05主权风险+流动性风险.ppt

内容 国家风险 Sovereign Risk 流动性风险 Liquidity Risk 概述 Introduction 70年代，美国和其他国家商业银行的迅速扩张 In 1970s，Expansion of loans to Eastern bloc, Latin America and other LDCs. 80年代初，债务偿还出现问题 Debt moratoria announced by Brazil and Mexico. Increased loan loss reserves Citigroup set aside additional $3 billion in reserves for example 概述 Introduction (continued) 80年代末和90年代初期 Expanding investments in emerging markets. Peso devaluation and subsequent restructuring U.S. loan guarantees under Clinton Administration More recently: Asian and Russian crises. Turkey and Argentina Argentina’s focus on fiscal surplus Economic growth in the 2000s and reduction in external debt. 多年重构协议（MYRAs） 布雷迪债券（Brady Bonds） 外国银行所持有亚洲债务的份额 国家风险（Sovereign Risk） 政府可以限制债务的偿付。Governments can impose restrictions on debt repayments to outside creditors. Loan may be forced into default even though borrower had a strong credit rating at origination of loan. Legal remedies are very limited. 贷款人评估借款人的基本信用质量 贷款人评估借款所在国家的国家风险质量 Need to assess credit quality and sovereign risk 国家风险（Sovereign Risk） *债务拒付 Debt repudiation Since WW II, only China, Cuba and North Korea have repudiated debt. *债务重新安排 Rescheduling Most common form of sovereign risk. South Korea, 1998 Argentina, 2001 国家风险评估（Country Risk Evaluation） 外部评估模型 Outside evaluation models: 欧洲货币指数 The Euromoney Index 经济学家智库The Economist Intelligence Unit ratings 机构投资者指数 Institutional Investor Index 经济学家智库评级 机构投资者指数 中国出口信用保险公司：国家风险参考评级共分9个级别，分别标识为1、2、3、4、5、6、7、8和9级，风险水平依次增高。 国家风险评估（Country Risk Evaluation） 内部评价模型 Internal Evaluation Models 统计模型 Statistical models: Country risk-scoring models based on primarily economic ratios. 统计模型（Statistical Models）指标 主要指标Commonly used economic ratios 外债偿还率 Debt service ratio: (Interest + amortization on debt)/Exports 进口率 Import ratio: Total imports / Total FX reserves 投资率 Investment ratio: Real investment / GNP 出口收入方差 Variance of export revenue， 国内货币供应量 Domestic money supply growth 国家风险分析CRA 选择关键变量后，建立统计模型： 模型的问题 P