Financial risk management in banking: the theory & application of asset & liability management
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Chicago, Ill. u.a.
Bankers Publ.
1993
|
| Schriftenreihe: | Bankline
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005435532&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XVIII, 361 S. graph. Darst. |
| ISBN: | 1557383537 |
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| 245 | 1 | 0 | |a Financial risk management in banking |b the theory & application of asset & liability management |c Dennis G. Uyemura ; Donald R. Van Deventer |
| 264 | 1 | |a Chicago, Ill. u.a. |b Bankers Publ. |c 1993 | |
| 300 | |a XVIII, 361 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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Datensatz im Suchindex
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| adam_text | TABLE OF CONTENTS
List of Figures xi
List of Tables xiii
Introduction xvii
Chapter 1: What Is Asset and Liability Management? 1
1.1 The Risk and Return Tradeoff in ALM 3
1.2 The Goal of ALM 4
1.3 Types of Risk 5
1.4 Which Risks Cause Banks to Fail? 6
1.5 Financial Organization Structure:
Who Does ALM? 7
1.6 The ALM Process 8
1.7 The Characteristics of a Successful Asset
and Liability Manager 10
1.8 Take Home Messages of This Book 11
1.9 Summary 11
Chapter 2: The Nature of Risk, Return, and Performance
Measurement 13
2.1 What Is Risk? 14
2.2 What Is Return? 17
2.3 Shareholder Value Added 18
2.4 Case Study on Profitability Measures 19
2.5 Distinction Between SVA and Portfolio ROE 22
2.6 Summary 23
jv Table of Contents
Appendix 2A: Detailed Calculation of SVA
Cash Flows 24
Chapter 3: Capital Regulation 25
3.1 Foundations of Banking Safety and Soundness 26
3.2 Capital Regulation Replaces Regulation Q 28
3.3 Primary Capital: A Prescription for Higher Risk 29
3.4 The Desire to Level the International Playing Field 31
3.5 Risk Based Capital: Salvation or Panacea? 34
3.6 Risk Based Capital: Illustrative Example 34
3.7 Shortcomings of Risk Based Capital 37
3.8 Consequences of RBC Standards 38
3.9 Administering the RBC Standards 40
3.10 Summary 40
Chapter 4: Using Market Signals in Loan Pricing and
Capital Allocations 41
4.1 One Fundamental Problem with Banking 42
4.2 Use of Market Signals in Capital Management 45
4.3 Objections to and Disadvantages of Using Market
Capital Signals 46
4.4 An Alternative Approach for Market Capital 47
4.5 Capital Allocations 48
4.6 Some Observations on the Standard Deviation Method 49
4.7 Establishing a Hurdle Rate on Economic Capital 53
4.8 Access to New Capital 54
4.9 Issues in Implementing Market Capital Measures 56
4.10 How Not to Implement a Market Approach 56
4.11 Summary 57
Appendix 4A: Comments on the Cost of Capital 58
Chapter 5: Interest Rate Risk Overview 59
5.1 Target Accounts: An Example of Multidimensionality 60
5.2 Case Study on Interest Rate Risk Management:
The Problem 62
5.3 Discussion of Case Study Results 63
Table of Contents v
5.4 The Traditional Priorities of Some Important
Constituencies 67
5.5 The Bond Analogies 68
5.6 A Review of All Possible Interest Rate Risk Strategies 71
5.7 Interest Rate Risk and the Cost of Bankruptcy 73
5.8 The Interest Rate Risk Safety Zone 75
5.9 Summary 76
Appendix 5A: Is Interest Rate Risk Diversifiable? 78
Appendix 5B: The Relationship Between the Interest
Rate Volatility of Net Interest Income and the Market
Value of Equity 79
Appendix 5C: Derivation of the Hedging Conditions
for the Interest Rate Risk Target Accounts 81
5C.1 Equations for the Market Value of
Equity Target 82
5C.2 Equations for the Economic Equity Ratio Target 84
5C.3 Equations for the Net Interest Income Target 85
Chapter 6: Interest Rate Risk Mismatching and Hedging 89
6.1 Introduction to the Yield Curve 90
6.2 Example Calculation of Implied Forward Rates 91
6.3 Interest Rate Mismatching Case Study 94
6.4 Criteria for Interest Rate Mismatching 101
6.5 To Mismatch or Not to Mismatch? 101
6.6 Hedging Balance Sheet Mismatches 103
6.7 Hedging with Financial Futures 104
6.8 Effects of a Futures Hedge on the Bank s
Financial Results 106
6.9 Illustrating a Hedge Analysis at an ALCO Meeting 109
6.10 Hedge Simulation with Bank Forecast Higher than
Implied Forward Rates 114
6.11 Historical Simulation Using Actual Futures and
Spot Rates 116
6.12 A Comment on Evaluating Hedge Performance and
Back Seat Drivers 122
6.13 Summary 123
Appendix 6A: Detailed Results of Historical
Futures Analyses 124
vi Table of Contents
Chapter 7: Interest Rate Risk Analyses: Gap Analysis and
Simulation Models 127
7.1 Objectives of Interest Rate Risk Analytical Techniques 128
7.2 Gap Analysis 129
7.3 Shortfalls of Gap Analysis 132
7.4 Uses for Gap Analysis 134
7.5 Simulation Modeling: The Brute Force Approach 135
7.6 A Simulation Model Specification for the Case
Study Example 136
7.7 The Concept of Securities in Simulation Models 137
7.8 Specifications for Forecast Assumptions 139
7.9 Solving the Model 141
7.10 Portfolios as Tractors 143
7.11 Displaying the Simulation Results 146
7.12 A Look Inside the Solved Model 147
7.13 Some Comments on Data Feeds and Interfaces 148
7.14 On Developing In House Simulation Software 149
7.15 Summary 150
Appendix 7A: Some Thoughts on Implementing
and Using Simulation Software 151
Chapter 8: Interest Rate Risk Analyses: Duration 155
8.1 Introducing Interest Rate Elasticity:
Duration Incognito 156
8.2 Duration Calculations Made Easy 157
8.3 From Duration to Interest Rate Elasticity 161
8.4 Application of IRE Analysis to Case
Study Example 163
8.5 HELP! I Didn t Understand the Duration/IRE
Equations! 166
8.6 Summary 167
Appendix 8A: Duration Intuition and Bond
Immunization 168
Appendix 8B: Mathematical Derivation of the
IRE Equation 174
Table of Contents vii
Chapter 9: Interest Rate Risk Characteristics of Bank Products 177
9.1 Prime Based Loans: An Example of Short Term
Spread Risk 180
9.2 The Money Market Deposit Account 183
9.3 The Need for a Generic Long Term Tractor in ALM 184
9.4 Demand Deposits 188
9.5 Cash and Due From Bank Balances 190
9.6 Mortgage Loans 191
9.7 Incorporating Prepayment Risk into ALM Analyses 196
9.8 Other Option Features of Bank Products 197
9.9 Summary 199
Appendix 9A: A Primer on Option Pricing 201
Chapter 10: Credit Risk and Other Risk Factors 205
10.1 The Effects of Asset Quality on Bank Borrowing
Spreads 206
10.2 Credit Risk and Shareholder Value 209
10.3 Diversification of Credit Risk 212
10.4 Credit Risk Portfolio Management 214
10.5 Measuring the Diversification of the Loan Portfolio 216
10.6 Collateral and Credit Risk 217
10.7 Stock Market Risk 218
10.8 Foreign Exchange Risk 219
10.9 Measuring Foreign Exchange Risk 220
10.10 Summary 224
Appendix 10A: An Options Theory Approach to
the Value of Bank Debt and Equity 225
Appendix 10B: Pricing Risky Loans and the Bank s
Own Cost of Funds 227
Appendix 10C: Binomial Option Pricing Approach
to the Bank s Own Credit Risk 228
Appendix 10D: Quantifying the Effects of
Diversification on Loan Portfolios 230
Chapter 11: Liquidity Analysis 233
11.1 What Is Liquidity Risk? 234
11.2 A Simple Balance Sheet Model of Liquidity 235
viii Table of Contents
11.3 Balance Sheet Liquidity Characteristics 236
11.4 Managing Liquidity Risk: Perceptions and Reality 240
11.5 Measuring Liquidation Cost Risk 242
11.6 Controlling Liquidity Risk and the Safety Zone 245
11.7 Diversification of Funding Sources 246
11.8 The Contingency Planning Process 247
11.9 Summary: Liquidity Risk and Shareholder Value 249
Appendix 11 A: Just What Is the Liquidity Premium
Anyway? 250
Appendix 11B: The Cost of Bankruptcy and Liquidation
Costs 251
Appendix 11C: Liquidity in the Banking Industry 253
Chapter 12: Asset Securitization and Shareholder Value 259
12.1 Asset Securitization: An Overview 260
12.2 The Risk Based Capital Ratio Impact on Originators
and Buyers of Securitized Assets 262
12.3 Securitization of Mortgage Loans 263
12.4 Securitization of Other Assets 267
12.5 Securitization and Capital Ratios From a Shareholder
Value Perspective 271
12.6 The Impact of Securitization on the Cost of Funds 272
12.7 The Costs and the Process of Securitization 275
12.8 Shareholder Value and Securitization: A Summary 276
Chapter 13: Profitability Measurement 279
13.1 Guiding Principles 281
13.2 Components of the Profitability System 282
13.3 Budgeting, ALM, and Shareholder Value 283
13.4 Cost Allocations 285
13.5 A Cost Allocation Strategy 286
13.6 Internal Funds Transfer Pricing 292
13.7 Credit Allocations 293
13.8 Capital Allocations 298
13.9 Summary 299
Appendix 13A: Cost Allocation Case Study 301
Appendix 13B: Profitability Case Study 307
Table of Contents ix
Chapter 14: Transfer Pricing 319
14.1 Objectives of Transfer Pricing 320
14.2 Overview of Matched Maturity Transfer Pricing 321
14.3 Advantages of the Matched Maturity Transfer
Pricing Method 325
14.4 Selecting a Transfer Pricing Yield Curve 327
14.5 Target versus Actual Credit Rating of the Bank 329
14.6 Applying the 80/20 Rule to Transfer Pricing 331
14.7 Use of Guaranteed Product Spreads 332
14.8 Advantages and Disadvantages of the 80/20 Rule 334
14.9 Prepayment Risk 335
14.10 The Liquidity Commitment Spread 336
14.11 Spread or Basis Risk 338
14.12 A Survey of Transfer Pricing Adjustments 340
14.13 Transfer Pricing Items Without Maturities:
DDA and Equity 342
14.14 Hedging Strategy for the Large Transaction Book 342
14.15 Summary 343
Chapter 15: Putting It AH Together 345
Bibliography 349
Index 351
List of Figures
1.1 Risk and Return Profiles 3
2.1 Net Cash Flow of Bank A 14
2.2 Net Cash Flow of Bank B 15
3.1 Foundations of Safety and Soundness
(1930s 1970s) 26
3.2 Foundations of Safety and Soundness
(1980s 1990s) 28
3.3 Bank Failures in the 1980s 30
3.4 Bank Failures by Decade (1930s 1980s) 31
4.1 Risk Premium by Credit Rating 43
4A.1 1990 Large Bank Results 58
6.1 Sample Yield Curves 90
6.2 Calculation of the Three Month Forward
Three Month Yield 93
6.3 Comparison of Net Interest Income 97
6.4 Simulated Hedge Analysis 113
6.5 Simulated Hedge Analysis—Forecasted Rates Higher
Than Implied Forward Rates 115
6.6 Futures Hedge Simulation 121
6.7 Historical Hedge Analysis 122
7.1 The Tractor Analogy 143
7.2 Simulation Results 146
8.1 Bond Price Behavior 163
8A. 1 Price Versus Reinvestment Risks 171
8A.2 Immunization Example 174
9.1 Prime Rate Compared to 90 Day LIBOR 180
9.2 Prime Rate Analysis 181
9.3 Demand Deposit Balances 189
xi
xij List of Figures
9.4 Demand Deposit Seasonality 190
9A.1 Diagram of Assumed Interest Rate Movements 201
10.1 Asset Volatility Effect 207
10.2 Leverage Effect 213
10.3 Maturity Effect 209
10.4 Diversification Effect 213
11.1 Balance Sheet Liquidy Model 236
12.1 Cash Flows Associated With a Typical Credit
Receivables Issue 268
12.2 Cash Flows for a Typical Home Equity Loan
Structure 269
12.3 Cumulative Public Asset Backed Securities 270
12.4 Public Asset Backed Securities Annual Volume 270
13.1 Cost Allocationsl 287
14.1 Matched Maturity Transfer Pricing 324
List of Tables
2.1 List of Case Study Opportunities 20
2.2 Calculation of SVA 20
2.3 Profitability of Each Opportunity 21
2.4 Summary of Profitability Measures 21
3.1 Largest 25 Banks in the World by Country 32
3.2 Capital Ratio Summary for Large International Banks 33
3.3 Risk Based Capital Illustrative Example ABC Bank 35
3.4 Calculation of Risk Adjusted Assets 35
3.5 RBC Calculations for Illustrative Example 36
4.1 Illustration of Capital Allocation Calculations
for ABC Bank 50
4.2 Illustration of Distinction Between Reserves
and Equity 52
5.1 Interest Rate Risk Case Study 63
5.2 Interest Rate Risk Case Study Results 64
5.3 Quarterly Net Interest Income Using a Three Month
CD Maturity and Rates Rise 1% 65
5.4 Market Value Calculations for Case Study Problem
Using Three Month CD and Rates Rise 1% 66
5.5 The Two Most Important Funding Strategies 69
5.6 Effects of a Rise in Interest Rates 70
5.7 Summary of All Possible Interest Rate Risk
Positions—Effects of a Rise in Interest Rates 71
5B.1 Income Statement for a High Performance Bank
Stated as a Percentage of Total Assets 80
5B.2 Effect of a 100 Basis Point Increase in the Yield
Curve for Various Balance Sheet Mismatch
Positions 81
6.1 Hypothetical CD Yield Curve 91
xiii
XjV List of Tables
6.2 Presentation of Cash Flows Used to Calculate the
Implied Forward Yield 94
6.3 Implied Forward Rates From the Yield Curve in
Table 6.1 95
6.4 Summary of Net Interest Income: Six Month CD
Funding 95
6.5 Summary of Cash Flows: Three Month CD Funding
With a 1% Rise in the Yield Curve 96
6.6 Summary of Quarterly Net Interest Income if Implied
Forward Rates Occur as Forecasted 99
6.7 Balance Sheet Hedging Example 104
6.8 Six Month Cash Flow Analysis of Futures Hedge
Example for Three Month CD Rate 107
6.9 Effects of Futures Hedge on Six Month Net Interest
Incomes 108
6.10 ALCO Probability Distribution for the April 1
90 Day CD Rate 111
6.11 Calculation of Monte Carlo Results for the Unhedged
and Hedged (Eight Contract) Strategies 111
6.12 Simulation Results for Various Futures Hedge
Ratios 112
6.13 Simulation Results for Various Futures Hedge Ratios—
Forecasted Rates Higher Than Implied Forward
Rates 114
6.14 Data Used for Historical Simulation 117
6.15 Calculations for One Futures Hedge Historical
Analysis 118
6.16 Calculation of the Hypothetical Perfect Hedge 120
6.17 Hedge Performance Evaluation for the Historical
Example 120
6A.1 Summary of Historical Hedge Analyses for Selected
Numbers of Futures Contracts 125
6A.2 Summary of Efficiency Ratios for Historical Hedge
Analysis 126
7.1 Gap Analysis for Case Study Bank Using 4.5 Month
CD Funding 130
7.2 Case Study Net Interest Income by Quarter Using
4.5 Month CD 131
7.3 Chart of Accounts for Case Study Example 137
7.4 Initial Securities for Case Study Simulation Model 138
List of Tables xv
7.5 Summary Reports for Case Study Simulation Model 142
7.6 Initial Securities for Case Study Simulation Model 147
8.1 Duration Calculation for Two Zero Coupon Bonds 158
8.2 Duration of a Coupon Bond 159
8.3 Market Value of a Three Year Annual Coupon
Bond 162
8.4 IRE Analysis for Case Study Example 164
8.5 IRE Analyses for Various CD Maturities 166
8A.I Total Returns Over Seven Year Horizon Purchase of
Seven Year 8% Coupon Bond 169
8A.2 Total Returns Over Seven Year Horizon Purchase of
10 Year 8% Coupon Bond 169
8A.3 Price Risk Versus Reinvestment Risk 170
8A.4 Example of Bond Immunization 172
9.1 Sources of Interest Rate Risk in Bank Activities 178
9.2 Interest Rate Gap Analysis for Prime Based Loans 182
9.3 Hypothetical Gap Profile for MMDA Balances 187
9.4 Example IRE Calculation for MMDA Balances Based
on Hypothetical Regression Results 188
9.5 OTS Mortgage Prepayment Assumptions 192
9.6 Some Reasons for Mortgage Prepayments 193
9.7 Case Study Situation for Analysis of Mortgage
Prepayments 194
9.8 Effects of Rate Shifts on Prepayment Rates and
Weighted Average Lives of Mortgages 194
9.9 Effects of Prepayments on Case Study Bank Earnings
and Market Value of Equity 195
10.1 Interest Rate Sensitivity 221
10.2 Yen Interest Rate Sensitivity Gaps 222
10C.1 One Year Break Even Funding Costs 230
11.1 The Cost of Liquidating Typical U.S. Bank Assets
Transactions Costs as a Percentage of Market
Value 243
11 A.I Two Year Floating Rate Break Even Funding Costs 251
11C.1 Liquidity in the Banking Industry—1985 Data 254
11C.2 Liquidity in the Banking Industry—1991 Data 256
12.1 Effect of Securitization on Overall Funding Costs 274
12.2 Categories of Costs Associated With Asset
Securitizations 275
xvi List of Tables
13.1 Components of a Profitability System 283
13.2 Sample Unit Cost Category Assignments 287
13.3 Example Annual Provision Calculations 295
13A.1 Case Study Bank Units and Product Groups 301
13A.2 Summary of Pertinent Budget Items 302
13A.3 Allocation Survey Results for Product Support and
Line Units 303
13A.4 Summary of Overhead Allocations to Product Support
and Line Units 303
13A.5 Summary of Product Support Expense Allocations
to Product Groups 304
13A.6 Summary of Line Unit Expense Allocations to
Product Groups 304
13A.7 Summary of Total Cost Allocations Across All
Product Groups 305
13A.8 Summary of Standard Unit Cost Factors 305
13A.9 Expense Efficiency Ratio Analysis 306
13B. 1 Unit and Total Bank Budgets 308
13B.2 Balance Sheet Allocations 309
13B.3 Transfer Pricing Bankwide Summary and
Allocations 311
13B.4 Product Support and Overhead Expense Allocation to
Line Units 313
13B.5 Unit Profitability Reports 314
13B.6 Product Profitability Reports 317
14.1 Transfer Pricing Case Study Matched Maturity
Method 322
14.2 Matched Maturity Funds Transfers for the Case Study
Situation in Table 14.1 323
14.3 Contrast Between Faulty and Correct Pricing
Analyses 326
14.4 Spreads Between Prime Rate and Optimal Funding
Portfolio 333
14.5 Calculation of Hypothetical System Complexity
Levels 334
14.6 Products Associated with a Liquidity Commitment
Spread 338
14.7 Probability Distribution of Prime Rate Spreads 339
14.8 Survey of Transfer Pricing Elements 341
|
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| id | DE-604.BV008234527 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T09:18:49Z |
| institution | BVB |
| isbn | 1557383537 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-005435532 |
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| owner_facet | DE-739 DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-188 |
| physical | XVIII, 361 S. graph. Darst. |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | Bankers Publ. |
| record_format | marc |
| series2 | Bankline |
| spellingShingle | Uyemura, Dennis G Van Deventer, Donald R. Financial risk management in banking the theory & application of asset & liability management Asset-liability management Bank (DE-588)4004436-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4121590-4 |
| title | Financial risk management in banking the theory & application of asset & liability management |
| title_auth | Financial risk management in banking the theory & application of asset & liability management |
| title_exact_search | Financial risk management in banking the theory & application of asset & liability management |
| title_full | Financial risk management in banking the theory & application of asset & liability management Dennis G. Uyemura ; Donald R. Van Deventer |
| title_fullStr | Financial risk management in banking the theory & application of asset & liability management Dennis G. Uyemura ; Donald R. Van Deventer |
| title_full_unstemmed | Financial risk management in banking the theory & application of asset & liability management Dennis G. Uyemura ; Donald R. Van Deventer |
| title_short | Financial risk management in banking |
| title_sort | financial risk management in banking the theory application of asset liability management |
| title_sub | the theory & application of asset & liability management |
| topic | Asset-liability management Bank (DE-588)4004436-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Asset-liability management Bank Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005435532&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT uyemuradennisg financialriskmanagementinbankingthetheoryapplicationofassetliabilitymanagement AT vandeventerdonaldr financialriskmanagementinbankingthetheoryapplicationofassetliabilitymanagement |