capitaladequacy加拿大著名咨询公司在建设银行的讲座9.ppt

Capital Adequacy Session 9 Capital Adequacy 2 Capital Adequacy ? Why must the bank manager be concerned about managing the capital account? ? Important (but most expensive) source of funding ? Adequate capital necessary to maintain confidence in the bank ? Regulatory constraints ? Moral: Too little capital will incur the wrath of the regulator; too much capital will incur the wrath of the shareholder Capital Adequacy 3 The Cost of Capital ? Why is equity the most expensive form of funding? ? Common stock is the residual security - it is entitled to whatever is left after the more senior claimants have been satisfied. ? Because the returns to the common are not specified, they are the most volatile. ? In finance, volatility equates to risk! ? The higher the risk, the higher the expected return ! Capital Adequacy 4 Capital Adequacy: Measuring Shareholder Returns ? Capital is the most expensive form of funding available to the bank. How do we measure the required return to the shareholder 1 Use the Gordon Growth Model of Stock Valuation If P = Div 1 r - g Then r = Div 1 + g P 2 Use the CAPM R stock = R free + Beta stock (R Market - R free ) Capital Adequacy 5 Regulatory Capital Adequacy In Canada ? OSFI establishes minimum capital guidelines for banks in its publication “Guidelines for Banks” ? Federally regulated Financial Institutions must pass two capital adequacy tests ? Assets-to-capital multiple ? Risk-based capital adequacy Capital Adequacy 6 Regulatory Capital Adequacy: Assets-to-Capital Multiple ? Calculation: ? Assets-to-capital multiple = Total Assets Capital ? Where: Capital is Tier One plus Tier Two capital Total Assets all on-BS assets plus off-BS credit substitutes ? Must maintain an assets to capital multiple less than twenty ? Problems as a measure of capital adequacy: ? Based on boo