Managing Bank Liquidity Risk

银行业务英语试题及答案一、选择题（每题2分，共20分）1. What is the most common method of payment in international trade?A. CashB. Letter of CreditC. ChequeD. Credit Card答案：B2. Which of the following is not a type of bank account?A. Checking AccountB. Savings AccountC. Fixed Deposit AccountD. Insurance Account答案：D3. What does the abbreviation "SWIFT" stand for in banking?A. Society for Worldwide Interbank Financial TelecommunicationB. Secure Worldwide International Financial TransfersC. Secure World International Financial ServicesD. Society of International Financial Services答案：A4. What is the primary function of a bank?A. To provide loansB. To accept deposits and make loansC. To sell insuranceD. To offer investment advice答案：B5. What is the term used for the process of verifying the authenticity of a document?A. NotarizationB. AuthenticationC. VerificationD. Certification答案：B6. Which of the following is a type of risk associated with banking?A. Market RiskB. Credit RiskC. Liquidity RiskD. All of the above答案：D7. What is the term used for the interest rate at which banks lend money to each other?A. Prime RateB. LIBORC. APRD. APRA答案：B8. What is the term used for the process of transferring money from one bank to another?A. RemittanceB. Wire TransferC. Cheque ClearingD. Cash Withdrawal答案：B9. What is the term used for the practice of offering a lower exchange rate to customers than the market rate?A. ArbitrageB. SpreadC. MarkupD. Discount答案：C10. What does the term "forfaiting" refer to in banking?A. The sale of goods on creditB. The buying and selling of foreign currenciesC. The discounting of bills of exchange without recourseD. The process of issuing a letter of credit答案：C二、填空题（每题1分，共10分）11. The ________ is a document issued by a bank guaranteeing the payment of a specified amount to a named payee.答案：Letter of Credit12. Banks often offer ________ services to their customers to help them manage their finances.答案：Banking13. The ________ is a document that represents the ownership of goods and is used in international trade.答案：Bill of Lading14. A ________ is a financial instrument that represents a debt owed by one party to another.答案：Bond15. The ________ is the process of converting one currency to another.答案：Foreign Exchange16. Banks use ________ to protect themselves against the risk of a borrower defaulting on a loan.答案：Collateral17. The ________ is the rate at which a bank lends to its most creditworthy customers.答案：Prime Rate18. A ________ is a financial statement that shows a company's assets, liabilities, and equity at a particular point in time.答案：Balance Sheet19. The ________ is the process of determining the creditworthiness of a potential borrower.答案：Credit Assessment20. A ________ is a type of investment account that allowsfor tax-deferred growth.答案：Retirement Account三、简答题（每题5分，共30分）21. What are the main functions of a commercial bank?答案：The main functions of a commercial bank include accepting deposits, providing loans, facilitating payments and money transfers, offering financial advice, and managing risk.22. Explain the concept of "fractional reserve banking."答案：Fractional reserve banking is a system where banks are only required to hold a fraction of their customers' deposits in reserve, while the rest can be lent out to generate income.23. What is the role of the central bank in an economy?答案：The role of the central bank includes implementing monetary policy, regulating the financial system, maintaining financial stability, managing the country's foreign exchange reserves, and issuing currency.24. Describe the process of a bank loan application.答案：The process of a bank loan application typicallyinvolves the borrower submitting an application, providing necessary documentation, undergoing a credit assessment, and, if approved, signing a loan agreement.四、论述题（共40分）25.。

Principles for Sound Liquidity Risk Management and Supervision，2008
Principle 8 of the Sound Principles focuses specifically on intraday liquidity risk and states that:
intraday liquidity flows.
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Basel III: International framework for liquidity risk measurements, standards and monitoring
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The BCBS in consultation with the CPSS:
The aim of the proposed indicators is to enable
banking supervisors to monitor a bank’s intraday
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Principle 8 identifies six operational elements-- a bank’s strategy for managing intraday liquidity risk(2)
Section III: Indicators--stress scenarios
Section IV : Key application issues

Liquidity Risk is the Potential of Having an Unexpected Shortfall for Meeting Payment Obligations
Business of financial intermediation is fraught with liquidity risk Banks are liquidity providers for both depositors and borrowers All banks use short-term funding such as deposits and commercial paper to fund long-term assets Liquidity risk is ever-present in a bank, but severe liquidity crises typically result from severe credit, market, or operational risk events
Bear Counterparty Stearns, Lehman Bros, Exposure LTCM, AIG
To construct liquidity stress scenarios tailored to your institution, an intimate understanding of the balance sheet is required
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理解资产负债表是发现流动性风险的前提
银行 表外业务
资产
负债
Continental 行业 Illinois 风险暴露

护 他们的利益（代表假说） 银行的专业性，信息的不对称，储蓄者没有能力
了 解银行的经营活动，是否从事高风险的业务； 银行的高杠杆率，道德风险突出
维持银行体系的安全和稳定
银行是支付系统的核心 有必要时为银行提供流动性
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三、巴塞尔银行监管国际委员会
1974年，前联邦德国的赫尔斯塔银行和美国的富兰克林国民银行相继倒闭。 这两家著名的国际性银行的倒闭，使监管机构在惊愕之余开始全面审视拥有 广泛国际业务的银行监管问题。1974年9月，由国际清算银行发起，美国、 英国、法国、前联邦德国、意大利、日本、荷兰、加拿大、比利时、瑞典(简 称“十国集团”)以及瑞士、卢森堡等2个国家的中央银行官员在瑞士巴塞尔 举行会议，讨论跨国银行的国际监督与管理问题。1975年2月，会议成立了 常设监督机构“巴塞尔银行监管国际委员会”，简称巴塞尔委员会。巴塞尔 委员会就银行监管的国际合作制定先后发布了一系列文件，这些文件统称巴 塞尔协议，并成为金融监管领域中的国际惯例和银行监管最佳实践的指南。
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分数
贷款决策
低于28 29-30 31-33 34-36 37-38 39-40 41-43
拒绝贷款 最大额度500 最大额度1000 最大额度2500 最大额度3500 最大额度5000 最大额度8000
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3、信用评级（credit rating system) ——贷款风险分类
按照风险程度划分为不同档次。 目标：揭示贷款的实际价值和风险程度，真
一、为什么要对金融业进行监管？
金融体系的负外部性； 金融体系的准公共产品特性要求金融监管的存在； 信息不完备和信息不对称导致对金融监管的依赖； 金融体系效率与稳定的悖论决定了金融监管的不可或 缺；
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首先，资产的流动性不足是流动性风险的一个重要方面。当金融机构持有大量难以快速变现的资产时， 难以按时偿还债务或满足其他应急现金流需求的风险就会上升。特别是在金融市场波动剧烈的情况下， 这种风险可能会导致机构无法及时平抑市场风险，进而触发系统性风险。
其次，融资成本上升也是流动性风险的一种表现。当市场流动性紧张或风险偏好下降时，金融机构面 临的融资风险增加，融资成本随之上升。
流动性风险预案及应急措施
预案内容包括但不限于以下几方面：
1. 流动性风险的评估和监测
建立有效的监测机制，定期评估和监测流动性风险，确保风险可及时发现和识别。
2. 资金需求预测与筹措
通过分析公司的现金流量和资金需求情况，制定合理的资金筹措计划，确保足够的资金满足业务运营的需要。
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流动性风险的定义与特征
Definition and characteristics of Liquidity risk
流动性风险的概念说明
流动性风险是金融领域中一种极具挑战性的风险因素，指的是金融机构或市场参与者面临的无法及时 满足现金流需求的风险。在各种市场环境下，如金融危机、经济衰退或政策变化等，流动性风险的威 胁变得尤为突出。
2. 流动性风险管理策略
市场流动性波动可能对资产的买卖价格产生影响，进而对投资组合的价值和回报产生风险。为了应对这种风险，我们可以采取一系列的流动性风险管理策略。例如，通过提前建立紧急流动性管道或备用资金，以便在市场 流动性紧缩时能够及时应对资金需求；或者通过优化交易策略和交易成本分析，降低交易对市场流动性的冲击。这些策略旨在减少流动性风险对投资组合的影响，保障资金的流动性和可变现性。
Analysis of influencing factors of Liquidity risk

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Conclusions
What is needed What can be done
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Conclusions (contd.)
Development of liquidity management instruments Development of Infrastructure institutions (LMC, IIFM) Rethinking and development of new structure of Islamic banks (Separate treatment of Cur. and Inv. accounts)
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In practice, Islamic Banks have fixed income assets but have profit sharing on liability side. The IBs therefore, are still more stable than conventional banks.
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Smooth Sailing
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Excess Liquidity
State, Causes and Management
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Current state of liquidity in Islamic Banks
Excess Liquidity in the Market, resulting in serious business risk and affects the competitiveness of IFIs due to no return or a very low returns. In a recent study it was discovered that Islamic financial institutions are almost 50% more liquid as compared to conventional financial institutions. Out of US$ 13.6 billion total assets of Islamic banks in the study US$ 6.3 billion were found to be in liquid assets.

泽稷网校——财务金融在线教育领导品牌泽稷网校——商业银行流动性风险管理之道银行单靠资本充足率无法支持其安然度过流动性危机,而增加稳定资金来源在融资组合的占比、通过压力测试来评估经营模式中的风险点、相应的高质量流动资产以及应急融资方案才是流动性风险管理的重点。

流动性风险是商业银行经营与管理过程中最基本的风险种类,根据银监会有关《商业银行流动性风险管理办法》,流动性风险是指商业银行无法及时获得或者无法以合理成本获得充足资金,以偿付到期债务或其他支付义务、满足资产增长或其他业务发展需要的风险。

流动性风险可分为融资流动性风险和市场流动性风险,其中,融资流动性风险是指商业银行在不影响日常经营或财务状况的情况下,无法及时有效满足资金需求的风险;市场流动性风险是指由于市场深度不足或市场动荡,商业银行无法以合理的市场价格出售资产以获得资金的风险。

流动性风险因其具有较强的隐蔽性、不确定性、来源广泛等特点,加大了风险管理的挑战,流动性风险管理(liquidity risk management,LRM)也成为了商业银行持续经营管理的重要内容之一。

虽然流动性风险不是银行特有的风险,但银行吸收存款与其他资金来源、提供贷款与其他融资的经营模式,使得流动性风险管理对银行而言尤为重要。

2008年的美国次贷危机以及后来引发的全球流动性危机,更加深刻地暴露了全球银行流动性管理实践及各国流动性风险管理和监管制度中的一些弊端,也说明了对流动性风险的管理与监管更利于维持银行持续经营与整个金融体系的安全与稳定。

商业银行和监管机构应该充分了解流动性风险并对其管理及监管措施进行反省和调整。

商业银行流动性风险现状中国人民银行行长周小川5月11日在出席“清华五道口全球金融论坛”时称, 4月份银行间市场利率有些飙升,央行逆周期微调一直在做,在积攒到一定程度时需要向典型的货币政策工具、数量型工具迈台阶。

从目前情况来看,国务院明确宏观调控要有定力,不会采取大规模刺激政策。

Measures of Liquidity Risk (1/6)
• Liquidity gap
– Culp defines the liquidity gap as the net liquid assets of a firm.
• The excess value of the firm's liquid assets over its volatile liabilities. • A company with a negative liquidity gap should focus on their cash balances and possible unexpected changes in their values.
流動性風險 (Liquidity Risk) (2/3)
• Asset liquidity - An asset cannot be sold due to lack of liquidity in the market essentially a sub-set of market risk.
– This can be accounted for by:
Causes of Liquidity Risk (10/10)
• Because balance sheets differ so significantly from one organization to the next, there is little standardization in how such analyses are implemented. • Regulators are primarily concerned about systemic and implications of liquidity risk.

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流动性风险管理策略分类
Classification of Liquidity risk management strategies
资产负债匹配
流动性风险管理的重要手段之一，其核心是通过合理配置资产和负债，确保机构在面对流动性冲击时， 能够及时满足债务偿付和资产变现的需要。在中，需要关注债务到期和资产变现的时间、利率敏感性、 变动性以及流动性预期等因素，从而构建合理的匹配策略，保障机构的流动性风险稳健管理。
Logo/Company
流动性风险管理的概述
分享人-沉默之建 2023/6/24 星期六
Contents
流动性风险定义与特点 流动性风险管理的重要性 流动性风险管理的基本要素 流动性风险测量方式概述 流动性风险管理策略分类 流动性风险管理的应用案例举例
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流动性风险定义与特点
Definition and characteristics of L动性风险管理的重要组成部分，主要针对公司短期内资金需求的规划和管理。其核心在于精准预测和有效安排企业的现金流动，以确保企 业能够满足短期的资金需求。需要考虑资金供应和资金需求之间的平衡，以及在紧急情况下应对资金短缺的计划。同时，还需要针对不同的 业务和风险水平，制定合理的现金余额和流动性标准，以确保企业能够应对突发的流动性风险。
流动性风险的影响
1. 机构资产无法在市场上及时找到买家，容易导致流动性紧缩并造成资 金流出； 2. 机构债券或融资产品无法按时到期兑付或以合适利率续作，可能得面 临流动性风险的挑战； 3. 因为客观或主观原因，机构无法在市场上或其他交易场所融资，将引 起其短期现金缺失并降低其整体的资金流动性。
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流动性风险管理实践
一个重要方面是建立合理的流动性管理框架和流动性管理制度。在此基础上，可以采取多种手段进行流动性风险管理，如优化现金流管理、设立适当 的流动性缓冲区、建立紧急手段等。同时，应加强流动性风险监测和评估，及时发现和应对潜在的流动性风险，确保企业的稳健运营。

流动性风险应急演练自查报告例文英文回答：As part of our ongoing efforts to ensure the safety and stability of our operations, we recently conducted a liquidity risk emergency drill to test our preparedness for potential crises. The exercise involved simulating various scenarios where liquidity could become constrained, such as a sudden withdrawal of funds by a large client or a disruption in the financial markets.During the drill, we were able to identify several areas where our processes could be improved to better handle liquidity risk. For example, we found that our communication protocols during a crisis were not as clear as they could be, leading to confusion among team members. This highlighted the importance of having a well-defined chain of command and clear lines of communication in place.Additionally, we realized that our liquidity riskmanagement tools needed to be updated to reflect the changing market conditions. For instance, we noticed that our stress testing models did not adequately capture the potential impact of a severe market downturn, which could leave us vulnerable to liquidity shortages.Moving forward, we are taking steps to address these issues and strengthen our liquidity risk management framework. This includes updating our policies and procedures, enhancing our communication protocols, and conducting more frequent stress tests to ensure we are adequately prepared for any potential liquidity challenges.Overall, the emergency drill was a valuable learning experience that highlighted the importance of being proactive in managing liquidity risk. By identifying and addressing potential weaknesses in our processes, we are better positioned to navigate any future crises that may arise.中文回答：作为我们持续努力确保运营安全和稳定性的一部分，我们最近进行了一次流动性风险应急演练，以测试我们对潜在危机的应对准备情况。

CHAPTER 6MEASURING AND EVALUATING THE PERFORMANCE OF BANKS AND THEIR PRINCIPAL COMPETITORSGoal of This Chapter: The purpose of this chapter is to discover what analytical tools can be applied to a bank’s financial statements so that management and the public can identify the most critical problems inside each bank and develop ways to deal with those problemsKey Topics in This Chapter•Stock Values and Profitability Ratios•Measuring Credit, Liquidity, and Other Risks•Measuring Operating Efficiency•Performance of Competing Financial Firms•Size and Location Effects•The UBPR and Comparing PerformanceChapter OutlineI. Introduction:II. Evaluating a Bank's PerformanceA. Determining Long-Range ObjectivesB. Maximizing The Value of the Firm: A Key Objective for Nearly AllFinancial-Service InstitutionsC. Profitability Ratios: A Surrogate for Stock Values1. Key Profitability Ratios2. Interpreting Profitability RatiosD. Useful Profitability Formulas for Banks and Other Financial Service CompaniesE. Breaking Down Equity Returns for Closer AnalysisF. Break-Down Analysis of the Return on AssetsG. What a Breakdown of Profitability Measures Can Tell UsH. Measuring Risk in Banking and Financial Services1. Credit Risk2. Liquidity Risk3. Market Risk4. Interest-Rate Risk5. Operational Risk6. Legal and Compliance Risk7. Reputation Risk8. Strategic Risk9. Capital RiskI. Other Goals in Banking and Financial Services ManagementIII. Performance Indicators among Banking’s Key CompetitorsIV. The Impact of Size on PerformanceA. Size, Location and Regulatory Bias in Analyzing The Performance of Banks andCompeting Financial InstitutionsB. Using Financial Ratios and Other Analytical Tools to Track BankPerformance--The UBPR.V. Summary of the ChapterAppendix to the Chapter - Improving the Performance of Financial Firms Through Knowledge: Sources of Information on the Financial-Services IndustryConcept Checks6-1. Why should banks and other corporate financial firms be concerned about their level of profitability and exposure to risk?Banks in the U.S. and most other countries are private businesses that must attract capital from the public to fund their operations. If profits are inadequate or if risk is excessive, they will have greater difficulty in obtaining capital and their funding costs will grow, eroding profitability. Bank stockholders, depositors, and bank examiners representing the regulatory community are all interested in the quality of bank performance. The stockholders are primarily concerned with profitability as a key factor in determining their total return from holding bank stock, while depositors (especially large corporate depositors) and examiners typically focus on bank risk exposure.6-2. What individuals or groups are likely to be interested in these dimensions of performance for a bank or other financial institution?The individuals or groups likely to be interested in bank profitability and risk include other banks lending to a particular bank, borrowers, large depositors, holders of long-term debt capital issued by banks, bank stockholders, and the regulatory community.6-3. What factors influence the stock price of a financial-services corporation?A bank's stock price is affected by all those factors affecting its profitability and risk exposure, particularly its rate of return on equity capital and risk to shareholder earnings. A bank can raise its stock price by creating an expectation in the minds of investors of greater earnings in the future, by lowering the bank's perceived risk exposure, or by a combination of increases in expected earnings and reduced risk.6-4. Suppose that a bank is expected to pay an annual dividend of $4 per share on its stock in the current period and dividends are expected to grow 5 percent a year every year, and the minimum required return to equity capital based on the bank's perceived level of risk is 10 percent. Can you estimate the current value of the bank's stock?In this constant dividend growth rate problem the current value of the bank's stock would be: P o = D1 / (k – g) = $4 / (0.10 – 0.05) = $80.6-5. What is return on equity capital and what aspect of performance is it supposed to measure? Can you see how this performance measure might be useful to the managers of financial firms? Return on equity capital is the ratio of Net Income/Total Equity Capital. It represents the rate of return earned on the funds invested in the bank by its stockholders. Financial firms have stockholders, too who are interested in the return on the funds that they invested.6-6 Suppose a bank reports that its net income for the current year is $51 million, its assets totally $1,144 million, and its liabilities amount to $926 million. What is its return on equity capital? Is the ROE you have calculated good or bad? What information do you need to answer this last question?The bank's return on equity capital should be:ROE = Net Income = $51 million = .098 or 9.8 percentEquity Capital $1,444 mill.-$926 mill.In order to evaluate the performance of the bank, you have to compare the ROE to the ROE of some major competitors or some industry average.6-7 What is the return on assets (ROA), and why is it important? Might the ROA measure be important to banking’s key competitors?Return on assets is the ratio of Net Income/Total Assets. The rate of return secured on a bank's total assets indicates the efficiency of its management in generating net income from all of the resources (assets) committed to the institution. This would be important to banks and their major competitors.6-8. A bank estimates that its total revenues will amount to $155 million and its total expenses (including taxes) will equal $107 million this year. Its liabilities total $4,960 million while its equity capital amounts to $52 million. What is the bank's return on assets? Is this ROA high or low? How could you find out?The bank's return on assets would be:ROA = Net Income = $155 mill. - $107 mill. = 0.0096 or 0.96 percent Total Assets $4,960 mill. + $52 mill.The size of this bank's ROA should be compared with the ROA's of other banks similar in size and location to determine if this bank's ROA is high or low relative to the average forcomparable banks.6-9. Why do the managers of financial firms often pay close attention today to the net interest margin and noninterest margin? To the earnings spread?The net interest margin (NIM) indicates how successful the bank has been in borrowing funds from the cheapest sources and in maintaining an adequate spread between its returns on loans and security investments and the cost of its borrowed funds. If the NIM rises, loan and security income must be rising or the average cost of funds must be falling or both. A declining NIM is undesirable because the bank's interest spread is being squeezed, usually because of rising interest costs on deposits and other borrowings and because of increased competition today.In contrast, the noninterest margin reflects the banks spread between its noninterest income (such as service fees on deposits) and its noninterest expenses (especially salaries and wages and overhead expenses). For most banks the noninterest margin is negative. Management will usually attempt to expand fee income, while controlling closely the growth of noninterest expenses in order to make a negative noninterest margin less negative.The earnings spread measures the effectiveness of the bank's intermediation function of borrowing and lending money, which, of course, is the bank's primary way of generating earnings. As competition increases, the spread between the average yields on assets and the average cost of liabilities will be squeezed, forcing the bank's management to search for alternative sources of income, such as fees from various services the bank offers.6-10. Suppose a banker tells you that his bank in the year just completed had total interest expenses on all borrowings of $12 million and noninterest expense of $5 million, while interest income from earning assets totaled $16 million and noninterest revenues added to a total of $2 million. Suppose further that assets amounted to $480 million of which earning assets represented 85 percent of total assets, while total interest-bearing liabilities amounted to 75 percent of total assets. See if you can determine this bank's net interest and noninterest margins and its earnings base and earnings spread for the most recent year.The bank's net interest and noninterest margins must be:Net Interest = $16 mill. - $12 mill. Noninterest = $2 mill. - $5 mill.Margin $480 mill. Margin $480 mill.=.00833 = -.00625The bank's earnings spread and earnings base are:Earnings = $16 mill. - $12 mill.Spread $480 mill * 0.85 $480 mill. * 0.75= .0392 =.0333Earnings Base = $480 mill. - $480 mill. * 0.15 = 0.85 or 85 percent$480 mill.6-11. What are the principal components of ROE and what do each of these components measure?The principal components of ROE are:a. The net profit margin or net after-tax income to operating revenues which reflects the effectiveness of a bank's expense control program;b. The degree of asset utilization or ratio of operating revenues to total assets which measures the effectiveness of managing the bank's assets, especially the loan portfolio; and,c. The equity multiplier or ratio of total assets to total equity capital which measures a bank's use of leverage in funding its operations.6-12. Suppose a bank has an ROA of 0.80 percent and an equity multiplier of 12x. What is its ROE? Suppose this bank's ROA falls to 0.60 percent. What size equity multiplier must it have to hold its ROE unchanged?The bank's ROE is:ROE = 0.80 percent *12 = 9.60 percent.If ROA falls to 0.60 percent, the bank's ROE and equity multiplier can be determined from: ROE = 9.60% = 0.60 percent * Equity MultiplierEquity Multiplier = 9.60 percent = 16x.0.60 percent6-13. Suppose a bank reports net income of $12, before-tax net income of $15, operating revenues of $100, assets of $600, and $50 in equity capital. What is the bank's ROE?Tax-management efficiency indicator? Expense control efficiency indicator? Asset management efficiency indicator? Funds management efficiency indicator?The bank's ROE must be: ROE = 50$12$ = 0.24 or 24 percent Its tax-management, expense control, asset management, and funds management efficiency indicators are:Tax Management = $12 Expense Control = $15Efficiency indicator $15 Efficiency Indicator $100= .8 or 80 percent =.15 or 15 percentAsset Management = $100 Funds Management = $600Efficiency Indicator $600 Efficiency Indicator $50= 0.1666 or 16.67 percent = 12 x6-14. What are the most important components of ROA and what aspects of a financial institution’s performance do they reflect?The principal components of ROA are:a. Total Interest Income Less Total Interest Expense divided by Total Assets, measuring a bank's success at intermediating funds between borrowers and lenders;b. Provision for Loan Losses divided by Total Assets which measures management's ability to control loan losses and manage a bank's tax exposure;c. Noninterest Income less Noninterest Expenses divided by Total Assets, which indicates the ability of management to control salaries and wages and other noninterest costs and generate tee income;d. Net Income Before Taxes divided by Total Assets, which measures operating efficiency and expense control; ande. Applicable Taxes divided by Total Assets, which is an index of tax management effectiveness. 6-15. If a bank has a net interest margin of 2.50%, a noninterest margin of -1.85%, and a ratio of provision for loan losses, taxes, security gains, and extraordinary items of -0.47%, what is its ROA?The bank's ROA must be:ROA = 2.50 percent - 1.85 percent - 0.47 percent = 0.18 percent6-16. To what different kinds of risk are banks and their financial-service competitors subjected today?a. Credit Risk -- the probability that loans and securities the bank holds will not pay out as promised.b. Liquidity Risk -- the probability the bank will not have sufficient cash on hand in the volume needed precisely when cash demands arise.c. Market Risk -- the probability that the value of assets held by the bank will decline due to falling market prices.d. Interest-Rate Risk - the possibility or probability interest rates will change, subjecting the bank to lower profits or a lower value for the firm’s capital.e. Operational Risk –the uncertainly regarding a financial firm’s earnings due to failures in computer systems, employee misconduct, floods, lightening strikes and other similar events.f. Legal and Compliance Risk –the uncertainty regarding a financial firm’s earnings due to actions taken by our legal system or due to a violation of rules and regulationsg. Reputation Risk – the uncertainty due to public opinion or the variability in earnings due to positive or negative publicity about the financial firmh. Strategic Risk – the uncertainty in earnings due to adverse business decisions, lack or responsiveness to changes and other poor decisions by managementi. Capital Risk – the risk that the value of the assets will decline below the value of the liabilities. All of the other risks listed above can affect earnings and the value of the assets and liabilities and therefore can have an effect on the capital position of the firm.6-17. What items on a bank's balance sheet and income statement can be used to measure its risk exposure? To what other financial institutions do these risk measures apply?There are several alternative measures of risk in banking and financial service firms. Capital risk is often measured by bank capital ratios, such as the ratio of total capital to total assets or total capital to risk assets. Credit risk can be tracked by such ratios as net loan losses to total loans or relative to total capital. Liquidity risk can be followed by using such ratios as cash assets to total assets or by total loans to total assets. Interest-rate risk may be indicated by such ratios as interest-sensitive liabilities to interest-sensitive assets or the ratio of money-market borrowings to money-market assets.6-18. A bank reports that the total amount of its net loans and leases outstanding is $936 million,its assets total $1,324 million, its equity capital amounts to $110 million, and it holds $1,150 million in deposits, all expressed in book value. The estimated market values of the bank's total assets and equity capital are $1,443 million and $130 million, respectively. The bank's stock is currently valued at $60 per share with annual per-share earnings of $2.50. Uninsured deposits amount to $243 million and money market borrowings total $132 million, while nonperforming loans currently amount to $43 million and the bank just charged off $21 million in loans. Calculateas many of the bank's risk measures as you can from the foregoing data.Net Loans and Leases = $936 mill. Uninsured Deposits $243 mill.Total Assets $1,324 mill. Total Deposits $1,150 mill.0.7069 or 70.69 percent 0.2113 or 21.13 percentEquity Capital = $130 mill. Stock Price $60Total Assets $1,443 mill. Earnings Per Share $2.50 = 0.0901 or 9.01 percent = 24 XNonperforming Assets = $43 mill. =0.0459 or 4.59 percentNet Loans and Leases $936 mill.Charge-offs of loans = $21 Purchased Funds = $243 mill. + $132 mill. Total Loans and Leases $936 Total Liabilities $1,324 mill. - $110 mill.=.0224 or 2.24 percent .3089 or 30.89 percentBook Value of Assets = $1324 =0.9175 or 91.75 percentMarket Value of Assets $1443Problems6-1. An investor holds the stock of First National Bank of Imoh and expects to receive a dividend of $12 per share at the end of the year. Stock analysts have recently predicted that the bank’s dividends will grow at approximately 3 percent a yea r indefinitely into the future. If this is true, and if the appropriate risk-adjusted cost of capital (discount rate) for the bank is 15 percent, what should be the current stock price per share of Imoh’s stock?6-2. Suppose that stockbrokers have projected that Poquoson Bank and Trust Company will pay a dividend of $3 per share on its common stock at the end of the year; a dividend of $4.50 per share is expected for the next year and $6 per share in the following year. The risk-adjusted cost of capital for banks in Poquoson’s risk class is 17 percent. If an investor holding Poquoson’s stock plans to hold that stock for only three years and hopes to sell it at a price of $55 per share, what should the value of the bank’s stock be in today’s market?P0 = $43.94 per share.6-3 Depositors Savings Association has a ratio of equity capital to total assets of 7.5 percent. In contrast, Newton Savings reports an equity capital to asset ratio of 6 percent. What is the value of the equity multiplier for each of these institutions? Suppose that both institutions have an ROA of 0.85 percent. What must each institution’s return on equity capital be? What do your calculations tell you about the benefits of having as little equity capital as regulations or the marketplace will allow?Depositors Savings Association has an equity-to-asset ratio of 7.5 percent which means its equity multiplier must be:= 1 / 0.075 = 13.33x1/ (Equity Capital / Assets) = AssetsEquityCapitalIn contrast, Newton Savings has an equity multiplier of:= 16.67x1/ (Equity Capital / Assets) = 10.06With an ROA of 0.85 percent Depositors Savings Association would have an ROE of: ROE = 0.85 x 13.33x = 11.33 percent.With an ROA of .85 percent Newton Savings would have an ROE of:ROE = 0.85 x 16.67x = 14.17 percentIn this case Newton Savings is making greater use of financial leverage and is generating a higher return on equity capital.6-4. The latest report of condition and income and expense statement for Galloping Merchants National Bank are as shown in the following tables:Galloping Merchants National BankInterest Fees on Loans $65Interest Dividends on Securities 12Total Interest Income 77Interest Paid on Deposits 49Interest on Nondeposit Borrowings 6Total Interest Expense 55Net Interest Income 22Provision for Loan Losses 2Noninterest Income and Fees 7Noninterest Expenses:Salaries and Employee Benefits 12Overhead Expenses 5Other Noninterest Expenses 3Total Noninterest Expenses 20Net Noninterest Income -13Pre Tax Operating Income 7Securities Gains (or Losses) 1Pre Tax Net Operating Income 8Taxes 1Net Operating Income 7Net Extraordinary Income -1Net Income $6FTE 40Galloping Merchants National BankReport of ConditionCash and Due From Banks $100 Demand Deposits $190Investment Securities $150 Savings Deposts $180Federal Funds Sold $10 Time Deposits $470Net Loans $670 Federal Funds Purch $69(ALL 25) Total Liabilities $900(Unearned Income 5) Common Stock $20Plant and Equipment $50 Surplus $25Retained Earnings $35Total Assets $980 Total Ca $80Total Earnings Assets $830 Interest BearingDeposits $650Fill in the missing items on the income and expense statement. Using these statements, calculate the following performance measures:6-5. The following information is for Shallow National BankInterest Income $2,100Interest Expense $1,400Total Assets $30,000Securities Gains (losses) $21Earning Assets $25,000Total Liabilities $27,000Taxes Paid $16Shares of Common Stock 5,000Noninterest income $700Noninterest Expense $900Provision for LoanLosses $100ROE = $405 ROA = $405$30,000 -$27,000$30,0000.135 or 13.5 percent 0.0135 or 1.35percentEarnings = $405 = $.081 per sharePer Share 5000Net Interest = $2100 -$1400 = $700 = 0.028 or 2.8percentMargin $25,000 $25,000Net Noninterest = $700 -$900= -$200 = 0.008or .8 percent Margin $25,000 $25,000Net Operating = ($2100 + $700) – ($1,400 + $900+ $100) = $400 =0.0133or 1.33percentMargin $30,000 $30,000Suppose interest income, interest expenses, noninterest income, and noninterest expenses each increase by 5 percent, with all other items remaining unchanged.Interest Income $2,205Interest Expense $1,470Total Assets $30,000Securities Gains (losses) $21Earning Assets $25,000Total Liabilities $27,000Taxes Paid $16Shares of Common Stock 5,000Noninterest income $735Noninterest Expense $945Provision for LoanLosses $100ROE = $430 ROA = $430$30,000 -$27,000$30,0000.1433 or 14.33 percent 0.0143 or 1.43percentEarnings = $430 = $.086 per sharePer Share 5000Net Interest = $2205 -$1470 = $735 = 0.0294 or 2.94percentMargin $25,000 $25,000Net Noninterest = $735 -$945 = -$210 = 0.0084 or .84percentMargin $25,000 $25,000Net Operating = ($2205 + $735) – ($1,470 + $945+ $100) = $425 =0.0142or 1.42percentMargin $30,000 $30,000On the other hand, suppose Shallow’s interest income, interest expenses, noninterest income, and noninterest expenses decline by 5 percent, again with all other factors held equal. How would the bank’s ROE, ROA and per share earnings change?Interest Income $1995Interest Expense $1,330Total Assets $30,000Securities Gains (losses) $21Earning Assets $25,000Total Liabnilities $27,000Taxes Paid $16Shares of Common Stock 5,000Noninterest income $665Noninterest Expense $855Provision for LoanLosses $100ROE = $380 ROA = $380$30,000 -$27,000$30,0000.1267 or 12.67 percent 0.0127 or 1.27percentEarnings = $380 = $.076 per sharePer Share 5000Net Interest = $1995 -$1330 = $665 = 0.0266 or 2.66percentMargin $25,000 $25,000Net Noninterest = $665 -$855 = -$190 = 0.0076 or .76percentMargin $25,000 $25,000Net Operating = ($1995 + $665) – ($1,330 + $855+ $100) = $375 =0.0125or 1.25percentMargin $30,000 $30,0006-6. Blue and White National Bank holds total assets of $1.69 billion and equity capital of $139 million and has just posted an ROA of 1.1 percent. What is this bank’s ROE?:ROE = ROA * Total AssetsEquity Capital = 0.011 * $1,690$139= 0.1337 or 13.37%R0A increases by 50%, with no change in assets or equity capital.Therefore, the new ROA = 0.011 * 1.5 = 0.0165 or 1.65%.New ROE = 1.65% * 12.16 = 20.06%This represents a 50% increase in ROE. With no changes in assets or equity, the investors' funds are more effectively utilized, generating additional income and making the bank more profitable. Alternative Scenario 2:ROA decreases by 50%, with no change in equity or assets.Therefore, the new ROA = 0.011 * 0.5 = 0.0055 or 0.55%.New ROE = 0.55% * 12.16 = 6.69%This represents a 50% decrease in ROE. The bank's management has been less efficient, in this case, in managing their lending and/or investing functions or their operating costs.Alternative Scenario 3:ROA = 0.011 or 1.1% (as in the original problem)Total assets double in size to $3.38 billion and equity capital doubles in size to $278 million. Therefore, the equity multiplier (i.e. total assets/equity capital) remains the same (E.M. =$3,380/$278 = 12.16). As a result, there is no change in ROE from the original situation (i.e.), 1.1% * 12.16 = 13.38%).Alternative Scenario 4:This, of course, is just the reverse of scenario 3. Since the changes in both assets and equity capital are the same, the ratio of the two (i.e., the equity multiplier) remains constant. As a result, there is again no change in ROE.E.M. = Total Assets/Equity Capital = $845/$69.5 = 12.16.Therefore, ROE = 1.1% * 12.16 = 13.38%.6-7. Monarch State Bank reports total operating revenues of $135 million, with total operating expenses of $121 million, and owes taxes of $2 million. It has total assets of $1.00 billion and total liabilities of $900 million and has just posed an ROA of 1.1o percent. What is the bank’s ROE? Net Income after Taxes = $135 million -$121 million -$2 million = $12 millionEquity Capital = $1.00 billion - $900 million = $100 million= $12 million / $100 million = 0.12 or 12%.ROE = Net Income after TaxesEquity CapitalAlternative Scenario 1: How will the ROE for Monarch State Bank change if total operating expenses, taxes and total operating revenues each grow by 10 percent while assets and liabilities stay fixed.Total revenues = $135 million * 1.10 = $148.5 millionTotal expenses = $121 million * 1.10 = $133.1 millionTax liability = $2 million * 1.10 = $2.2 millionNet Income after Taxes = $148.5 - $133.1 - $2.2 = $13.2 millionROE = $13.2 million/$100 million = 0.132 or 13.2%Change in ROE = (13.2%-12%)/12% = 10%Alternative Scenario 2: Suppose Monarch State’s total assets and total liabilities increase by 10 percent, but its revenues and expenses (including taxes) are unchanged. How will the bank’s ROE change?Total assets increase by 10% (Total assets = $ 1.0 * 1.10 = $1.1 billion)Total liabilities increase by 10% (Total liabilities = $900 million * 1.10 = $990Revenues and expenses (including taxes) remain unchanged.Solution: Equity Capital = $1.1 billion - $990 million = $110 millionROE = $12 = .1091$110 10.91 percent= 10.91% - 12% = -1.09% = -.0908% Therefore change inROE12% 12% (ROE decreases by9.08%)Alternative Scenario 3: Can you determine what will happen to ROE if both operating revenues and expenses (including taxes) decline by 10 percent, with the bank’s total assets and liabilities held constant?Total revenues decline by 10% (Total revenues = $135 million * 0.90 = $121.5 million)Total expenses decline by 10% (Total expenses = $121 million * 0.9 = $108.9 million)Tax liability declines by 10% (Tax liability = $2 * 0.9 = $1.8 million)Assets and liabilities remain unchanged (Therefore, equity remains unchanged)Solution: Net Income after Tax = $121.5 million - 108.9 million - $1.8 million = $10.8 ROE = $10.8 million = 0.108 = 10.8%$100 millionTherefore change in ROE = 10.8% - 12% = -1.2% = -.1012% 12% (ROE decreases by 10%) Alternative Scenario 4: What does ROE become if Monarch State’s assets and liabilities decreaseby 10 percent, while its operating revenues, taxes and operating expenses do not change?Total assets = $1.0 billion * 0.9 = $900 millionTotal liabilities = $900 million * 0.9 =$810 millionEquity capital = $900 million - $810 million = $90 millionROE = $12 = .1333$90 13.33 percent6-8. Suppose a stockholder owned thrift institution is projected to achieve a 1.25 percent ROA during the coming year. What must its ratio of total assets to total equity capital be if it is to achieveits target ROE of 12 percent? If ROA unexpectedly falls to .75 percent, what assets-to-capital ratio must it then have to reach a 12 percent ROE?ROE = ROA * (Total Assets/Equity Capital)Total Assets = ROE = 12% = 9.6 xEquity Capital ROA 1.25%If ROA unexpectedly falls to 0.75% and target ROE remains 12%:12% = .75% * Total AssetsEquity CapitalTotal Assets = 12% =16 xEquity Capital .75%。

译国译民翻译服务
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limit order限价指令 limited floating rate有限浮动汇率 line of business行业，营业范围，经营种类 liquidation清仓 liquidity流动性 liquidity of bank银行资产流动性 listed stock上市股票 livestock transaction tax牲畜交易税 loan account贷款帐户 loan amount贷款额 loan atHale Waihona Puke call拆放译国译民翻译服务
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loan bank放款银行 loan volume贷款额 loan-deposit ratio存放款比率 loans to financial institutions金融机构贷款 loans to government 政府贷款 local bank地方银行 local income tax (local surtax)地方所得税 local surtax地方附加税 local tax地方税 long arbitrage多头套利 long position多头头寸
译国译民翻译服务
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leasing cost租赁成本 leasing country承租国 leasing division租赁部 leasing equipment租赁设备 leasing industry租赁业 leasing industry (trade)租赁业 leasing money租赁资金 leasing period租赁期 leasing regulations 租赁条例
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Financial institution ability to fund increases in assets and meet obligations as they come due, without incurring high losses
Generally proxied by the difference between the average liquidity of assets and that of liabilities
Basel Committee, Strengthening the resilience of the banking sector consultative document
3
© 2010 Quantitative Risk Management, Inc.
Some figures from the market: Interbank Interest Rates
Stock-based approach Cash flow based approach Hybrid approach Stress tests and contingency funding plans
• Section III: The Basel Committee framework
• Principles for liquidity risk management and supervision • Liquidity coverage ratio • Net stable funding ratio
Affected by many factors: n. mkt participants, size & frequency of trades, degree of informational asymmetry, time needed to carry out a trade Function of tightness (market’s ability to match supply and demand at low cost) and depth (ability to absorb large trades without significant price impact)

商业银行风险控制国内外研究文献综述商业银行是金融体系中最主要的组成部分之一。

风险控制对商业银行的稳定运营至关重要。

本文旨在综述国内外关于商业银行风险控制的研究文献，探讨不同研究视角和方法对于风险控制的贡献。

一、风险控制的概念和重要性风险控制是商业银行保持金融稳定的基本要求。

通过建立科学的风险评估和风险管理体系，商业银行可以降低风险暴露，减少潜在损失。

风险控制涉及多个方面，包括信用风险、市场风险、操作风险和流动性风险等。

二、信用风险管理信用风险是商业银行面临的最主要风险之一。

国内外研究通过不同的途径来探讨信用风险的管理。

一些研究关注信用评级模型的建立和应用，例如通过借鉴特定行业的信用评级标准来评估客户的信用风险。

另一些研究则从银行内部的角度出发，探讨如何优化信贷审批流程，加强对借款人的审查和监控。

三、市场风险管理市场风险是商业银行在金融市场中面临的风险，主要包括股票、债券和外汇等市场价格波动带来的风险。

国内外研究提出了一些有效的风险管理方法。

例如，一些研究通过建立风险预警模型，及时发现市场波动的风险信号。

另一些研究则着眼于风险分散的方法，例如通过投资组合的多样化来降低风险暴露。

四、操作风险管理操作风险是商业银行内部管理不善带来的风险。

操作风险包括人为错误、管理失控、信息系统故障等。

国内外研究提出了一些有效的操作风险管理方法。

例如，一些研究强调建立完善的内部控制和审计制度，加强对员工行为和操作流程的监督。

另一些研究则关注信息技术的应用，例如使用人工智能和大数据技术来提高操作风险管理的效率和准确性。

五、流动性风险管理流动性风险是商业银行面临的一种特殊风险，指在特定时期，银行无法满足债务偿还和经营活动所需现金流的情况。

国内外研究提出了一些流动性风险管理的方法。

例如，一些研究关注监管要求和政策对银行流动性管理的影响，通过合理配置储备资金、制定灵活的流动性管理策略来降低流动性风险。

综上所述，商业银行风险控制是保持金融稳定的基本要求。

国际商业银行流动性风险管理介绍及对国内银行的启示Liquidity Risk Management of Commercial Banks:International Experiences and Enlightenments to China徐 冕流动性风险管理是银行正常经营最重要的基础和保障。

经过多年的发展，国内银行业流动性风险管理虽然得到了蓬勃发展，但与国际先进银行相比，仍存在多方面的差距。

该文通过回顾国际商业银行流动性风险管理思想的衍变，分析介绍国际流动性风险管理的先进经验，从而为国内银行提供借鉴。

Liquidity risk management is the most important foundation and safeguard for the normal operation of banks. With years of development, the liquidity risk management of China’s banking industry has been improved significantly, yet there are still gaps compared with the international advanced banks. By reviewing the evolution of liquidity risk management theories of international commercial banks, this paper analyzes and introduces the advanced experiences of liquidity risk management, aiming to provide references for domestic banks.自银行产生以来，银行经营管理的两大核心是资产负债错配和流动性风险管理。

Credit Ratings
• In the S&P/Fitch rating system, AAA is the best rating. After that comes AA, A, BBB, BB, B, and CCC
• The corresponding Moody’s ratings are Aaa, Aa, A, Baa, Ba, B, and Caa
• Additional objectives under the New Basel Capital Accord • Determine appropriate risk grade • Determine risk grade transition • Derive risk weight for capital adequacy
Liquidity Risk
• Risk of being forced to borrow or sell assets in a very short period of time. – Low prices result.
• May generate runs. – Runs may turn liquidity problem into solvency problem. -Failure of IndyMac in summer of 2008
requirements • Not less than zero mismatch each day at one week and one month • Core funding ratio (70% since 1 July, 2011) main banks all hold over 75% (longer term financing/(loans +advances)) (Basel NSFR) 100%NSFR=80%CFR

Risk management and supervision
Supplemental Pillar 2 requirements. Address firm-wide governance and risk management; capturing the risk of off-balance sheet exposures and securitisation activities; managing risk concentrations; providing incentives for banks to better manage risk and returns over the long term; sound compensation practices; valuation practices; stress testing; accounting standards for financial instruments; corporate governance; and supervisory colleges.
Risk coverage
Securitisations Strengthens the capital treatment for certain complex securitisations. Requires banks to conduct more rigorous credit analyses of externally rated securitisation exposures. Trading book Significantly higher capital for trading and derivatives activities, as well as complex securitisations held in the trading book. Introduction of a stressed valueat-risk framework to help mitigate procyclicality. Counterparty credit risk Substantial strengthening of the counterparty credit risk framework. Includes: more stringent requirements for measuring exposure; capital incentives for banks to use central counterparties for derivatives; and higher capital for inter-financial sector exposures.