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妤俗洪
9 years ago
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1 (top-down) (bottom-up) 1980 ( ) 1970 ( ) ( ) ( ) 1990 ( ) 1970

2 60 ( ) % %(Hoshi, ( ) Kashyap and Scharfstein, 1990) 84 8 ( ) (firewall) ( ) ( ) 1980 ( (Savings and Loans Association)) 1930 (liquidity risk) (interest risk) (credit risk) (market risk) ( ) ( (capital risk) (insolvency risk) ) (solvency risk) % (financial risk) % (off-balance-sheet risk) 10 4 (technology and operational risk) 15% (foreign exchange risk) 3% (country risk)

3 61 (primary securities) (secondary securities) 9% 10% (liquidity crisis) 1 (10% 9%) 9% 1 (spillover effect) 11% 1 (bank run) (refinancing risk)( [ 1] (contagious effects) ) (bank panic) 4, , ,013 ( ) (fatal risk) ( ) 9% ( ) 10% 8% (reinvestment risk)( [ 2] ) (liquidity gap) (Euromarket) (interest margin)( (asset transformation)

4 62 ) (market value risk) [ 1] [ 2] (option risk) ( ) ( )

5 63 ( ) ( ) (duration) ( ) (diversification effects) (loan portfolio or position) (downside risk) (counterparties) (concentration risk) (firm specific (money center banks) credit risk) (systematic credit risk) (underwriting) (brokerage)

6 64 (long or short position) (trading or market risk) 8% J. P. Morgan RiskMetrics ( ) ( ) ( ) 200 ( ) (value at risk Barings VAR) (capital at risk Nick Leeson CAR) (Nikkei) (trading positions) 12 (borrow short lend long) Leeson (withdrawal risk) ( ) (internal capital or equity resources) ( ) ( )

7 65 ( ) (idle cash) (funds transfer prices FTP) (loan commitments) (mortgage servicing contracts) (forwards) (swap) (current primary claim) (current secondary claim) (contingent assets and liabilities) (technological (standby letter of credit) infrastructure) (automated teller machine ATM) (Automated Clearing Houses ACH) (Clearing House Interbank Payments Systems CHIPS) (Fedwire) SWIFT (Citicorp) 80

8 66 (economies of scale) Fedwire (economies of scope) 1985 Fedwire ( ) (clearance) (settlement) ( ) ( ) ( ) ( ) ( ) (back-office support system) ( ) ( ) (federal fund ( ) market)( ) (Fedwire)

9 67 (direct foreign investment) 1 (foreign portfolio 0.8 investments) 0.2 (pension funds) ( [ 3]) 5% % (net short position) ( [ 30% 10% 4]) (duration) ( ( ) 1 ) ( ) (pounds sterling)

10 68 (Argentina) (Peru) (Brazil) 0 ( ) 1 0 ( ) 0.8 [ 3] ( 0.2 ) 0 ( ) [ 4] ( 0.2 )

11 69 ALCO ALCO ( )

12 70 (break-even yield) ( ALCO) ( Reuters) ( ) ALCO ( ) (shedging strategies) (top-down) (bottom-up) ( ) ( ) (interest margin worksheet) (interest margin variance analysis)( ) ( ) (cumulative gap) ( ) (duration gap analysis) (duration gap) (principle of separation) ( ) ( ) (repo rate) (implied repo (account officers)

13 71 (banking portfolio) (market portfolio) ALM [ 6] [ 5] ( ) ( ) [ 5] (banking transactions) ALM

14 72 ALM ( ) ( ) [ 6] 1.Chen, J. T.(1998), Competition, Relationship and the Behavior of Bank Loan, Journal of Financial Studies, 5:3, Chow, E. H., J. T. Chen and K. H. Chen (1996), Family Business, Affiliated Groups, and the Value of Taiwanese Firms, Journal of Financial Studies, 4:1, Graddy, D. B., and A. H. Spencer (1990), Managing Commercial Banks Community, Regional, and Global, WordCrafters Editiorial Services, Inc. 4.Hoshi, T., A. Kashyap and D. Scharfstein (1990), Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationship, in R. Glenn Hubbard ed: Asymmetric Information, Corporate Finance and Investment (University of Chicago), Koch, T. W. and S. S. MacDonald (2000), Bank Management, The Dryden Press, 4th edition.

15 73 6.Saunders, A. (2000), Financial Institutions Management a Modern Perspective, McGraw-Hill Co., Chapter 7,

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89 90 0 1 1998 Directive of Settlement Finality 1 2 2 3 4 / ISP ASP format) 5 / / 6 3 7 8 9 A B B A 10 5 11 7 rule 12 13 14 (trilogy) 15 1 2 ( ) (ownership) central bank-owned systems) 16 RTGS DNS 1997