金融机构风险管理系列讲座课件PPT 金融机构的风险.pptVIP

资产转换及其导致的风险 讨论题：8、17、22、31 练习题：6、12、26 人民币汇率变化图 人民币汇率变化图 第七节 国家风险 国家（或主权）风险是一种信用风险 外国政府因外汇短缺或政治原因禁止或限制债务的偿还 80年代，阿根廷、秘鲁和巴西政府都不同程度地控制过国内企业和政府机构硬通货（例如美元）外债的偿还。 1998年，俄国、韩国、印度尼西亚和泰国政府无法筹集足够的美元偿还外国政府和公司的负债。结果，必须由国际货币基金组织和世界银行出面安排“救援工作” 第八节 流动性风险 Liquidity Risk …the variation in net income and market value of equity caused by a banks difficulty in obtaining cash at a reasonable cost from either the sale of assets or new borrowings. 流动性风险 当金融中介的债权人，如存款人和保险人，要求立即偿还现金时，就会产生流动性风险 对金融中介丧失信心或者某些季节性的意外现金需求都可能使债权人要求撤回比正常情况多的资金。 严重的流动性问题可能最终造成挤兑的局面，这会把金融中介的流动性问题变成破产问题并导致破产。 Banks can acquire liquidity in two distinct ways: By liquidation of assets. Composition of investments Maturity of investments By borrowing. Core deposits Volatile deposits 第九节 破产风险 破产风险是严重的利率风险、市场风险、信用风险、表外风险、技术风险、外汇风险、主权风险和流动性风险引发的或导致的结果。 当金融中介内部的资本或权益来源不足以弥补风险引起的损失时，就会产生破产 监管当局将注意力放到金融中介的资本和资本充足度上，并将其作为衡量金融中介清偿能力和成长能力的主要方法 Capital risk … closely tied to asset quality and a banks overall risk profile The more risk taken, the greater is the amount of capital required. Appropriate risk measures include all the risk measures discussed earlier as well as ratios measuring the ratio of: tier 1 capital and total risk based capital to risk weighted assets, equity capital to total assets, dividend payout, and growth rate in tier 1 capital. Definitions of capital Tier 1 capital is: total common equity capital plus noncumulative preferred stock, plus minority interest in unconsolidated subsidiaries, less ineligible intangibles. Risk weighted assets are: the total of risk adjusted assets where the risk weights are based on four risk classes of assets. Importantly, a banks dividend policy affects its capital risk by influencing retained earnings. 第十节 其它风险和风险间的相互作用 其它风险：战争、革命、股市突然崩溃、舞弊、偷盗和信托失信 宏观经济危机是通胀的上升、物价的变动和失业，这些都能直接或间接地影响金融中介的利率、信用、流动性等风险暴露程度。 这些风险在现实中是互相联系的。 Risks of Financial Intermediation Other Risks and Interaction of Risks Interdependencies among risks. Example: Interest rate