(xué)方式，進(jìn)而推動中國的現(xiàn)代金融學(xué)教育，是中國的教育界和出版界共同肩負(fù)的神圣責(zé)任和使命。正是本著這樣一種強(qiáng)烈的使命感，北京大學(xué)出版社在組織國內(nèi)頂級專家編寫優(yōu)秀金融學(xué)教材和專著的同時，特地精選了一批在國際上享有盛譽(yù)的經(jīng)典力作?！督鹑趯W(xué)精選教材》系列所入選的圖書包括三種類型：在專業(yè)領(lǐng)域內(nèi)有著廣泛影響的權(quán)威之作，比如J．Weston，Mark Mitchell和J．Harold Mul}mrin教授撰寫的有著廣泛影響的并購重組和公司治理教材Takeorers，Restructring,and corporate Governance（第4版）；國外最具暢銷性的金融學(xué)教材，如Copeland等人的nancial Theory and corporate policy（第4版）；著名金融學(xué)專家的最新力作，如貨幣銀行學(xué)專家Steplaen G．Cecchetti教授編著的最新貨幣銀行教材Moneyr，Banking and Financial markts，等等。

內(nèi)容概要

　　本書以風(fēng)險管理為主線，重點(diǎn)介紹了決策過程，并為讀者提供了一個理解銀行管理的獨(dú)特方法。在幾個關(guān)鍵節(jié)中，介紹了如何運(yùn)用金融模型或決策程序，并用樣本數(shù)據(jù)加以展示。讀者不僅可以觀察到某些因素是如何影響信貸、投資、融資和定價決策的，而且可以更好地理解風(fēng)險與回報(bào)之間的平衡關(guān)系。本書適用于高年級本科生和研究生的商業(yè)銀行管理等相關(guān)課程，也適合作為銀行從業(yè)者的培訓(xùn)教材。

作者簡介

S.Scott MacDonald，美國得克薩斯農(nóng)工大學(xué)博士sw銀行業(yè)研究生院(SWGSB)基金會的董事長和首席執(zhí)行官、銀行董事集合會理事、南衛(wèi)理公會派教徒大學(xué)Edwin L Cox商學(xué)院金融學(xué)副教授。MacDonald博士曾獲得許多教學(xué)研究獎金，并經(jīng)常在銀行界、職業(yè)項(xiàng)目和銀行業(yè)學(xué)校的研討會上發(fā)表演講。他在Jortnal of Financial Economice.The Journal of Business TheJournal of Futures Markets The Review of FuturesMarkets等多家學(xué)術(shù)期刊上發(fā)表了文童。Timothy W．Koch，美國普渡大學(xué)經(jīng)濟(jì)學(xué)博士，南卡羅來納大學(xué)金融學(xué)教授、南卡羅來納銀行家協(xié)會主席?？屏_拉多銀行業(yè)研究生院院長．并在美國多所職業(yè)銀行家研究生院任教。他還是南卡羅來納大學(xué)銀行投資與財(cái)務(wù)管理研究生院的指導(dǎo)老師，并且是銀行業(yè)研討會的領(lǐng)導(dǎo)者。作為美國財(cái)政部援助東歐私人銀行業(yè)計(jì)劃的一部分，他還給波蘭、匈牙利、斯洛伐克和烏克蘭的銀行家講授風(fēng)險管理方面的課程。Koch博士的研究領(lǐng)域是銀行風(fēng)險管理、績效分析和提高、金融期貨和固定收益證券定價以及公共財(cái)政。他在Journal of Finance ,Joumal of，F(xiàn)inancial ＆Quantitative Analysis Journal FuturesMarkets等多家學(xué)術(shù)期刊上發(fā)表了文章。

書籍目錄

第1部分 銀行業(yè)及其管制概覽第1章 變遷中的銀行業(yè)環(huán)境第2部分 銀行績效評估第2章 銀行績效分析第3章 非利息收益和非利息費(fèi)用的管理第3部分 利息風(fēng)險管理第4章 固定收益證券定價第5章 利率風(fēng)險管理：缺口和收益敏感度第6章 利率風(fēng)險管理：久期缺口和股權(quán)經(jīng)濟(jì)價值第7章 利用衍生金融工具管理利率風(fēng)險第4部分 資金成本、銀行資本和流動性管理第8章 銀行融資和流動性管理第9章 資本的有效利用第5部分 企業(yè)和個人信貸第10章 信貸政策和貸款特征概述第11章 商業(yè)貸款評估第12章 消費(fèi)信貸評估第6部分 投資組合管理和專題第13章 投資組合管理第14章 全球銀行業(yè)

章節(jié)摘錄

interest rate environments．This net interest income simulation，or"What if?"forecasting'provides Intormation regarding how much net interest income changes when rates are alternatively assumed to rise and ta．1lby amounts．It takes into account shifts in asset and liability composition and embedded options in a bank's asset0 and liabilities and off-balance sheet activities．It provides a better understanding of potential changes in 00rnmgs than simple static models．As such，it is labeled earnings sensitivity analysis．Throughout，we provid0 num examples that clarify how changes in interest rates and other factors affect potential earningsPrior to the deregulation of interest rates in the mid-1980s，banks and savings and loans were effectively guaran'teed a positive spread between what they earned in interest on loans-and securities and what they paid in nter liabilities．Virtually all institutions charged the maximum rates allowed on assets and paid the maxlm．"m rates．a(chǎn)1wed on liabilities．They were not allowed by regulation to compete on the basis of interest rates l hus，charging 6 Dercent on loans and paying 2 percent on deposi ensured a 4 percent spread if loans didn't default Si"0e mterest rate deregulation，banks are no longer guaranteed a profitable spread between asset yields aJld mng costs Intere．0t rate fluctuations alter bank earnings and the value of stockholders'claims unless management implements to reduce their impact．Interest rate risk management is extremely important because no one can consisten．tly．for．e．-cast interest rates accurately A bank's asset and liability management committee(ALCO)or alternativey：management committee，is responsible for measuring and monitoring interest rate risk,It also recommends pricing，investment，funding，and marketing strategies to achieve the desired trade。off between risk and expem．remm．  Bank managers generally have greater expertise in managing credit risk than interest rate risk，esp，aIy atm：institutions．This reflects the perception that earnings problems and possible bank failure are more close．1y．tied to bad loans than mismatched pricing of assets and liabilities．They often rely on brokers to recommend specitic j"veStmem securities for purchase and sale and outsource interest rate risk analytics to consulting，compans．Duri"g．tnel010 1990s through 2004，many banks invested heavily in callable federal agency securities and mortgage。backed secu．n。ties with little Or no default risk,but with extensive call and prepayment risk．With the decline In interest。ates，tneY saw their interest income drop as borrowers refinanced high-rate mortgages so that mort ；age'backed securitie0 were paid off early and issuers called high-rate agency bonds and refinanced them at lower rates  The fundamental issue is whether bank managers understand the magnitude of interest rate risk that tneY assume and whether earnings will fall sharply when interest rates change adversely．The basic q．ues．tio"Do banks understand the nature of their interest rate bet?"and"Do banks understand how big the bet lsr  Banks use two basic models to assess interest rate risk．The first，GAP and earnings sensitivity analysis，empha-sizes income statement effects by focusing on how changes in interest rates an．d the bank's balance sheet attenn。etinterest income and net income．The second，duration gap and economic value of equity analysis，emphas．1zes．tn market value of stockholders'equity by focusing on how these same types of changes affect the market valu0 ot 00一Unexpected changes in interest rates can significantly alter a bank's profitability．GAP and earnings!ensitivitYanaiys。is targets the volatility in net interest income associated with changing interest rates and balance sheetposition．epending on the cash flow characteristics of a bank's assets and liabilities and the exince of embedrde-d——options,interest rate changes may raise or lower net interest income．Consider a bank that makes 30-year,fixed-rate mortgage loans financed primarily with 3-month to deposits．Why would management choose this portfolio?The bank receives interest and principal payments 0"themortgages monthly and pays monthly interest on deposits．With an upward sloping yield curve，the mortg．gat ewill exceed the short-term deposit rates by a large spread．For example，if the mortgage rate is 7 percent and trates are 2 percent,the initial spread is 5 percent．This initial spread should be large enough to cover the Cos．t of doingbusiness，cover the expected change in rates over the investment horizon，and provide for a reasonable proht  What happens if interest rates change?Because the mortgages have a 30-year maturity,these rates are flxed as1ong as the mortgages are outstanding．Rate changes will，therefore，affect the deposit rates and not the mortgage rates directly．If the deposit rates rise，the spread wiu fall below 5 percent．Similarly,if deposit rates fall，the s．preadwill rise above 5 percent．The bank's choice oflong-term，fixed-rate assets financed by short。term deposits evidences a specific interest rate bet．Rising rates lower net interest income while falling rates mcrease net interest lncom．Of course。it's not quite that simple．For one，the balance sheet is dynamic and thus changing constantly overtime．Rate changes are only one factor that affects earnings．Similarly,an upward sloping yield curve indicat．es．a(chǎn) consensus view that short．term rates are going to increase over time．For a bank to take the position deoc'ibod，management is essentially betting that rates will not rise above expectations.Finally,there are embedded optio"sin the mortgagesthatwillm,dyalterthecashflowsandeventuaLinterestpaymentsandreceiptsifrates change．．Inthe case of falling rates，some mortgage borrowers will refinance and the bank will lose some interest lncom0 be-causeitmust reinvestthe．proceedsatlower rates．

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