商业银行管理全套配套课件英文PPT教师手册习题习题答案 Chap015.ppt 39页

ChapterFifteenTheManagementofCapital KeyTopicsTheManyTasksofCapitalCapitalandRiskExposuresTypesofCapitalInUseCapitalastheCenterpieceofRegulationBaselIandBaselIICapitalRegulationintheWakeoftheGreatRecession/BaselIIIPlanningtoMeetCapitalNeeds IntroductionWhatiscapital?FundscontributedbytheownersofafinancialinstitutionRaisingandretainingsufficientcapitaltoprotecttheinterestsofcustomers,employees,owners,andthegeneralpublicistoughWhyiscapitalsoimportantinfinancial-servicesmanagement?ItprovidesacushionofprotectionagainstriskandpromotespublicconfidenceCapitalhasbecomethecenterpieceofsupervisionandregulationtoday TheManyTasksCapitalPerformsProvidesacushionagainsttheriskoffailureProvidesfundstohelpinstitutionsgetstartedPromotespublicconfidenceProvidesfundsforgrowthRegulatorofgrowthRegulatorytooltolimitriskexposure CapitalandRisksKeyRisksinBankingandFinancialInstitutions’ManagementCreditRiskLiquidityRiskInterestRateRiskOperationalRiskExchangeRiskCrimeRisk CapitalandRisks(continued)DefensesagainstRisksQualityManagementDiversificationGeographicPortfolioDepositInsuranceOwners’Capital TypesofCapitalinUseCommonstockPreferredstockSurplusUndividedprofitsEquityreservesSubordinateddebenturesMinorityinterestinconsolidatedsubsidiariesEquitycommitmentnotes TABLE15–1CapitalAccountsofFDIC-InsuredU.S.CommercialBanks,December31,2010 OneoftheGreatIssuesintheHistoryofBanking:HowMuchCapitalIsReallyNeeded?RegulatoryApproachtoEvaluatingCapitalNeedsReasonsforCapitalRegulationTolimitriskoffailuresTopreservepublicconfidenceTolimitlossestothegovernmentandotherinstitutionsarisingfromdepositinsuranceclaims OneoftheGreatIssuesintheHistoryofBanking:HowMuchCapitalIsReallyNeeded?(continued)RegulatoryApproachtoEvaluatingCapitalNeedsResearchEvidenceResearchhasbeenconductedontheissueofwhethertheprivatemarketplaceorgovernmentregulatoryagenciesexertabiggereffectonbankrisktakingMoststudiesfindthattheprivatemarketplaceisprobablymoreimportantthangovernmentregulationinthelongrunRecentlygovernmentregulationappearstohavebecomenearlyasimportantastheprivatemarketplaceEspeciallyinthewakeofthegreatcreditcrisisof2007-2009 OneoftheGreatIssuesintheHistoryofBanking:HowMuchCapitalIsReallyNeeded?(continued)RegulatoryApproachtoEvaluatingCapitalNeedsResearchEvidenceWearenotatallsuremarketdiscipliningworksaswellforsmallandmedium-sizeinsureddepositoryinstitutionsSomeofthemostpertinentinformationneededtoassessabank’sriskexposureisknownonlytogovernmentregulatorsResearchhasfoundthatincreasedcapitaldoesnotmateriallylowerabank’sfailurerisk TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNationsTheBaselAgreementAninternationalagreementonnewcapitalstandardsDesignedtokeeptheircapitalpositionsstrongReduceinequalitiesincapitalrequirementsamongdifferentcountriesPromotefaircompetitionCatchupwithrecentchangesinfinancialservicesandfinancialinnovationInparticular,theexpansionofoff-balance-sheetcommitmentsFormallyapprovedinJuly1988Includedcountriessuchas:TheUnitedStates,Belgium,Canada,France,Germany,Italy,Japan,theNetherlands,Spain,Sweden,Switzerland,theUnitedKingdom,andLuxembourg TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselITheoriginalBaselcapitalstandardsareknowntodayasBaselIVarioussourcesofcapitalweredividedintotwotiers:Tier1(core)capitalCommonstockandsurplus,undividedprofits(retainedearnings),qualifyingnoncumulativeperpetualpreferredstock,minorityinterestintheequityaccountsofconsolidatedsubsidiaries,andselectedidentifiableintangibleassetslessgoodwillandotherintangibleassetsTier2(supplemental)capitalAllowance(reserves)forloanandleaselosses,subordinateddebtcapitalinstruments,mandatoryconvertibledebt,intermediate-termpreferredstock,cumulativeperpetualpreferredstockwithunpaiddividends,andequitynotesandotherlong-termcapitalinstrumentsthatcombinebothdebtandequityfeatures TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIInorderforabanktoqualifyasadequatelycapitalized,itmusthave:Aratioofcorecapital(Tier1)tototalrisk-weightedassetsofatleast4percentAratiooftotalcapital(thesumofTier1andTier2capital)tototalrisk-weightedassetsofatleast8percent,withtheamountofTier2capitallimitedto100percentofTier1capital TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingRisk-WeightedAssetsEachassetitemonabank’sbalancesheetandeachoff-balance-sheetcommitmentithasmadearemultipliedbyarisk-weightingfactorDesignedtoreflectitscreditriskexposureThemostcloselywatchedoff-balance-sheetitemsarestandbylettersofcreditandlong-term,legallybindingcreditcommitments TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingRisk-WeightedAssetsTocomputethisbank’srisk-weightedassets:Computethecredit-equivalentamountofeachoff-balance-sheet(OBS)item TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingRisk-WeightedAssetsTocomputethisbank’srisk-weightedassets:Multiplyeachbalancesheetitemandthecredit-equivalentamountofeachOBSitembyitsriskweight TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingtheCapital-to-Risk-WeightedAssetsRatioUnderBaselI,onceweknowabank’stotalrisk-weightedassetsanditsTier1andTier2capitalamounts,wecandetermineitsrequiredcapitaladequacyratios TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivativesTheBaselIcapitalstandardswereadjustedtotakeaccountoftheriskexposurebanksmayfacefromderivativesFutures,options,swaps,interestratecapandfloorcontracts,andotherinstrumentsSometimesexposeabanktocounterpartyriskThedangerthatacustomerwillfailtopayortoperform,forcingthebanktofindareplacementcontractwithanotherpartythatmaybelesssatisfactory TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivatives(continued)Baselrequiredabankertodivideeachcontract’sriskexposureintotwocategoriesPotentialmarketriskexposureCurrentmarketriskexposureOncethereplacementcostofacontractisdetermined:Theestimatedpotentialmarketriskexposureamountisaddedtotheestimatedcurrentmarketriskexposuretoderivethetotalcredit-equivalentamountofeachderivativecontractThistotalismultipliedbythecorrectriskweight,tofindtheequivalentamountofrisk-weightedassetsrepresentedbyeachcontract TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivatives(continued) TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivatives(continued) TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BankCapitalStandardsandMarketRiskBaselIfailedtoaccountformarketriskThelossesabankmaysufferduetoadversechangesininterestrates,securityprices,andcurrencyandcommoditypricesTheriskweightsonbankassetsweredesignedprimarilytotakeaccountofcreditrisk(notmarketrisk)Inanefforttodealwiththeseandotherformsofmarketrisk,in1996theBaselCommitteeapprovedamodificationtotherulesPermittedthelargestbankstoconductriskmeasurementandestimatetheamountofcapitalnecessarytocovermarketriskLedtoathirdcapitalratio(Tier3) TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)ValueatRisk(VaR)ModelsRespondingtoMarketRiskAstatisticalframeworkformeasuringabankportfolio’sexposuretochangesinmarketpricesormarketratesoveragiventimeperiod,subjecttoagivenprobabilityVaRExampleAbankestimatesitsportfolio’sdailyaveragevalueatriskis$100 billionovera10-dayintervalwitha99percentlevelofconfidenceIfthisVaRestimateof$100billioniscorrect,lossesinportfoliovaluegreaterthan$100billionshouldoccurlessthan1percentofthetime TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)LimitationsandChallengesofVaRandInternalModelingVaRestimatesandinternalmodelingarenotperfectInaccurateVaRestimatescanexposeabanktoexcessiverisksothatitscapitalpositionmayturnoutnottobelargeenoughtocoveractuallossesthebankfacesTheportfoliosofthelargestbanksaresocomplexwiththousandsofriskfactorsitmaybeimpossibletoconsistentlyforecastVaRsaccuratelyPromote“backtesting”Evenifanindividualbankisagoodforecaster,theremaystillbetroubleduetosystemicrisk TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIIBankersfoundwaysaroundmanyofBaselI’srestrictionsCapitalarbitrageInsteadofmakingbankslessrisky,partsofBaselIseemedtoencouragebankstobecomemoreriskyBaselIrepresenteda“onesizefitsall”approachtocapitalregulationItfailedtorecognizethatnotwobanksarealikeintermsoftheirriskprofilesBaselIIsetupasysteminwhichcapitalrequirementswouldbemoresensitivetoriskandprotectagainstmoretypesofriskthanBaselIBaselIIwouldbegraduallyphasedinforthelargestinternationalbanks TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)PillarsofBaselIIMinimumcapitalrequirementsforeachbankbasedonitsownestimatedriskexposurefromcredit,market,andoperationalrisksSupervisoryreviewofeachbank’srisk-assessmentproceduresandtheadequacyofitscapitaltoensuretheyare“reasonable”Greaterpublicdisclosureofeachbank’struefinancialconditionsothatmarketdisciplinecouldbecomeamorepowerfulforcecompellingexcessivelyriskybankstolowertheirriskexposure TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIIandCreditRiskModelsCreditriskmodelsComputeralgorithmsthatattempttomeasurealender’sexposuretodefaultbyitsborrowingcustomersortocreditdowngradingsMostcreditriskmodelsdevelopestimatesbasedupon:BorrowercreditratingsTheprobabilitythosecreditratingswillchangeTheprobableamountofrecoveryshouldsomeloansdefaultThepossibilityofchanginginterest-ratespreadsbetweenriskierandlessriskyloans TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIIandCreditRiskModelsUnderBaselI,minimumcapitalrequirementsremainedthesameformosttypesofloansregardlessofcreditratingUnderBaselII,minimumcapitalrequirementsweredesignedtovarysignificantlywithcreditquality TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)ADual(Large-Bank,Small-Bank)SetofRulesBaselIIwasdesignedtooperateunderonesetofcapitalrulesforthehandfuloflargestmultinationalbanksandanothersetformorenumeroussmallerbankingfirmsRegulatorswereconcernedthatsmallerbankscouldbeoverwhelmedby:Theheavyburdensofgatheringrisk-exposureinformationPerformingcomplicatedriskcalculationsBaselIIanticipatedthatsmallerinstitutionswouldbeabletocontinuetousesimplerapproachesindeterminingtheircapitalrequirementsandriskexposures,parallelingBaselIrules TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)ProblemsAccompanyingtheImplementationofBaselIIBaselIIwasnotperfectSomeformsofriskhadnogenerallyacceptedmeasurementscaleOperationalRiskHowdoweaddupthedifferentformsofriskexposureinordertogetanaccuratepictureofabank’stotalriskexposure?Whatshouldwedoaboutthebusinesscycle?MostbanksaremorelikelytofaceriskexposureinthemiddleofaneconomicrecessionthantheywillinaperiodofeconomicexpansionForexample,theGlobalcreditcrisisof2007-2009Somehaveexpressedconcernaboutimprovingregulatorcompetence TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIII:AnotherMajorRegulatoryStepUnderway,BorninGlobalCrisisBaselIIwasneverfullyimplementedHadtomovetowardBaselIIIinordertopreventfuturecrisesKeyissueinBaselIIIDeterminingthevolumeandmixofcapitaltheworld’sleadingbanksshouldmaintainiftheirtroubledassetsgeneratemassivelossesCapitalrequirementslaiddowninBaselIandIIapparentlywereinadequateinthefaceofthelatestcreditcrashBankersfoundwaystoholdbothlesscapitalintotalandaweakermixofkindsofcapital TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIII:AnotherMajorRegulatoryStepUnderway,BorninGlobalCrisisProponentsofBaselIIIcalledforgreatertotalcapitalization,strongerdefinitionofwhatbelongsinbanks’capitalaccountsVolckerRulewasproposedintheU.S.ImplementationofBaselIIIcouldtakemanyyearsImplementationwouldbephasedinslowly,beginningin2012andpossiblybecompletedcloseto2019BaselIIIcoversthecapital,liquidity,anddebtpositionsofindividualinternationalbanksandalsobroaderissuesassociatedwithglobalbusinesscyclesandsystemicrisks ChangingCapitalStandardsInsidetheUnitedStatesSeveralnewcapitalrulescreatedrecentlybyU.S.regulatoryagenciesweremandatedbytheFDICImprovementActof1991RequiresfederalregulatorstotakePromptCorrectiveAction(PCA)whenaninsureddepositoryinstitution’scapitalfallsbelowacceptablelevelsU.S.bankregulatorscreatedcapital-adequacycategoriesforimplementingPCA:WellcapitalizedAdequatelycapitalizedUndercapitalizedSignificantlyundercapitalizedCriticallyundercapitalized PlanningtoMeetCapitalNeedsRaisingCapitalInternallyDividendPolicyTheboardofdirectorsandmanagementmustagreeontheappropriateretentionratioanddividendpayoutratioKeyfactor-Howfastthefinancialfirmcanallowitsassetstogrowsothatitscurrentratioofcapitaltoassetsisprotectedfromerosion PlanningtoMeetCapitalNeeds(continued)RaisingCapitalInternallyDividendPolicy PlanningtoMeetCapitalNeeds(continued)RaisingCapitalExternallyIfafinancialfirmdoesneedtoraisecapitalfromoutsidesources,ithasseveraloptions:SellingcommonstockSellingpreferredstockIssuingdebtcapitalSellingassetsLeasingfacilitiesSwappingstockfordebtsecuritiesThechoiceofwhichmethodtouseisbasedontheireffectsonafinancialfirm’searningspershare TABLE15–2MethodsofRaisingExternalCapitalforaFinancialFirm QuickQuizWhatcrucialrolesdoescapitalplayinthemanagementandviabilityofafinancialfirm?WhatarethemostimportantandleastimportantformsofcapitalheldbyU.S.-insuredbanks?Whatistherationaleforhavingthegovernmentsetcapitalstandardsforfinancialinstitutionsasopposedtolettingtheprivatemarketplacesetthosestandards?HowistheBaselAgreementlikelytoaffectabank’schoicesamongassetsitwouldliketoacquire?WhatarethedifferencesamongBaselI,II,andIII?Whataretheprincipalsourcesofexternalcapitalforafinancialinstitution?