主权风险+流动性风险.ppt

内容 n国家风险 Sovereign Riskn流动性风险 Liquidity Risk概述概述 Introductionn7070年代，美国和其他国家商业银行的迅速扩张年代，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.n8080年代初，债务偿还出现问题年代初，债务偿还出现问题qDebt moratoria announced by Brazil and Mexico.qIncreased loan loss reservesqCitigroup set aside additional $3 billion in reserves for example概述概述 Introduction (continued)n80年代末和90年代初期qExpanding investments in emerging markets.qPeso devaluation and subsequent restructuring nU.S. loan guarantees under Clinton AdministrationnMore recently:qAsian and Russian crises.qTurkey and ArgentinanArgentina’s focus on fiscal surplus qEconomic growth in the 2000s and reduction in external debt.q多年重构协议（MYRAs）q布雷迪债券（Brady Bonds）外国银行所持有亚洲债务的份额外国银行所持有亚洲债务的份额国家风险国家风险（Sovereign Risk）n政府可以限制债务的偿付。

Governments can impose restrictions on debt repayments to outside creditors.qLoan may be forced into default even though borrower had a strong credit rating at origination of loan.qLegal remedies are very limited.n贷款人评估借款人的基本信用质量n贷款人评估借款所在国家的国家风险质量nNeed to assess credit quality and sovereign risk国家风险国家风险（Sovereign Risk） *债务拒付 Debt repudiationqSince WW II, only China, Cuba and North Korea have repudiated debt.*债务重新安排 ReschedulingqMost common form of sovereign risk.qSouth Korea, 1998qArgentina, 2001国家风险评估国家风险评估（Country Risk Evaluation）n外部评估模型外部评估模型 Outside evaluation models:n欧洲货币指数欧洲货币指数 The Euromoney Indexn经济学家智库经济学家智库The Economist Intelligence Unit ratingsn机构投资者指数机构投资者指数 Institutional Investor Index 经济学家智库评级经济学家智库评级机构投资者指数机构投资者指数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。

国家风险评国家风险评估估（Country Risk Evaluation）n内部评价模型 Internal Evaluation Models q统计模型 Statistical models: nCountry risk-scoring models based on primarily economic ratios.统计模型统计模型（Statistical Models）指标指标n主要指标Commonly used economic ratiosq外债偿还率外债偿还率 Debt service ratio: (Interest + amortization on debt)/Exportsq进口率进口率 Import ratio: Total imports / Total FX reservesq投资率投资率 Investment ratio: Real investment / GNPq出口收入方差出口收入方差 Variance of export revenue，q国内货币供应量国内货币供应量 Domestic money supply growth国家风险分析国家风险分析CRACRAn选择关键变量后，建立统计模型：模型的问题模型的问题 Problems with Statistical CRA Models1、关键变量的计量 Measurements of key variables.2、总体分组 Population groupsqFiner distinction than reschedulers and nonreschedulers may be required.3、政治风险因素 Political risk factors may not be capturedqStrikes, corruption, elections, revolution.qCorruption Perceptions Index模型的问题模型的问题 Problems with Statistical CRA Models 4 4、、组合方面 Portfolio aspectsqMany large FIs with LDC exposures diversify across countriesqDiversification of risks not necessarily captured in CRA models 5 5、、动机方面Incentive aspects of reschedulingq借款者和贷款者的收益Benefits-成本Cost6 6、、稳定性 Stability Model likely to require frequent updating.运用市场数据估算风险运用市场数据估算风险 Using Market Data to Measure Riskn欠发达国家的二级市场 Secondary market for LDC debtqSellers and buyersn市场组成 Market segmentsq布雷迪债券布雷迪债券 Brady Bonds是以美国财政部部长尼古拉斯·布雷迪Nicholas Brady 名字命名的一种债券，由美国政府发行，是一项供第三世界国家使用的债务工具。

把发展中国家现有的债务转为新的债务时产生的一种债券这种新债券与原来的债券相比,面值较小或名义利率较低,但通过对其本金和(或)部分利息提供抵押担保等方式可以提高q主权债券主权债券 Sovereign Bondsq正常贷款正常贷款 Performing LDC loansq不良贷款不良贷款 Nonperforming LDC loans发展中发展中国家的国家的贷款价格贷款价格影响贷款价格的主要变量影响贷款价格的主要变量 Key Variables Affecting LDC Loan Pricesn通过实证检验，影响显著的变量（significant variables）q外债偿还率 Debt service ratiosq进口率 Import ratioq积累债务欠款 Accumulated debt arrearsq贷款损失准备 Amount of loan loss provisions处理国家风险敞口的机制处理国家风险敞口的机制 Mechanisms for Dealing with Sovereign Risk Exposuren债权-股权互换 Debt-equity swapsqExample: nCitibank sells $100 million Chilean loan to Merrill Lynch for $91 million.nMerrill Lynch (market maker) sells to IBM at $93 million.nChilean government allows IBM to convert the $100 million face value loan into pesos at a discounted rate to finance investments in Chile.多年重组协议多年重组协议 MYRAsnAspects of MYRAs:q重构贷款的费用Fee charged by bank for restructuringq新贷款的利率 Interest rate chargedq宽限期Grace periodq贷款的期限 Maturity of loanq期权特性 Option featuresn受让Concessionality = 贷款的现值 - 重组贷款的现值n = PV0 - PVR假设原贷款是2年期的$1亿，原贷款条件下，借款人必须在第1年、第2年末分别偿还本金$ 5000万，贷款利率为10%，银行融资成本8%。

假设借款国第1年和第2年无法偿还$6000万和$ 5500的本息，为防止违约拒付，银行达成MYRAs，条款如下：MYRAsMYRAs的特征的特征银行受让银行受让MYRAsMYRAs的期权特征的期权特征n币种期权：假定银行给发展中国家1年期贷款，贷款人有权选择接受1000万美元或者是650万英镑下图是一年后可能的汇率期权价值其他机制其他机制 Other Mechanismsn贷款出售 Loan Salesn债券-贷款互换 Bond for Loan Swaps (Brady bonds)qTransform LDC loan into marketable liquid instrument.qUsually senior to remaining loans of that country.流动性的概念流动性的概念n流动性有两种不同的概念n第一种，流动性风险是一种对连续筹资的需求n第二种，流动性是指当突然的危机发生时对筹资的需求nLiquidity riskLiquidity risk refers to the risk that the bank would be unable to generate a sufficient cashflow to meet financial obligations 流动性风险流动性风险n流动性风险的成因流动性风险的成因 n负债方面的原因 ：n存款人或保险单持有人实现他们的金融要求权时n资产方面的原因： 贷款承诺 净存款外流的分布净存款外流的分布金融机构和流动性风险敞口金融机构和流动性风险敞口FIs and Typical Liquidity Risk ExposurenHigh exposureqDIsnModerate ExposureqLife Insurance CompaniesnLow exposureqMutual funds, hedge funds, pension funds, property—casualty insurance companies.nTypically low, does not mean zero:September 2006, Amaranth Advisors, a hedge fund forced to shut down商业银行流动性风险的成因商业银行流动性风险的成因——负债方面负债方面Causes of Liquidity Risk for DIsn负债方面的流动性风险 Liability sidenReliance on demand depositsqCore depositsqDepository Institutions need to be able to predict the distribution of net deposit drains.nSeasonality effects in net withdrawal patternsnEarly 2000s problem with low rates: finding suitable investment opportunities for the large inflows商业银行流动性风险的成因商业银行流动性风险的成因——资产方面资产方面Causes of Liquidity Riskn资产方面的流动性风险 Asset side¨Risk from loan commitments and other credit lines，May result from OBS loan commitments，May be forced to liquidate assets too rapidly，Faster sale may require much lower price¨met either by borrowing funds or by running down reserves流动性风险管理流动性风险管理 Traditional approach: reserve asset management. Alternative: liability management. 负债管理负债管理: : 调整仅仅发生在负债方面 通过市场的获得购买资金 purchased liquidity management 联邦资金市场和回购协议市场 Federal funds market or repo 发行固定期限的存款单 变现证券 储备资产调整储备资产调整：（：（stored liquidity management） 问题：导致银行规模的缩小；要求持有超额无息资产 负债管理负债管理 Liability ManagementAssetsLiabilitiesAssets100Deposits70Borrowed funds10Other Liabilities20100100AssetsLiabilitiesAssets100Deposits65Borrowed funds15Other Liabilities20100100储备资产调整储备资产调整 Stored Liquidity ManagementAssetsLiabilitiescash9Deposits70Other assets91Borrowed funds10Other Liabilities20100100AssetsLiabilitiescash4Deposits65Other assets91Borrowed funds10Other Liabilities209595资产方流动风险的管理资产方流动风险的管理Asset Side Liquidity RiskAssetsLiabilitiescash9Deposits70Other assets91Borrowed funds10Other Liabilities20100100资产方流动风险的管理资产方流动风险的管理Asset Side Liquidity RiskAssetsLiabilitiescash4Deposits70Other assets96Borrowed funds10Other Liabilities20100100AssetsLiabilitiescash9Deposits70Other assets96Borrowed funds15Other Liabilities20105100银行流动性风险的衡量银行流动性风险的衡量 Measuring Liquidity Exposuren净流动性报告（Net liquidity statement），列出流动性的来源和用途。

n净流动性头寸净流动性头寸n流动性来源（Sources） 1、全部现金型资产 $ 2，0002、最大借入资金限额 12，0003、超额现金准备 500 流动性来源总计流动性来源总计 $ $ 1414，，500500 流动性使用（Uses）1、借入现金 $ 6，0002、借入联邦储备 1，000 流动性运用总计流动性运用总计 $ $ 7 7，，000000 净流动性合计净流动性合计 $ 7$ 7，，500 500 其他方法其他方法 Other Measures 同行业比率比较同行业比率比较 Peer group comparisonsPeer group comparisons ratios include：borrowed funds/total assets, loan commitments/assets etc. 流动性指数流动性指数 Liquidity indexLiquidity index 融资缺口和融资需求融资缺口和融资需求Financing gap and the financing requirementFinancing gap and the financing requirement流动性计划流动性计划 Liquidity plan Liquidity plan 流动性指数流动性指数 Liquidity indexn衡量金融机构因资产突然或紧急出售处理的收入，与正常市场情况下（可能需要较长的时间找寻和谈判）的公平市场价相比得出的潜在损失。

nWeighted sum of “fire sale price” P to fair market price, P*, where the portfolio weights are the percent of the portfolio value formed by the individual assets. 例例n一家金融机构有两种资产：国库券与房地产贷款50% 如果今天金融机构要将国库券变现，100元面值可以收到99元；如果等到到期（一个月）才兑现，可以得到100元（P1*）如果今天将其不动产贷款变现，100元面值它可以收到85元（P2），月末变现的话，可收回92元（P2*）金融机构资产组合一个月的流动性指数是：nI = （1/2）[（.99/1.00）] + （1/2）[（.85/.92）]n = 0.495 + 0.492n = 0.957融资缺口和融资需求融资缺口和融资需求Financing gap and the financing requirement n融资缺口 = 平均贷款 – 平均存款Financing gap = Average loans - Average depositsn融资缺口 = -流动资产 + 借入资金 n融资缺口 + 流动资产 = 融资需求（借入资金） financing gap + liquid assets = financing requirementn银行的融资缺口和持有的流动资产越大，它需要从货币市场借入的资金数量越大，因此承受的流动性风险也就越大。

n融资缺口增大是银行未来流动性问题的警报，贷款者将关注银行的信用状况，可能对借出资金要求更高的风险溢价或更严格的信用限额 巴塞尔方法巴塞尔方法 BIS Approach nMaturity ladder/Scenario AnalysisMaturity ladder/Scenario AnalysisqFor each maturity, assess all cash inflows versus outflowsqDaily and cumulative net funding requirements can be determined in this mannerqMust also evaluate “what if” scenarios in this framework巴塞尔方法确定净资金要求巴塞尔方法确定净资金要求 到期日阶梯到期日阶梯 Maturity ladderMaturity ladder流动性管理流动性管理----流动性计划流动性计划 Liquidity Planningn流动性计划的构成n描述流动性管理内容和职责 n列出最有可能提款的存款人和季节性提款seasonal effects n潜在存款规模和未来各个时点的资金流出（一周、一个月、一年等）和填补这些流出的可供选择的资金来源 n分支机构借入的内部限额和在各种市场（同业市场、回购市场、大额存单市场等）支付的可接受的风险溢价的限度。

累计融资缺口累计融资缺口银行流动性计划中的存款分布及预期取款银行流动性计划中的存款分布及预期取款未预期的存款外流和银行挤兑未预期的存款外流和银行挤兑 Bank Runs n1、对一家银行相对其它银行的清偿能力的担心concern about bank’s solvency.n2、相关银行的倒闭导致存款人对其他银行清偿能力担心的增加（扩散影响） Failure of a related FI n3、投资倾向的突然转变，Sudden changes in investor preferences.n4、先到先得，Demand deposits are first come first served. Depositor’s place in line matters.n5、银行恐慌，Bank panic: systemic or contagious bank run银行挤兑与当局的措施银行挤兑与当局的措施 Alleviating Bank Runs挤兑的核心问题： 活期存款契约具有“先来先偿还”的性质防范流动性风险的措施 存款保险FDIC和贴现窗口制度Discount windowNot without economic costs.qFDIC protection can encourage DIs to increase liquidity risk.其他金融机构的流动性风险其他金融机构的流动性风险Liquidity Risk for Other FIsq人寿保险公司人寿保险公司 Life Cos. Hold reserves to offset policy cancellations. The pattern is normally predictable.q财产意外保险公司财产意外保险公司 Problem is less severe for P&C insurers since assets tend to be shorter term and more liquid.nHowever, spikes in claims can be problematic. Hurricane Andrew precipitated 11 bankruptcies and wholesale restructuring of Florida insurance. Claims due to sequence of hurricanes Charlie, Frances, Ivan, and Jeanne (fall 2004) as large as losses from Andrew.投资基金投资基金 Investment FundsnMutual funds, hedge fundsqNet asset value (NAV) of the fund is market value. qThe incentive for runs is not like the situation faced by banks. qAsset losses will be shared on a pro rata basis so there is no advantage to being first in line.nHedge funds implicated in some severe liquidity crisesqExample: Long Term Capital Management 思考题。