: RETAIL BANKING

005 -

(Course 1)

(Course 2)
(Course 3)

 Copyright 2004, , . . .
, ,
,
.



Retail Banking.


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. ,
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(1 course)
, ,
.

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-, ,
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, (2 course),

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, (3 course)
,
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& ..
, .


(COURSE 1)
1
............................ 9
...........................................................................................11
1. ........12
2. .............................................13
3. ...................................................17
..........................................................................................................................................22
2 -
.......................................................................................23
...........................................................................................25
1. ................26
2. ................33
3. .......................54
4.
.............................................................................................................................................58
....................................................................................................................................................70
..........................................................................................................................................74
3
...............................................................................75
...........................................................................................77
1.
................................................................................................................................................78
2. ..................................84
3.
............................87
4. ................................93
........................................................................................................................................100
4 ........ 101
.........................................................................................103
1.
..............................................................104
2.
.............................................106
3.
.................................108
........................................................................................................................................128

(COURSE 2)
1

............................................................................................................... 129
.........................................................................................131
1. .132
2. .........................137
3.
...........................................................................................................................................138
4.
.............................................................................140

 5. ........147
6. - ..................148
........................................................................................................................................150
2
................................................................................... 151
.........................................................................................153
1. .............................................................................154
2. ...................................................156
3. ............................161
4. - ..........................167
........................................................................................................................................168
3
............................................................................................ 169
.........................................................................................171
1. .......172
2. ........................................173
3.
......................................................................................177
4. .178
5.
............................................................................................................................................179
6. 181
........................................................................................................................................184
4 .............. 185
.........................................................................................187
1. ....................................................................188
2. ..................................190
3. .......................................192
4. ....................................194
........................................................................................................................................196

(COURSE 3)
1 ,
& ...................................... 197
.........................................................................................199
1. ..............................................................................................200
2.
...........................................................................................................................................204
3.
................................................................................................................................207
4.
...........................................................................................................................................210
........................................................................................................................................219
2
............................................................................................................................ 221
.........................................................................................223
1. .....................................224
2. ..........................228
3.
...............230
4. .................................................232
........................................................................................................................................238

 3 :

UNIVERSAL BANKS ....................................................................... 239
.........................................................................................241
1.
................................................................242
2. UNIVERSAL BANKING, SPECIALISED BANKING
..............................................................246
3. :
..........................................................................................250
4. ....................251
5.
; ............................................................................................256
6. ....................259
7. :
...........................................................................263
8. UNIVERSAL BANK :
; .....................267
........................................................................................................................................274
4
.................................................................................................... 275
.........................................................................................277
1. .........................................................................................................278
2. ............................................................279
3. ...............280
4. ....................................................................................282
5. -
.............................................................284
6. ...................................286
7. ..................................................................290
........................................................................................................................................291

005 -

Course 1 -

10


, -
, .
,
-
,
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, ,
-,
2 .

11

 1.

, (financial
intermediation), ,
.
(risk), . ,

,
. ,
, - .

.
,
. ,
.
,
, ,
, ,
, . ,
, ,
.
,
, ,
- (management) . ,
,
, ,
. ,
,
1 - Asymmetric Information Problem (De
Meza & Webb 1987, Bester & Hellwig 1991), ,
, ,
(Rose & Sanford 1990).
,
,
. ,
,
,
,
.

, , ..
(1998), ,
, . 1 .

12

 2.
- ,
,
.

-.
,

-.
1,

,
, ,
.
,
.

1

&

R=

D=

L= ( )

A=

()

()

2.
,
.
, ,
,
.
, ,
,
. , ,
, -,
. ,
.

2
.. (1998), ,
, . 3 .

13

 1 ()
,
:
R+L=D+E=A

(1)

,
.
bA

(2)

RkD

(3)

,
. ,
.
2 3 .
( 2).
2

&
R= k D

D =

L= ( )

= b A

A=

()

()

,
, R, D, E L.
:
D = (1- b) A

(4)

2.4 2.3 :
R = k (1- b) A

(5)

2.1 L = A - R,
L = [1-k (1-b)] A

(6)

14

&

R= k (1- b) A

D = (1- b) A

L= [1-k (1-b)] A

= b A

A=

()

()

,
. , :
) r .
) c ,
.
) (Net Income - NI) :
NI = rL - cD

(7)

.
6 L, 4 D,
:
NI = [ r-rk(1-b) - c(1-b)]A

(8)

NI = [r -(rk + c)(1-b)]A

(9)

, ,
, , .
4.

15

 4

( , , )
:

0R=0

r L = rL

rL

- cD
rL-cD

NI, .
/, - spread3,
,
.
,
,
(Return on Equity - ROE) :
ROE = NI / E = NI / bA = [r- (rk+ c)(1-b)] / b

(10)

ROE = r [1-k (1-b)] / b - c (1-b) / b

(11)

ROE .
, ROE
,
, .
, ROE ,
.

.
3 , - .

16

 3.
, :
, ,
. , (9) ,
.
, (11) ROE , k , ,

. ,
, , .
, ROE b ( ) ,
. ,

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, . ,
, ,
, .
,
, b k, ROE. 5
, .
k, 4% 10%. ,
b. , ROE
b k .
ROE k b
.
5
k b ROE
ROE = { r [1-k(1-b)] / b} - {c (1-b) / b}

r = 0,12

k= 0,04

k=0,10

b = 0,04

0,965

0,792

b= 0,10

0,437

0,372

c= 0,08

,
ROE, .
11 :
= 1 / b

17

 = - 1 = (1-b) / b
2.11 :
ROE = r (X - kY) - cY

(12)

r c ,
, ,
, ,
ROE :
(ROE) =(r)(X-kY)+(c)Y-2(r,c) (r)(c)(X- kY)Y

(13)

(ROE) ROE, (ROE) , (r, c),

r c.
, ,
(ROE) , (r,c)
0 .
,
.
6 r c,
ROE. 6, r c
( , ),
, . ROE
, .
,
,
, ,
, ,
.
6
r c
ROE = { r [1-k(1-b)] / b} - {c(1-b) / b}
c= 0,0600

c= 0,0800

c= 0,100

r = 0,0800

0,3384

-0,0416

-0,4216

r = 0,1000

0,7080

0,3280

-0,0520

r = 0,1200

1,0776

0,6976

0,3176

: k = 0,08 b = 0,05

18

 7 .
,
, .


. ,
.

7
b k
ROE = { r [1-k(1-b)] / b} - {c(1-b) / b}
k= 0,04

k=0,0

b = 0,04

0,965

0,115

0,792

0,109

b= 0,10

0,437

0,017

0,372

0,016

: r = 0,12, c=0,08 (r,c) = 0

: (r) = (c) = 0,0001.
(ROE) = (r) (X- kY) + (c) Y.

General & Overall Services (GOS), :

1.500.000

11.500.000

15.000.000

8.000.000

3.000.000


7.000.000

19

 k=0,1
b=0,3478.
1.
c=5%, 10%,
8% 6%
2. ROE,
.
3. :
k 0,08 b, r=10% c=7%,
r=11% c=7%,
.
.
4.
;

1. : NI = rL - cD
NI=0,17.000.000 + 0,0811.500.000 + 0,063.000.000 - 0,0515.000.000NI=1.050.000
2. ROE :

r [1 k (1 b )] c (1 b )
ROE =

b
b

10 + 8 + 6
, :
= 8%
3
ROE :

0,08 [1 0,1 (1 0,3478)] 0,05 (1 0,3478)

ROE=
= 0,121

0,3478
0,3478

3.

: k=0,08, b=0,3478, r=10%, c=7%.

ROE :

20

 0,1 [1 0,08 (1 0,3478)] 0,07 (1 0,3478)

ROE=

ROE=0,141
0,3478
0,3478

: k=0,08, b=0,3478, r=11%, c=7%.

ROE :

0,11 [1 0,08 (1 0,3478)] 0,07 (1 0,3478)

ROE=

0,3478
0,3478

ROE=0,168
ROE .
, ROE k ,

.
,
. , , (
), .
4.

.
.
ROE, ,
,
.
ROE (2). ROE,
,
.
ROE, .

21



. , .

,
,
.
: ) r
, ) c,
) - NI
: NI = rL - cD.

RO.
RO
.

, .
,
,
.
, .

22

005 -

Course 1 -

23

24


,
,
( ),
.

,
`80 90.

. ,
, , ,

.
. ,
,
.

25

 1.

1,
1980.
,
1980.
1
( )
1981 1982 1983 1984 1985 1986 1987

44
74,3 73,8 108,4 161,9 220,9 180,5
(1)
1
2,4 3,3 18,8 50,3 71,1 73,4
(2)
45
76,7 77,1 127,2 212,2 292 253,9
(3) (1+2)
(4) 131,5 99,4 51,8 36,6 21,1 37,8 87,9
176,5 176,1 128,9 163,8 233,3 329,8 341,8
(5) (3+4)
25,5 43,6 59,8 77,7 91 88,5 74,3
(6) %
(3) / (5)
: Reinicke (1995)

1988

1989 1990

221,6 264,7 239,8

83,2 72,5 72,8
304,8 337,2 312,6
99,3 152 157
404,1 489,2 469,6
75,4 68,9 66,6

, ( - - ),
,
.
, .
, ,
.
:
= + =
(),
(). ,
.
.

,
. 2
1996. ,

.
, :

26

1)

( ).

2)

3)

, :
1) (180 ).
2) ( 180 ).
3)
.
4)
.

5) () .
2
(% ,
31/12/96)

( )

( )

66

26

21

18

25

12

100

100

: Federal Reserve Bulletin

3
1996. 4 .

1996.

27

 3
( . .)

1996

4.512.458
/
2.265.790

2.847.291
( )
9.698.743

4.816.634

170.186

106.422

536.085

129.179

379.190

728.369

293.394

26.483.689

27.234.328

3.048.877

20.368.193

279.523

1.183.932

274.551

39.135

1.282.136

1996

31.788.641

13.511.665

22.409.816

2.392

54.004
...

17%

1%

78%

66%

11%

4%

. .

12%

26%

28%

21%

5%

8%

37%

68%

6%

7%

6%

100%

100%

100%

: (...)

28

100%

 28% 21%
. . 68%
,
38% .
,
(78% 66% )
.

. .

,
( - ),
.
(working capital)5
, ,
.

.

.
4

.
.
%
.
%
%
1990
1.746,6
----616,6
---1.148
----1991
2.000,35
13,35
676,1
9,64
1.324,2
15,.34
1992
2.200
9,98
673,7
-0,35
1.526,3
15,6
1993
2.191,27
-0,39
677,6
0,57
1.513,7
-0,82
1994
2.433,5
11,05
708,3
4,53
1.725,2
13,9
1995
2.806,7
15,26
716,4
1,14
2.090,3
21,16
:
,
,
(Cressy 1996, Chaston 1993).
4 5, ,
.
:
,
, .. .

.
5

29

 1995 74,5% 22,5%

.
5

%

%

1990
65,10
34,90
1991
66,21
33,79
1992
69,40
30,60
1993
69,08
30,92
1994
70,90
29,10
1995
74,50
25,50
:
,
.

.
.

.
,
, ,
. ()
Franklin National Bank 1951,
1960.
.
,
.
6

% .

12/1989
1.884,8
56,9
3,02
12/1990
2.146,7
13,9
63,9
12,3
2,98
12/1991
2.443,0
13,8
72,7
13,8
2,98
12/1992
2.868,0
17,4
95,2
30,9
3,32
12/1993
3.362,8
17,3
126,5
32,9
3,6
12/1994
3.957,9
17,1
223,9
77,0
5,66
12/1995
4.534,5
14,6
32,.0
43,4
7,08
:
7

30

1990
20.6
39.6
11.2
2,98
1991
20.1
39.0
12.1
2,98
1992
18.2
37.7
14.2
3,32
1993
14.0
36.5
17.4
3,6
1994
13.2
35.7
18.1
5,66
1995
12.4
33.5
19.0
7,08
:

.
.
:
1)
( 2% 6%),
2) ,
10 25 ,
3) .
,
.
.
.
: ,
.
,
, , .

.
, ,
.
1980, .
,


.
80 90,
, ,
.
, .

31

 , (
), ,
, .

:
Senior Securities: .

(junior securities). ,
,
.
Junior Securities: .
,
.
Convertibles: . ( )
, ,
.
Debenture: .
.
Income Bond: , .
Perpetual Bond: .
.

32

 2.

,
,
.
, (management team)
.

1. , ,

.
, ,

.

2. ,

( ).

3.
( ). ,
,
( - Wilson 1986).

4. ,

-, ,
, .

2.1
,
, ,
, .

10%.
:

20. .
80. .
10. .
110 .

100. .
10. .
110 . .

33

 10% 100
, 10 . 20.
10 . 10.
:

10. .
80. .
10. .
100. .

90. .
10. .
100.

10. . 10. . ,
( 10%
90. 9. 10. 1.). ,
,
.
.
:

10. .
100. .
90. .
10. .
10. .
110. .
110.
10 .,
:
0. .
90. .
10. .
100.

90. .
10. .
100. .

10% 90 . 0.
.
,
. :

9. .
90. .
10. .
109..

34

90. .
10. .
9. .
109 .

 ,
.
,
. 9 .
:

9. .
90. .
1. .
100 . .

90. .
10. .
100. .

,

.
.
.,

(discount rate).
. ,
,
.

. 9 .:

9. .

81. .

10. .
100.

90. .

10. .
100.

, .
,
. ,
.
. .

.

2.2
,
,

35


.
(Bannock
& Doran 1991).
8

,


,

. -
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.
( )

.
, .
1% .
, ,
, .
. .
.
. .
(
)
(Heffernan 1996).

,
.

36

 , ,
,
80 (White 1983).
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(, .).
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.

1)

. , 1,2 .
, 5%, 1/1/1997,
300. 3.9.
, . ,
( ),
,
, ,
.

37

 (.. ,
...).

1-1-97
-1.200.000

-4000$

9

1-1-98
1-1-99
200$
200$

1-1-98
1-1-99
200$
200$

1-1-00
4200$

1-1-00
4200$

2)
,
(.. = +3%).
1197, , ,
3%. 1998, 1999 2000
5%, 4% 3%, (cash flow)
10:

10

1-1-97
1-1-98
1-1-99
5%
4%
5%+3%=8%
4%+3%=7%
-1.000.000
80.000
70.000

1-1-00
3%
3%+3%=6%
1.060.000

3)
( ),
,
(.. = Athibor + 2%, = Libor + 1%
), ,
, .
cash flow ,
,
. ,
,
, , ,
, . , ,
, ,
.

. ,
x%,

38

 x%,
(country risk).
x%,
x%.
, .

4)
(repos, synthetics,
, , /
, ), ,
, , ,
.
(forward market),
(options, futures, swaps).

5) (ladder portfolio)
,
. , ..
30997, 11.
, ,
,
. ,
, ,
.
,
.
11

2.000.000
2.000.000
2.000.000
2.000.000
2.000.000
2.000.000
2.000.000
14.000.000

8,0%
8,2%
8,4%
8,6%
8,8%
9,0%
9,2%

31-12-98
31-6-99
31 12-99
30-6-00
31-12-00
30-6-01
31-12-01

15
21
27
33
39
45
51

8,6%
33

39

6) (barbell portfolio)
,

, .
3.12 barbell ,
30698.

(ladder). ,
, , ,
.
( ladder barbell),
barbell ,
,
, .
12

3.500.000
3.500.000
3.500.000
3.500.000
14.000.000

7,8%
7,9%
9,0%
9,1%

31-12-98
31-11-99
30-11-01
31-12-01

6
7
41
42

8,45%
24

7) (immunization strategy)
,

,
.
,
(..
, , ). ,
,
7,0%, 13.

40

 13



10%
7,5%
9%
7,3%
8%
7,0%
7%
7,0%
,
,
.
bullet portfolio.
M
(yield curve),
(immunized portfolio), :
Macauley Duration (
)

, ,
immunization. , cash flow
, .
,

bid ask.

(multiple liability immunization), Fong Vasicek (1983),
:
Macauley Duration
,
. ,

,
, .

2.3
60,
. ,
.
60% ,
.
, ,
.

41

, , overnight loans6,
, .
60, ,
, , ,

.


, .
,
()
.
, ,
. ,
,
, .
, ,

. ,
( 2% 1960 38% 1996),
61% 1960 17% 1996 (James & Wier 1996).
H ,
, 46% 1960
68% 1996.

: ,
,
,
, .
,
. ,
.
, ,
10%,
4%.

$ 10 .

$ 90 .

$ 90 .

$ 10 .

$ 100 .

$ 100 .

,
. .

42

$ 10 .

$ 90 .

$ 100 .

$ 96 .
$ 4 .
$ 100 .

,

.
(bad debts), ,
,
:

$ 10 .

$ 85 .

$ 95 .

$ 90 .
$ 5 .
$ 95 .

$ 10 .

$ 96 .

$ 85 .

$ -1 .

$ 95 .

$ 95 .

,
.
, ,
. ,

, .

, .
(Return on Assets ROA)
, .

100

43


,
.
,
.
(Return on Equity ROE).
.

=
100


.
(Equity Multiplier-EM) :
= /
:

ROE = ROA X M
,
. ,
$100 $10
, 10 ($100/ $10 =10).
25.
1%.
1 10 = 10%,
1 25= 25%.
(
), ,
.

management team.
,
.

,
,

44

,
.

2.4.
,
, .

.
,
.
, .
.

(currency net interest margin),
(percent net interest margin) (spread).
) ,
( )
.
)
(
) .
) (spread) (
) (
).
,
.
,
.
.

, ,
.
,
.
, ,
, ,
.
14
, .

45

 14

( '', 1992 / . )

13.205

1.504

42.101
()
8.2676

6.672
146.158

21.632
) 9.107

)
12.525

19.107
89.935

, 1992


:

46

4.650
10.834
146.158

12.768
1.547
7.363
517
4.658

14.315

12.538
1.777
575
1.202


)
(
)

5.405 .

)
(
)

( - (
)):

)
(
)

[. - (
)]

(12768-7363)

4.888 .

(12768-(7363+517))
0,0387

[12768-(7363+517]/126281.
) (spread):

(.. .
.) (.
.)

0,0301

[12768/126281]-[7363/103692]
( )
. .: 126281 (146158-13205-6672)
: 103692 (146158-10834-19107-12525)



,
.

,
, 3.15,
:
(1)
, 1992, :

26% .
22% .
7% .
(2)
, 4% 1993.

47

(3) 1993,
160 . .
:
15
,
.

( )
.
%

.
32
0,74
23,68
.
12
0,78
9,36

6
0,93
5,58

25
0,93
23,25

20
0,93
18,6


100.000 .
34
0,93
31,62

12
0,93
11,16

6
0,96
5,76

1
0,96
0,96

12
0,96
11,52

160
141,49
(4) , , 16%
. 34%.
16/(1-0,34) 24,2%.

(5) :

()







100000 .

48

1992
%
0
0,031
0,043
0,058
0,077

1993
%
0
0,03
0,045
0,055
0,07

1993
%
0,046*
0,025
0,01
0,006
0,002

0,081

0,075

0,001

0,08
0,056
0,078

0,075
0,06
0,07
0,242

0,002
0,001
0,001
0

: *
(, ,
, ..)

(6) 1993, 2,2. .

1,8. . (
3,8. . 2. .) 4
. .

(7) 1993 ( . .) :

()
( )

( )

12,1
8,5
70

26
37
3,9
2,5

12,1
8,5
26
107
3,9
2,5
160

(8) 1993 5%
11%.
16 ,
.
,
, .
16
,
1993. ,
., 12,276 . . ( 3) ,
, 141,5 . . ( 4).
( 5),
. ( 3) (
4). ( 6) ( 4)
, 141,5 . . ,
( 7),
( 5)
( 6).
,

49

. , , ,
:
12,276/141,49= 8,68% 0,0868
,
. ,
,
, .
, (
) (3,8.-2.),
(141,5. .) (8,68%). ,
, ,
:
0,0868+1,8/141,49= 9,95% 0,0995
, 9,95% ,
16%.
, , 9,95% ,
, 16%
.
,
,
9,95% .
17 ,

.
(16%), 9,95%
, 141,5. . 14,076. ..
,
3,70. . 2,34. . .

.

50

 16

1
( . )

5=3/4

6=4/141,49

7=5*6

32

0,046

1,472

23,68

0,0622

0,1674

0,0104

12

0,055

0,66

9,36

0,0705

0,0662

0,0047

0,055

0,33

5,58

0,0591

0,0394

0,0023

25

0,061

1,525

23,25

0,0656

0,1643

0,0108

20

0,072

1,44

18,6

0,0774

0,1315

0,0102

34

0,076

2,584

31,62

0,0817

0,2235

0,0183

12

0,077

0,924

11,16

0,0828

0,0789

0,0065

0,061

0,366

5,76

0,0635

0,0407

0,0026

0,071

0,071

0,96

0,0740

0,0068

0,0005

12

0,242

2,904

11,52

0,2521

0,0814

0,0205

160

12,276

141,49

1,0000

0,0868

100.000 .

51

 ,
, 4% ,

5%. 8,5 . .
4,5% 383.000
17

(. )
.
. .

.
.
1993
()

%
%
8.500
0,04
26.000
0,09
37.000
0,1
70.000
0,1
141.500

.
.
()
%
0,05

%

0,045

0,09
( )
0,1
()
()
()

0,095

18.500
0

160.000
0,088
: (), (), () 18.
, 18
,
,
, .
, ,
,
. ,
,
, ,

(35.000 x 10%)
(70.000 / 2 = 35.000), .
,
, ,
(11,87% ).
,
,
.
, (
1993 11%),
16% ,
,
. 16%,
52

382,5
2340
3700
()
14076
0
14.076


.
18
(.
)
1. .
. :



,
.

14.076
383
2.340
3.700
0

6.423
7.653
()

2.

3.
:

7.653/70000=
10,93%

0,1093 ()

7.653/35.000-3.500/35.000)* =
=4.153/35.000=
0,1187 ()
1,87%

* : 70.000
(10%) : 35.000
. : 35.000
, .
,
. ,
.
, ,
, . ,

. ,
, ,
,

, .
,
,
.

53

 3.

, ( )
( ) . )
(Volume effects), ) (mix
effects) ) (rate effects).

, ,

. .

,
(. ) (.
),
,
(CDs),
.
, ,
,
,
.
:
1. (Funds gap management).
2. T
(Maturity buckets gap model).
3. (Dynamic gap analysis).

3.1
, (Funds gap
management),
, ,
.
:
) ,
)
,
)
.
(funds gap or gap),
, ,
.
54

 . ,
.

. .

. .
,
, .
, , ,
,
, (
).
, ,
. ,
, .
,
.

3.2
,
(maturity
buckets gap model), 19
19 ,
,
.
, , 31
1992.
,
.
, ,

, .

. ,

.

,
. ,
, (profile)
,


,
.
55

 19:
1
3
6

0
0
0

1.504
1.504
1.504

300
3.120
4.081

27.281
29.930
35.421

2.307
5.783
11.680

298
879
1.703

0
0
0

31.690
41.216
54.389
1
.

0
13.205
13.205

1.504
0
1.504

5.731
26.370
32.101

38.153
664
38.817

20.731
11.410
32.141

3.673
18.045
21.718

560
6.112
6.672

70.352
75.806
146.158

1
3
6

0
0
0

9.107
9.107
9.107

0
0
0

20.012
20.012
20.012

1.341
3.426
6.204

2.794
11.412
19.897
100000 .

380
1.607
3.014

3.379
3.559
3.559

0
0
32

0
0
0

37.013
49.123
61.825
1
.

0
31.632
31.632

9.107
0
9.107

0
6.843
6.843

20.012
0
20.012

10.493
8.845
19.338

30.630
1.448
32.078
100000 .

7.781
3.883
11.664

3.559
0
3.559

167
924
1.091

0
10.834
10.834

81.749
64.409
146.158


( /
(gap)

56

 )
%
0,86 (31.698/37.013)
0,84 (41.216/49.123)
0,88 (54.389/61.825)
0,86 (70.352/81.749)
1,18 (75.806/64.409)

(
)

(. - .)
.
-5.323
-7.907
-7.436
-11.397
11.397

: ,
:
) =

) =

3.3

- dynamic gap analysis.

. ,
,
.

57

 4.

. ,
,
.


.

.

.
:
1) T ,
.
2) ,
.
(benchmarking).
3)
.
-
.

,
,
.

4.1

, ,
.


, . 7
7 " ", " ",
" ", " & ",

58


.


.
,
,
, ,

,
, 31/12 .


.
,
"
", " ", " ",
" ,
'' ", " ", "
", " ", .

,
.
20

:
) :
.

.
,

.
" ", " ", " ", "
", " ", " ".
59


marketing,
.

.
) :
( ), .
,
. 15%,
100
15 .

.
,
.
,
,
,
.
,
,
,
.
) :

.
.
.
,
, .
) :
.

( - -) .
.
-
.
.
, ,
. ,
,

. ,
,

.

60

) :

.
.

.

,
.
) :

.

.

.
.

,

.
;


.

. 1,78
1,78
.

.

,
,
.
) :
,
.
( )
.
,

. ,
,
.

61

 ,

. -

.

.
) :

.
,
.
.
) :
.
" "
.. 10%

5%. "
", ,
.

,
.

(..)

,
.

:
1. .
2. (180 ).
3. ( 180 ).
4. .
5. .
, :
1. (180 ).
2. ( 180 ).

62

3.

( ).

4.

( ).

5. () .
.
,
.
5%,
7%.
. ,
,
. ,
( )
.
21


%

15%

4%


5%

7%

8%

7%

9%

()
8%
( )
()
9%

%
3%
4%
5%
4%
2 ...
34%

, ,
, .

, .

63


22.
22

( )

6.900
15.000
15.000
20.000

20.000

7.000

20.000

3.100

100.000
( )

100.000
6.950
-3.720
-2.000
1.230
-418
812

30 .
, 30 . 30 .
.
3 ., 7 . .
.
6,9 , 15% 30 . 4%
60 . . 3,1
. , 15
. 15 .
.
20 .
.


, 8 9% .

23.

64

30.000
30.000
30.000
3.000

 23
( . )

6.900
0%

15.000
5%

15.000
8%
20.000
7%

20.000
9%

20.000
9%

3.100

=
0
750
1.200
1.400
1.800
1.800

0%

6.950
24.

24

( . )

30.000
30.000

3%
4%

=
900
1.200

30.000

5%

1.500

3.000

4%

120
3.720

-
.

.
.
25

( )

6.950
-3.720
-2.000
1.230
418
812

-
.
65

 26

6.950- 3.720

46,47%

6.950

812
6.950

11,68%

6.950
100.000

6,95%

812
100.000

0,81%

100.000
7.000

14,29

812
7.000

11,60%

41.900
60.000

0,69

55.000
63.000

0,87

20.000
100.000

20,00%

7.000
75.000

9,33%

11,6%.

66


15 . , 50%
20 .
.
41,9 . .

( 40 .) (
15 , 55 ).
+
+ . (30.000 + 30.000
+ 3.000 =63.000).

( -
, - ).
:


.
,


.
,

.
,

. .
,
,
,
-.
.

, , ,
.
, ,
,
.
.

.
.
67

 ,
. ,
.
( )
, .
,
,
,
27.
27
-

4,00%
11,00%

46,47%
11,68%

9,00%

6,95%

1,00%
14

0,81%
14,29

14,00%

11,60%

0,72
1

0,69
0,87

20,00%
10,00%

20,00%
9,33%

(. 26) .


.

,

, .

68


(interest rate risk)
. ...

,

.
,
. , ...
, ,

.

.
...

.
, ... 10
1 .
(. 21) .

.
,

, . ,
-
28.

69

 28

( )

7.300
25.600
15.000
20.000

30.000
35.000
35.000
3.000
8.000

20.000
20.000
3.100

111.000

111.000

7.480
-4.170
-2.000
1.310
-445
865

4,00%
46,47%
44,25%
11,00%
11,68%
11,56%

9,00%
1,00%
14

6,95%
0,81%
14,29

6,74%
0,78%
13,88

14,00%

11,60%

10,81%

0,72
1
20,00%
10,00%

0,69
0,87
20,00%
9,33%

0,81
0,96
18,02%
10,67%

70

 ...
. , ,
.
0,87 0,96
, 1. , ,
, . ,



.

0,78% 10,81% ,
1% 14% . , ...

.
.
( ...
10 1 ,
3.21),
.
,
,
. ,
-
29.

71

 29

( )

7.300
15.000

15.000

35.000

20.000

25.500

8.000

25.100
3.100
111.000

111.000

( )

7.853

-4.170

-2.000

1.683

-572

1.111

72

30.000
35.000

3.000

4,00%

46,47%

46,89%

11,00%

11,68%

14,14%

9,00%

6,95%

7,07%

1,00%

0,81%

1,00%

14

14,29

13,88

14,00%

11,60%

13,88%

0,72

0,69

0,65

0,87

0,86

20,00%

20,00%

22,97%

10,00%

9,33%

9,35%

...

.
1%
13,88%, , 1% 14%.


.
.. .
. ,
.
. ,
.
,


.

73



.
,
, ,
.
, .
,
, ,
, .
, ,
,
,
, .
,
,
, ,
,
.

,
.
, overnight loans,
,
.
,
,
.
,
, ,
, ,
,
.

.
,
, .

.

74

005 -

Course 1 -

75

76



.
,

. ,
.
, ,
, , .

. , ,
. ,
, :
)
)
)
) VaR

77

 1.

,
, ,
. ,
, .

. ,
,
. ,
,
. ,
,
,
, .

1.1
(..
) ,
.
, .
,

.
,
.

1.2

,
.
,

.
.
, .
,
.
,
.
,
.

78


,
.
.
,
-
.
,

.
, , ,
, ,

. , ,
,
, .

.

. ,
,

.

1.3 /


.
Herstatt,
, 1974
.

, .
, ,
. Herstatt (
), ,
, .
,
...

.
... ....

. ,
(domino effect).
(Netting)

. ,
79

 ,
, .
. ECHO
14
. O MULTINET
. . 1994

.
,
.

.

.

.
,
,
domino effect .
. ,

. -

, ,

.
(Netting)
RTGS (Real time gross settlement). RTGS
, ,
. 90,
, , ...
RTGS . ..
, RTGS
.
RTGS .

1.4

,
, .

.

.
,

. ,
80

 .
,
, ,
, .
,

, ,
. , ,
,
,
. ,
, .

1.5
,
,
, .
.
,
, ,
.
, , ,
.

.

1.6
8

.
,
,
.
, ,
,
. ,
,
8%. 8%
1150%, 60-70% /
.

,
.
81

1.7
,
.
,
. ,
,
, .
,
.

.

. ,
.
,

.

1.8

.
.
swaps 1983
1989. swaps :

. ,
,
. Barclays, Chemical, Midland,
Mitsubishi Finance International Security Pacific 400
15 .

1.9

,
. ,
. ,

, . ,

. ,
,
... . ,
,

82

.
, .

1.10
,
. , ,
, , .
( ),
( ), .

, , .

( )
. ,

,
,
.
( )
(
), ( ,
, swaps
, ), ,
(swaps , ,
, warrants) .

,
,
.
. ,
,
.

83

 2.

, ,
(Off Balance Sheet
Activities).
, ,
,
9.
1.507 1992,
4.438
90%
- mortgage backed securities. ,
, 16
1993 640 . (C.Twinn 1994).
,
,
.
,
( ),
.
,
.
(origination),
.
(credit analysis),
.

,
.

,
. ,

.
(pool)
, , ,
.

,
.
, ,
,
,
(commercial paper), (Eurobonds)

84

 ,

.
,
, ,
.
,

.
(interest rate
risk)
.
,

. 4.1
10.000.000

.
,
.
, ,
.
.

,
,
.
. ,

.

.

,
.
.
,
,
,
(S.Becketti 1989). ,
,
.
,
.

85

 1. : -

175.000
15

10.000.000 20%
15 180
175.000.

10.000.000
.

10.000.000
19,5%, 15
,
172.000 0,5% 3.000

.

10.000.000

175.000
15

10.000.000

10.000.000

180
172.000


.

10.000.000

175.000
m

15
.

86

10.000.000

10.000.000

175.000 15

10.000.000 172.000
180 ,
19,5%
.

175.000
15

 3.


3.1
-duration (Macaulay 1938)
.
(
& 1990, Blake 1990), , ,
,
. , ,
,
.
3.1.1 (Single - payment assets)
,
C ., n ,
, V1
. (R)
. , ,
, :

(1)

(1 + R )

dV1 =

nC
dR
(1 + R) n +1

(2)

(2) (1), .
dV

= n

dR
1+ R

(3)

V 1

= n

R
1+ R

(4)

(3) (4)
. ..
10% 1%. ,
87

 , 1
5 . (4) :

V 1

= -1 (0,01/1,10) = -0,91% ,

V 1

= -5 (0,01/1,10) = -4,55% .

,
5 , ( -4,55%
-0,91%).

3.1.2 (multipayment assets)

n . ,
.

,
.
V2 , n ,
m Ct.

1+ R

C
(1 + R )
2

C
(1 + R )
3

+ .... +

C
(1 + R )
n

t =1

(5)
C
(1 + R )
t

,
, :

V m

= D

R
1+ R

(6)

D = .
2
, 120 . 7 .
12%. , 5,11
. 12%
13%, :

V m

88

= -5,11 (0,01/1,12) = -4,56%.

 2
7- , 12%
1.000 .
[1]
[2]
[3]
[4]
[5]

(1) x (4)
12%
1
120
0,8929
107,14
107,14
2
120
0,7972
95,66
191,33
3
120
0,7118
85,41
256,24
4
120
0,6355
76,26
305,05
5
120
0,5674
68,09
340,46
6
120
0,5066
60,796
364,77
7
1120
0,4523
506,63
3546,42
1000,0
5111,41
:
=

/=
5.111,41 / 1.000 = 5,11

Vm -45,63 .
1.000 . 954,37 .

3.2. ()
-duration gap
, ,

. (DG) :

L
DG = D A ( ) D L
A

(7)

A=
L =
DA =
DL = .
(7),
, ,
,
, .
89


, , :

PNW
R
= DG
1+ R
A

(8)

3 ,
.
, 2%.
3

( . .)

2%

:

150
0,5
148,6

100
3,5
93,6
:

400
0
400

350
2
337,3

1000
1,125
979,5
&

400
0
400
&
:

350
0,4
347,5

150
2,5
143,7

100
5a
88,3b

1000
1,015
979,5
( ) =
(400x0+350x0,4+150x2,5)/900=0,57
a
(1-r)/r, () r= =25%
. .
b
11,7%.

, ,
. ,
( ) 150 . .
0,5 . 5 ,
, , ,
.
2%, 11,7 . . (
100 . 88,3 . .).
90

 (7)
, :
1,125-[(900/1000)*0,572] =0,610.
(8) 10%,
:
W/1000000000 = -0,610*(0,02/1,10) = -1,11%
MW = 1000000000*(-1,11%)= -11,1.
( 11,1 . .)
11,7. .
4.3.

3.3 - Convexity and HigherOrder Duration

, .
,
. , ,
,
.
,
.
,
( 6).
1
, .
, ,
, .
,
.

91

(
) . ,
, ,
,
.
:

n Ct ( t 2 + t )

t
t =1 ( 1 + R )

R
D2 = n
Ct

( 1 + R )2

t =1 ( 1 + R )t

(9)

( 5),
(R).

92

 4.

,

.
,
() , .
,
, ,
.
,

. , ,
(hedging) .

(derivative securities),
(futures), (options) (interest rate swaps).
:

10 (interest rate futures)
.
(commodities),
(, ),
, .
, ,
, (Certificates of Deposit-CDs)
.

:
.
(asset hedge),
. ,
.
, . ,
(liability hedge),
. ,
, , , .
, ,
, ,
, .
10

,
.
93


, .
,
, (cost of carry),
,
.
(arbitrage)
( )

. (long position)

,
. ,
.
,
.
,
,
(offset) () ,
, .

11 (options).
,
(purchasers), (writers),
(upside or downside risk).
,
( ).
2 .
,
( ) .

11

,
.

94

2
- put
options

/ .

H ,
, 3.

3
- call
options

95

 ,
, . ,
, ,
.
, ,
, .
,
.

(hedging)
- ( - ), ,
12 (interest rate swaps).
(basis swap),
.
,
, ( ..
, ),
,
.
,
,
,
. ( )
, (
),
. ,
,
, , ,
.
.

12

,
.

96

 5. VaR
VaR (Value at risk) .
, G-3013 1993, VaR
OTC (Over the counter).
VaR ,
. VaR :

,
.

,
,
.

() .

,
. JP
Morgan (J.P. Morgan 1994). JP Morgan
. ,
(traders). traders

, , . ,
, ,
. ,
. ( ),

,
. ,
, ,
.

, JP Morgan VaR ,
, . :
VaRx = Vx * dV/dP * Pi
Vx : x
dV/dP :
Pi : i.
, , VaR
(Daily Earnings at Risk):
13

Group of 30: 30 .
97

DEaR = Vx * dV/dP * Pday

J.P. Morgan, VaR,
:

. .

,
.

()
,
.

.
$100, 0,9 $30 0,1.
. ,
, , $100
0,7 $30 0,3. 0,5
.
.
(communicating)
$11.
. ,
1%
,
, 2%
99
cents ( ).
, ;
3 :
/
,
,
.
,
.
,
, $2, $11.

98

, (pooled) ,
,
.

,
, :
+ =
0,5[0,9*100+0,1*30]+0,5[0,7*100+0,3*30]=0,5*93+0,5*79=$86

, $93 (
), $11 ( ),
$82, $86. ,
, .

, 86 cents (1% $86).
, : 0,02*$93 - 0,99 = 87
cents. , ,
$11,
.

$2,
: 0,01*(93 - 2) = 91 cents.


, .

99


,
.
: ,
, /, , , , ,
, ,
.
,
.

, ,
. , ,
.
: ) ,, )
) .
)
, )
) .
,
,
.

VaR,
.

100

005 -

Course 1 -

101

102


,
. , ,
,
,

.

, .
.
.
,
.

103

 1.


O
:
1) .
2) .
3) .
4) .

1.1


. :
.

.

. Adverse Selection14.

.
credit analysis,
, (
, ...)
.


, .
,
, ...

.
,
.

1.2

, .
, .
.. (1998), ,
, 1,
.

14

104


.
)
, ) ,
) , ) .

.
.

,
.
de facto
, .

1.3


. ,

.
( )
.
,
. ,
,
, ,
,
,
.

1.4
,
.
,
.
, ,
.
,

, ,
. ,
,
.

105

 2.

,
,

.
,
: , ,
.
:
i) .
ii) .
iii) ,
.

:
, ,
.
,
, .
,
,
.

.
:

;
;
;
-
;

;
(Business Plan);

106


;

.


, .

,
( , ...).
, ,
,
.

, Data Bank

.
,
,

.

107

 3.



,
,
.
, ,
.

, /
(Financial Statements) .

- .



.
,
.
.

.

. ,
,
.

. ( )

, , .


.
70,
(Leasing),
.
.
.
,
,
.

108

3.1

.

,
.
,

. , ,
,
.
,

.
- ,
.


. ,
,
, .
,
,
.
.

.

.
, ,
.
.
, , ,
, ,
,
. ,

.
, . ,

, ,
.
109

.

.
, ,
,
(
) .
.

. .
.. , ,
.
&
.


.
.

,
. ,
,
.
,
40-50% ,
.
.
,
. ,
.
,
. ,
,
.
.

,

.

110

.

. : ..

.

3.2
,
,
, .

,
(.. ),
. ,
,
. ,
, - ,

.
,
,
(Greenbaum & Thakor 1995).


.
, , ,
.
( 1991), , .
i)

.
.
(Current ratio), (Acid test ratio).

.

.
,
.

111


. 1 .
2 ,
1 2.

,
, .. .

.

.
,
,
,
.
,
.
ii)

(Inventory turnover ratio),
(Receivables turnover ratio), (Fixed asset
turnover ratio) (Total assets turnover).
,
.
,
.

. =

2.500.000 .
750.000 1.250.000, : (750.000 +
1.250.000)/2, 2,5.
,
.
,
, .

.

112


365.
.

, .

.

,
.

, .
.

,

.

.
.

iii) , &

(Gross profit margin),
(Return on net worth),
(Return on assets), (Financial leverage)
(Debt to equity ratio).

,
.

100

113

 ,
.

.

`.

100

,
.

.

,

.

100

,

.

,
.

.

,
(Bernstein 1978).


.

114

1:1.

.
1

credit analysis.
,
,
,
.
5.1 14%
, 19%
21% .
,
, , 72%
, 66% 46%
. .

.
,
.

115

 1
-
( )
12/31/88 % 12/31/89 % 12/31/90 %

&

1990

11
12
122
145

0,06
0,13
0,69
0,88

12
48
147
207

0,05
0,21
0,65
0,91

16
41
203
260

0,06
0,14
0,72
0,92

0,05
0,19
0,66
0,9

0,11
0,21
0,46
0,78

21
166

0,12
1

21
228

0,09
1

24
284

0,08
1

0,1
1

0,22
1

16
112

0,009
0,64

10
127

0,04
0,56

4
149

0,01
0,53

0,02
0,63

0,12
0,34

128

0,73

137

0,6

153

0,54

0,65

0,46

23

0,13

57

0,25

90

0,33

0,08

0,1

25
176

0,14
1

34
228

0,15
1

37
280

0,13
1

0,27
1

0,44
1

2 1990,
81,7%,
70%. ,
,
, .
,
, 15%
1990, 26% 25%
. ,
. ,
,

.
3
1990, 1,7 ,
. ,
0,4,
.
,
. ,
,
.
,
116

. ,

. ,
, .
.
2
-
( )

:



/

1988

1989

1990

.
.

713,4

100

866,2

100

911,7

100

100%

100%

592,2
121,2

83
17

706,2
160

81,5
18,5

745,1
166,6

81,7
18,3

70,5
29,5

71,3
28,7

46,4

6,5

60,1

6,9

54,7

17,7

19,6
30

2,7
4,2

24,3
41,6

2,8
4,8

39,7
42,1

4,4
4,6

4,2
4,1

25,2
-

25,2
15,9
9,3
0,2581
2,4
6,9

3,6
2,2
1,4
0,3
1,1

34
21,3
12,7
0,3071
3,9
8,8

4
2,5
1,5
0,5
1,0

30,1
22,9
7,2
0,611
4,4
2,8

3,3
2,5
0,8
0,5
0,3

3,5
0,5
3
0,1333
0,4
2,6

3,5
0,7
2,8
0
0
2,8

3
-

.
()

(%)

1990

1988

1989

1,2
0,3

1,5
0,4

1,7
0,4

1,4
0,4

1,7
0,7

0,86
1,7
1,4

0,85
2
1,5

0,87
1,2
1,1

0,72
2,6
2,3

0,54
3,5
0

5,4
14
34

5,2
15
41

4,3
18
39

4,9
20
30

5,7
27
13

1%
4,6%
32,6%

1%
4,6%
29,8%

0,3%
1,1%
7,9%

2,6%
7,4%
26,2%

2,8%
6,8%
17,5%

117

 0,87 1990.
13% ,
87% ,
.
28% 46%. , 1990,
1,2 .
, , .
1990, 4,3 ,
4,9 5,7
, ..
18 ,
, 39
, 30 13
, ,
.
3,
, . ,
1,0%, 1,0% 0,3% , ,
, 2,6%
2,8%. ,

.

1990 (1,1% 7,4%
6,8% ).
.
, 1988 1989
1990.
,
,
.
.
, ,
,
. 4
1990 1990
,
. 1990
1990 , ,
.

118

 4

( . . )

1990
:

& :






& .
&

1990

30
150
300
480
180
660

15
450
550
1015
175
1190

15
15
5

300
250
550
-

60
0
60
200
50
350
660

200
385
585
190
50
365
1190

140
385
525
15

10
-

560

560

,

, .
,
- 1990. 535.000 .
(550.000 .
15.000 . ), 525.000., ,
.

385.000 ., ,
, 140.000 .,
.
( 5.000 .) ,
.
, ,
.
,
.

, ,
,
. ,
1990
425.000., 350.000.
119

230.000. , 100.000.,
5.000. 20.000.
,
. 5.5
,
,
, 675.000. (
. ).
575.000.
100.000.
440.000 455.000.
6 ,
5.5.
3 : ,
.
, ,
.
,

1991, 5. ,

5, ,
.

120

 5


( . .)
30, 1991
31, 1991
1991 ()
()

30
175
350
555

170

725

&
:
70

45

115

180
50
380
& . 725

440

425
350
775
95

30
600
700
1330
265
1595

230
?
230
?
0
20
255

0 575
45

300
575
875
270
50
400
1595

10
0 100
0
930
930
-255
675

455

121

 6
- 1991 ( ..)
. .
.

100
75
305

0
100
0


70
110
150

20
20
20

100
130
180

23
/



-90
-85
-68

30
30
20

90
125
60

135
260
320

30
20
22

369
0

476
0

200
20
250
10
-

220
20
300
22
50

-111
22
115
435
26

-136
26
140
575
30

,

. , 31
30 1991, ,
, 5.6,
.
,
, .
.
. ,
,
,
.

,
.
,
.

122

 2
, ,
.

1991
I

4.270
760
3.485
777
2.316
392
25

4.270

921

0

64

3.193
-
295

866

92

1992

1994

1995

19.038
2.816
16.188
2.437
13.344
407
34

15.126 14.129
3.682 4.139
11.359 9.948
2.215 2.551
8.645 7.246
499
151
85
42

6.227
14.883 19.038 15.126 14.129
1.652 2.258
2.362
2.114 3.416
12
131
162
157
517
0
0
447
1.184 1.000
4.466 12.380 15.967 10.988 9.068
348
756
563
505
628
1.404 3.361
1.807
1.699 1.798
96
114
100
683
128

6.227 14.883
1.060 1.879
5.164 12.964
1.123 2.159
3.610 10.346
431
459
3
40

10.188 15.891
:
-8.548 -13.225





-

1.640
28
-1.499
504
-526
-18
129

1993

2.666
44
-2.074
934
-764
11
816

1996 1997

31.921 33.769 28.775 25.789

-25.654 -27.463
- -21.402
24.275
6.267 6.306 4.500 4.387
78
100
267
439
-4.336 -5.511 -5.101 -5.230
639
2.522 2.766 1.776
-1.206 -3.222 -2.763 -1.275
-43
-5
88
332
1.398
190 -243
429
190
210
323

123

124

1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997

27,5%
36,1%
17,9%
14,2%
16,2%
31,9%

23,6%
34,0%
40,8%
36,6%
33,2%
33,3%
52,0%
15,7%
18,6%
19,4%
19,6%
19,7%
19,0%
16,0%
81,8%
77,0%
77,1%
79,0%
79,4%
78,4%
72,4%
1,07
1,20
1,27
1,31
1,24
1,21
1,60
0,62
0,76
0,82
0,81
0,77
0,74
0,89
505
1.410
1.004
1.380
1.740
2.497
6.971
16,1%
16,9%
18,1%
16,9%
17,0%
17,3%
8,9%

17,8%
17,0%
12,6%
14,8%
24,3%
29,3%
78,4%
73,5%
84,8%
87,6%
86,0%
75,8%
1,09
1,16
1,05
1,01
1,03
1,10
0,85
0,90
0,87
0,86
0,83
0,82
225
605
510
155
-227
794
16,1%
16,8%
19,6%
18,7%
15,6%
17,0%

TAXYT

A
A

1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997

11,1
9,6
14,1
14,3
13,6
7,5

22,9
16,9
13,2
12,4
13,8
19,5
18,4
3,0
2,8
2,3
1,8
2,0
2,1
2,3
8,1
8,9
7,3
6,5
6,7
7,5
8,3

1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997
1991
1992
1993
1994
1995
1996
1997

4,4
5,4
4,6
4,0
4,7
2,9

2,4
2,6
2,1
1,8
1,9
1,8
11,0
13,9
15,6
15,4
14,5
9,1

14,7%
13,1%
13,6%
16,3%
17,7%
20,3%
1,3%
5,1%
4,4%
0,6%
-0,8%
1,7%

7,4
8,4
5,3
4,6
5,8
6,6
6,7
10,7%
11,1%
12,8%
13,9%
13,6%
13,9%
14,8%
3,4%
4,0%
2,4%
1,0%
3,0%
4,3%
1,4%

 , , ,
,
.
, , 5
:
1.
)
)
)
2.
)
)
)
3.
)
)
)
4.

5.
)
)
)

:
1.
, ,
1992-1994 36,1% 14,2%.
73,5% 87,6%.
1995-96 16,2%
31,9% , ,
13,47% ( 87,6% 75,8%). 1992 1996,

125

 (
), ,
, ,
, , .
,
1992-94 ,
1994-96 , 1996,
(29,3% 19%).

2.

1992-94 1994-96.
,
,
. ,
,
, .
, ,
( 90% 82%),
. (
,
),

, .

3.

1992-94,
1994-96.

1994, .
, 1992-93 ( 13,9
15,6) 1993-96 ( 15,6
9,1). ,
,
,
.

4.

1991-96
1996,
(20,3%).

126

 ,
26,02%, 12,87%.

5.
,
.. , . 1992-93
( 16,8% 19,6%),
, 1993-95 ( 19,6% 15,6%) 1996 17
%. ,
, 1995 ( 1,4%).
,
1992-95 ( ), 1995
(-0,8%). , .
1992-95,
,
( 1995 ).
1996 (1,7%), (429)
.

1992-93,
, ,
. ,
. , 1993-95
( 61,9% -11,5%!!),

.
, .
1996,
, (12,6%),
(20,9%).
,
1993-95
. , ,
, ,
, ,
, (1995).
1996, ,

( ,
).

127



.

.

, ,
, , .

-.

.

, , ,
.

128

005 -

Course 2 -

129

130



.
.
, .

.

.

131

 1.

T :
) ( ).
)
)
)
) .

.

1.1
O
. ,
,
, ,
.
(
)
.
,

. ,
.
, 1 ,
(allocative efficiency),
(operational efficiency) .
,
.

. ,
,
.
, (
), .

,
, , , ..,
132


.
,

.

1.2
H .
.
: ) )
,
.
(
) .
,
. ,
. )
)
.
.
.
.

.

133

1:

1.3
H
, ,
.
:
.

2:
134

 ,
.
.
: )
, )
)
. ,
1% 10%
1+ :

[(0,99) x (1,10)]-1 = 0,089 8,9%

.

1.4 ,
E ,
,
, .
.
, .
,

, (T).

. (-T)
.
, .
.
T -T
. ,
: , ,
,
,

, .
,
T -T.
-T
.

.
, ...
:
(), ()
().

135

 .
() () . ,

,
.
.

,
.

M-T

max

EO

min

max

max

min

min

max

3: ,
, .

136

 2.

T
.
,
: )
,
)
.
,
.

(learning by doing). ,
, .
,
,

.

: ) (moral hazard), )
(adverse selection)
(market failure) ) (credit rationing
equilibrinum ).

,
.
,
Stiglitz and Weiss, 1981.
, .
.

, . ,
,
, .
.

.
(complete contracts),
.
,
.
(incomplete contracts)
. .

137

 3.

. ,
, , , , , .

:

,
.
,
, .
,
.
,
.

4:

.
,
, . ,
. ,
,

().

138

, , ,
.

.
.
(risk averse)
( ) ,
.
,
, . ,
, .
,
:
.
H
.

.

139

 4.

,
, , ,

.
, , .

. ,

.
,
.

.
: )
)
.

5:

4.1
,
,
:

.

( )
.

140


. ,
.
,

:
) .
) (
) .
, ,
. , ,


.
, : ) , )
, ) )
.
6
-

,
,
,
.

,
. ,
.
- . ,
,
141

 . ,
. ,
,
.

= +C*

* .
European Put +

.

, ,
.

.
:

2
121,00

110,00
100

100
90,91
82,64

arbitrage,
:
:
*=(110-100) / (110-90.91)=0.5238
:
1-*=0,4762
:

142

* x P* = (P*)2
:
(1-*)2 *(1-*).
0
European put, .
put 100 2,
:
2



0

(P*)2
2P*(1-P*)
(1-P*)2

121
100
82,64
100

Put
0,00
0,00
17,36
3,94

121,00
100,00
100,00
103,94

( )
, ( )
( )
.
,
put. :
(1-*)2 x17,36 = (0,4762)2 (17,36) = 3,94
, ,
put ,
.

.
. ,
.
(
)
put-call. ,
long position , short position
call long position put . : S=X-C+P.
:
V(X)+V(P)=V(S)+V(C)
(Put- Call Parity).
X + P = C + S*(1+r)-T ,
+ = +
( )

143


: put
long ( .. )
call . ,
.
. ,
( )
stock index futures, -
.
,
, .
.
, , ,

.
,
.

.

4.2
,
.
,
,
.


. ,
( )
. ,
(, )
, , (..
).

, .
,
. ,
,
.

: .

.
144

,
,
(syndicate loans)
7:

1980 .
, ,
.
,
. ,
, ,
(. Henderson & Scott, 1988).
,
. ,
,
.

145

8:

, ,
.
.
,

.
,
. ,
, .

146

 5.

,
,
, .

( )
. , (
) .
.
(incomplete contracts)
.

.
,

.
,
,
, ,
.
.


.
, ,
.

147

 6.
-
-
: ) - )
(interest rate swaps).

. ,
,
.
,
,
.
(asset-liability matching).
-

- .

,
.
-

,

.

.
, .

.
.

.
,
().
,
short position
.
.
. ,
,
( )
.
148


.
,
.
( caps, floors, ...)
,
.

149

:
) , ,
,
.
) ,
,

.
) .

, .

,
, .

, ,
.

,
.

,
.

,

.

-
, .

150

005 -

Course 2 -

151

152



.
,
.

,
.
,

.
,
.

153

 1.
1.1

,
.
.


.

,
.
.
.

.


.
1

107

.

()
1,250,000 ..
-,

. 15,000,000 ,
7,000,000 8,000,000
, 3500 , 220000
- 210000 TEUs containers.
5 1
(100,000,000),

6 .
5 . 2688/1999
,

. ,

154

 (100.000.000)
,

5 ,
. ,
.

.

&

40/13.99

100.000.000

20.12.2000

425.775.000

09.02.2001

67.730.031

11.04.2001

9.796.725.00
0

9.796.725.00
0

10.222.500.00
0

1022,5

10.000.00
0

20.06.2001

14.049.969

14.049.969

10.304.280.00
0

1.022,5

10.080.00
0

155

 2.
2.1

.
:

,
.

, .

2.2

.
,

.
:

,
.

, .

, .
2.2.1 .

.

,
= /

.
, ,

, .

156

= /

.

.
,
.
. ,
, .

. .
,

.

.
,
.
1

1000 .
500 ,
20.000.000 .

:
= /
:
=20.000.000 / 1000 = 20000
20000
:
= /
=20.000.000 / 500 = 40000

157


.
1
40000,
20000,

:
= / =
= 40000 / 20000 = 2
2.2.2

, .

.

.
.
,
.

.
:
= Px = PON +SNn / N+ Nn
P X =
PO =
S =
N =
Nn =
RO =
2
1000 ,
750
.
Px = 1000*5+750*3 / 5+3 = 7250/8 = 906
Ro = 1000 906 = 94

158

2.2.3 .
:

.


.
,
.
,
.
.

2.3
.
,

.
.
,

.
,
,
.
.

2.4

.
.
25%
.
.
25%
, .
spilt.
.

159

2.5
,
.

, .
,
, .

160

 3.

3.1

.

() ().
.
underwriting.
,
, .

3.2
underwrites ,
investment bankers.

.
:

, .

underwriting,

. on the best
effort,
,
.
underwriter .
stand by arrangement
,
underwriting.

.

3.3

.

.
.
( )
( ), .

161

 .

underwriting.

3.4 (Investment Banker)

underwriter, ,

. ,
.
:
3.4.1 underwriting.
management ,
on the best effort, .

underwriting. underwriting
.
,
underwriter
.
3.4.2 .


.
( )
.

,

.


. ,
.
, , ,

.
.
3.4.3

.

162


.

.
underwriters
.

. ,

underwriter, underwriting
.
. (hot issues)
.
underwriter
. , ,
underwriter.
underwriter
,
.
3.4.4 Booking
,

, , ,
,
.
,
. ( the book)
/. ,
,
booking.
underwriter .

, , .

163

3.4.5 .
,
, .
.
,
, .

.
3.4.6

.
. .
,
, .
,
.


.
.

60-61

.
-

. EFG EUROBANK ERGASIAS AE.
: ,
, ALPHA ,
, , BANK, ,
TELESIS , ,
, , & CAPITAL ,
UR , .
350/1985
.
BANK OF AMERICA N.A
( ,
) ,
, ,
..., ..., , .
164

 ALPHA
ALPHA BANK.


.
,

.

.

:

,
,
, ,
.

,

.

, ,
.

, -

, . 350/1985 3, . , 4,
.
.

,

, ..
. ,
.

, .
,
,
.
, ...,
,
, ,

165

 ,
.

.
www.iua.co.uk
International Underwriting Association

166

 4.
4.1 -

, ,
.
(pre-emptive right right issue).

.
( ).

:

underwriting,
.
stand-by arrangements

.

4.2
,
.

(trustee)
.
.

. ,
, ,

.

, (
rating) .
,
, (foreign bonds).

(Eurobond). To
, .

167

,
,

.

,

, .

underwriting, ,
, Booking, , .

, ,
.

, ,
,

.

168

005 -

Course 2 -

169

170


.
, 1

. 2,

. 3,
. 4, 5 6

.

171

 1.

1.1

.
,
, .
(long position)15 ,
,
.

(long)

.
""
.

1
:
95 0.5
X
105 0.5

1 100.000 ..
:
1

X
S
F

105,00
100,00
5,00

95,00
100,00
-5,00
5 ..,
1 105 5 ..,
95 ..
:
- ( )
- , :
X = S + (X-S) = S + F

, ..
(1998), ,
, 9.
15

172

 2.

2.1
.
,
, .
, . ,
Call Option , Put Option ,
Long Position
Short Position .
Long Position
(long position)
"" .
Short Position
(short position)
"" .

100..
1. 5.. 1 105
.. 1 95 ..
, , .
100 ..
1

S
X
( ) ( )

C
(long call)

105,00
95,00

5,00
0,00

100,00
100,00

-P
(short
put)
0,00
-5,00

.
() ,
. 95.. 5..
100...
105.., , .
, S :

173

S=X+C-P
:

(long position)

(short position).

,
.
.
,
.
-, .

2.1.1
, ,
, .

() .
5 65. ,
$100, $500
$6.500.
(European Option), , .
(American Options),
.
.
,
(long call position). ($500)
. ,
65 , $500.
, 70 ( 65
5). 65 70
70, $100
70 ( 1).

174

 1:

($)

+5

65

70

-5

,
, ,
(short call position).
(500). , , 70 (
65 5) . 70,
$100 ( 7.1).
7.1
,
. ,
.

.
(long put position) ,
. , 65,
$500. , 60 ( 65
5), . ,
60 65 $500.
60, $100
( 2).

175

 2:

($)
+5

0
60
-5

65

, (short put position).
.
60 ( 65 5).
, 60, $100
( 2).
2
.

176

 3.

3.1 .

, :

(options).

.

.

(bankers
acceptance) ,
... Citibank (
). $100.000 6 .
.
, ,
$100.000 6 .
:
/ : 245 Dr / $
( 6 ): 250 Dr / $
: 10% (5% 6 )
: 4% (2% 6 )
$ 100.000
248 Dr/ $.
1% . 6 .

:
i.

ii.
iii. .

177

 4.

4.1

.
: .

(
) ,
(hedger), (hedging)
.

, ,
,
. (hedger)
,
,
. , .

$100.000 .

$100.000 6 , Dr250/$.
6 , $100.000,
$100.000 Dr25.000.000 ($100.000 x Dr
250/$= Dr 25.000.000).
,
6 ,
.

.

178

 5.

5.1

,
. ,
: .
,
, , ,
.
, ,
, .
, ,
,
. , .

,
:
1
.. .
(
6 )
( ). :
(1.02) = $100.000 = $98.039,2
, $98.039,2.
2 : Dr
245/$ 24.019604
24.019604=$98.039,2 Dr 245/$).
3 :
5% (10% ).
6
(1.05) x Dr 24.019.604=25.220.584 .
.

179

, ,
6 25.220.584 .
220.584 ,
.
,
,
.
;
.

,
.
,
,
.
:
( ) (1+jdr)=( )

Dr 24.019.604 (1+jdr)= Dr25.000.000

jdr 4% 6 8% .
8% 10%
.

180

 6.

6.1

.
(Floor)
, ,
/.

$100.000
.
Dr 248/$ 1%
.
:
= ( ) x ( ) x
( )
= $100.000 x 0.01 x 245 Dr / $ = Dr 245.000.
,
,
( 6 ) (
). : 257.250 (Dr 245.000 x
1.05).
:
Dr257.250 / $100.000 = 2,5725 Dr / $.
, / Dr 248/$ (
),
Dr248/$ 24.800.000 .
.
= Dr 24.800.000- Dr 257.250 = Dr 24.542.750

, 25.220.584
25.000.000 . ,

181

 . ,
, / Dr 248/$,

:
= ( Dr/$ - 2,5725 Dr /$) x $ 100.000
H ,
, ,
/.
$100.000
, 25.220.584
( ) (257.250 ),
25.477.834 .
,
/ Dr
254,78/$ .
, , / () Dr
254,78/$,
()
.
, ,
.

, ,
.

25.220.584 . ,
,
, ,
24.542.750
, Dr 248/$
.
3 ,
.

182

 3:

. .
25,2
25,0

24,5

248

254,78

183

184

,
: ,
.

, ,
,
,
.

005 -

Course 2 -

185

186




.

.

.

, .

.
.

187

 1.
1.1

.

.

.



, .

(current yield) (yield on a discount basis).
(interest rate)
(return) .
.


.

,
:

100
110 ,
:
110
i = 10 %
1 + i
10%.
100

1.2

,
.
,
:

188

1.

,
() , , :
=

+
+
+ +
2
3
1 + i (1 + i )
(1 + i )
(1 + i )

2.
OC :
: OC :

C
C
C

+
+ +
+
2
N
1+ i
(1 + i )
(1 + i )
(1 + i ) N

OC =

AO :

3. :

C
OC
: C
i=

OC

4.
:

i=

AO OC
OC

OC

189

 2.

2.1

.

.

190

2.2





.
,

.



.

191

 3.

3.1
,

. ,
(defaults on its
debt).
, , .

,
.
,
(callable bonds),
(sinking fund provision),
(term bonds),
.

(convertible bonds).

:



C CA C
junk bonds.

3.2

.

.
, (default risk
free). ,
(risk premium),
: .
, .

.
192

 ,
.
.

.
.

.
2.

,
.

193

 4.

4.1 &
.
,
.
,
.
,
.
,
.
.

. .

.

.
.

.
.

194

4.2

,
:

,
.
:

. ,
. .
.

195

, (default
risk free),
.

, .

.

196

005 -

Course 3 -

1 ,
&

197

198



,
.
.
, , .

.
Retail Banking, Wholesale Banking(
).
,
,
. ,

.
,
.

199

 1.
1.1
.

:
)
) `

,
:

1.
2.
3.
4.
5. .
1
5

,

200



.
30% ,

.
Marthur (1992)


,

Chandler (1962 & 1991)

,
.

1.2
Key (1993)
. ,
, ,
.
, , ,
. ,
.
Key, ,

.

1.3 Retail Wholesale Banking

,
Retail Banking (
) Wholesale
Banking ( ).
T Retail Banking
,
.

Retail Banking :

201

Retail Banking &

Wholesale Banking
, ,
.

.

.
Wholesale ,
( .. 100 ).
(Corporate Banking).
Wholesale ,
.

, Citibank
Retail .
, Wholesale ,
retail ....
Citibank,
Corporate Banking,

.

202


Key, Midland Bank retail
... . ,
,
,
. First Direct
Midland Phone
Banking,
,
retail . wholesale ,
,
.

1.4
Hamel & Prahalad (1993),
-
.
,
.
,
.
,
,
.

203

 2.

2.1 .

.
O Davis,
,
,
.
.
Herve de Carmoy (1990), ,
. ,
: ,
, .

2.2
,

. ,
-: (

),
,
.

2.3
, .
.
,

.

.

2.4
, .
,
204

 ,
.
De Carmoy
, .
Porter, De Carmoy,
. ,

, , ..., .

2.5 Kenyon Marthur

Kenyon Marthur
, ,
.
1 :
2 :

3 : ,
.
4 :

2.6
:

. , ,
, ,
...
.
, -,
, ,
, ...

.
, ,
...

205

2.7

Aliber
.
,
.
, Aliber
,
,
. ,
,

.
,
,
.

2.8 Grubel
Grubel
, . ,



,
.
Grubel : (i)
, (ii)
(multinational wholesale banking), (iii)
(multinational retail banking).

206

 3.

3.1

, ,
,
.


.
,

,
.

3.2
,
,
,
.
,


/.

,
100.000 1980
45% .
,
,

() .
,

. ,
.,
(
). ,

.

207

3.3.

,
, , .

,
.
, , ,
.

(wholesale banking), (merchant banking),
(private banking)
.
(venture capital).
.

3.4



. .

,
.
,
,
,
.
, ,
,
,
.

,
.
( ) ,

.


.

208

3.5

,
:
)
) ,
.
) ,
, ,
) ,
) .

3.6
,

, .
,
, .
, (..
) (..
), .
, ,
, ,
.
,
.

209

 4.

4.1
(strategic planning)
,
.
:

,
, .
,
.

4.2
,
.

4.2.1

.
,
:

;
;
;

;
.

.

.

4.2.2
210



.
.
,
.

. ,

. ,
- . ,
, - .
:

.
.
.
.
.
.
.

Federal Bank of Atlanta, 2.1

.
1

2

3

4


5

6

7

8
: Federal Reserve Bank of Atlanta

1
3
2
8
6
5
4
7

211

4.2.3
,
.
.

:

,
, .
-,
.

. , :
1.
.
,
, ,
-
.
2.
- ,

. , ,
,

4.2.4

.
, (action programs).

, , ,
,
.
:
;
,
.

4.3. .
.
,
(situatior audit) .
212

1.
.
2. .
3. .
,

.
,
.
,
. ,

. ,
( )
.

213

: Steiner (1979), Yalif (1982a).

214



Arthur Andersen & Co New Dimensions in Banking:
Managing the Strategic Position (1983),
:
1.
2.
3. /
4.
2.
2

/

/

/
: Arthur Andersen & Co

215


.
... 80,
. ,

:

..., 1980, Chemical Bank

, Citibank BOA
. , Bankers Trust
, Manny Hanny
.
. 3
, Federal Reserne Bank
of Atlanta.
3

(Data Banks)





: Federal Reserve Bank of Atlanta

216

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

4.4
,


.

.
.

4.4.1

,
.

,
.
4.4.2
,

(financial supermarkets).


, .

,
supermarkets
.

4.4.3


,
.
,
,
.
-
:

217

 ,

.
-
( - stock options -
).

( )
.

4.4.4
.

,
. ,

(securitization) .
4.4.5 .

.

( )

. (market price)
: (
) .

.

218


,
: .

.
,
, .
, , ,
.

: , .
,
.

,
.

.

: ) , ) , )
, ) ) .
,
.
:
,
.

.

, ,
.

.
,


.


, .
219


,
.
,
:
,
.
, , ,
.
,

.

.

, .

.

.

220

005 -

Course 3 -

221

222


, 1980,
.
(production economies)
, ,

'80.
,
,
.
.
.
,
.

223

 1.

,
, :

.
.
,
(economies of scale) (
-average cost of production)
(Gilbert, 1984). ,
,
,
. ,
, ,
,
.
:
S = AC/MC = C() / [YdC/dY]

AC

MC

(marginal cost)

C()

dC/dY :
.

,
(diseconomies of scale), S ,
.
, o
,
.
, , ,
(Benston,
1982). ,
' . ,

' .
:
224

 ,

,
() .
,
, (, ,
, ..), :

(product-specific economies of
scale).
(overall economies of scale).


, .

,
,
(Clark, 1988).
,

. ,

. ,

,
.
,
. :

( )
(,
)
,
.

(returns to scale),
.
,
.
, (constant returns to scale).
, ,
,
(increasing returns to scale) ,

225

 ,
- decreasing returns to scale (Varian, 1992).

1.1.
,
,
.
(longrun average cost curve) U
.
(envelope)
(short-run average cost curves), .
,
,
,
, .
,
.

,
, .
,
.

, ,
( 8.1).
( ,
' )
(cross-sectional data), :
C = F(Q, )

(1)

(C) (Q),
.

226

227

 2.

(economies of scope)
,
.

,
(Clark, 1988). H
,
.
,
'
(OECD, 1992).

.

.
, :

(global economies of scope)

(product-specific economies of
scope).
,
, (joint
production) ,
. ,

, '
.
,
(cost complementarities) (Kim 1986,
Berger, Hanweck & Humphrey 1987).
:

, (sharable inputs)

, (sharable outputs)

.


,
. ,

228

 (diversification) ,

.
,

, , .

,


. , ,

(
, , ..).
,
,
(Panzar & Willing, 1981).
,

/ .

,
,
.
,
. ,
,
,
. ,

,
.
,

(networks), ,
(Electronic Funds Transfer Networks EFT) . ,
/
,
.

229

 3.

,
.
,
D. Hymphrey (1987, 1990), :

1. ( - ).
2. ( -
).
3. ( - ).
4. ( -
).
5. ( - ).
6. ( -
)

, -
(C) - (1).
(operating costs),
, , ,
(fringe benefits), (occupancy)
(Langer 1980, Hunter and Timme 1986).
(total costs),
(Humphrey 1990, Flanery 1982).

.

- (Q) -
(1). ( ...)
(number of accounts)
(Benston and Smith, 1976). ,
, ,
.
, ,
, (linear functional form),
- Cobb-Douglas: logC= + b x logY, C
, b
. ,
, :
230

logC = + b x logY + c x 1/2 x (logY)2.

,
.

(banking office), (banking firm).
,
.

, ,
.
, (branches)
(1),

(Berger, Hanweck and Humphrey, 1987).

,
, .
,
.

,

(Vasiliou 1992, Pavlopoulos & Kouzelis 1989).
,
, (data) ,
(Humphrey, 1987).
(times series),

.

(Q) (multiple bank
outputs), (Qi)
Q. :

1. ,
(index) (Kim, 1986)
2. (Pulley
and Humphrey, 1990).
,
.

231

 4.
.
(internal economies)
(external economies) (Blaug, 1978). 2
.
2

/
. , 1,
,
,
. ,
/
/
.
.
/ , ,
/ ,
, , .
,
(
). , ,
.
:

,
(economies
of scale at plant level), /

232

 ,
(economies of scale at a
firm level).
, :

,
( ), /
(
), /
-
- ( ) (Lewis and
Davis, 1987).

(real economies) (pecuniary economies).
,

.
,
.

.

4.1

:

(Producton economies),
(Marketing economies),
(Managerial economies),
(Learning economies),
(Research and development economies).
,
, :

(labour economies)
(technical economies)

233

 (stochastic economies).

:

,

,
.
, ,
,
. ,

( , , ..). ,
,
.

,
.

:

(Lewis and
Davis, 1987)
.

.

,
,
.

.

, (
, 's, ..)
,
. ,
,
(R&D) .

,
(Lewis and
Davis, 1987). :

234

 .
Baltensperger (1972)
,
.
(variance) ( ),
. ,

. (pooling)
, ,
, (

- run n the banks). ,
(precautionary motive),
(transaction motive).
(inventory model) Baumol (1992)
,
.
,
,
.
, ,
.
.
,

. ,

(..
), (.. ,
), .
,

(financial leverage) ' .

, (beta risk)
.
,
, ,
(Scherer, 1980).
,
, '
, . ,

,

.

.
235


,
( ). ,
,

,
.

, .
,
:

,
,
,
,
,
(..
).

, '
,
.

(learning by doing).

,
,
.
.
,
, ,
,
(Hay and Morris, 1979).

,
.
Schumpeter,

, , .

,

.

236

4.2

:

.

.

.

(, , ..)
. , ,
'
. ,
,
' .
,
,
,
' . ,
,
,
'
.

237


,
.


, ) ,
) )
.
,

.
,

.

, , , .

,

, .


.

.

238

005 -

Course 3 -

3
:

UNIVERSAL BANKS

239

240


(Universal
Banking)
. ,

.
, .
.
,
,
.
,
.
,
.
,
,
.

Universal Bank.
,
- .
, , Citicorp,
.

241

 1.


T
, ,
, (financial
disintermediation), ,
.
9.1 9.2,

.

,

. (Specialized
banks) (Universal banks)

. ,
,
,
, .
,
.

,
.
1
(, $ .) 1980 &1994

1
2
3
4
5
6
7
8
9
1
0

1980

Credit Agricole
National Westminster
Barclays
Bank of America
Citicorp
Banco do Brasil
Lloyds
Midland
Paribas
Algemene Spaar-en
Lijfrenteras
: The Banker.

6,2
5,1
4,8
3,9
3,9
3,6
3,3
3,2
3,0
3,0

1994

Sanwa
22,6
Dai-ichi Kangyo
22,4
Fuji
22,2
Sumitomo
22,0
Sakura Bank
21,4
Mitsubishi
19.8
HSBC
18,0
Credit Agricole
17,3
Citicorp
17,2
Union Bank of
16,2
Switzerland

Universal Bank
(Heffernan 1996):
242


,
(Derivatives)






.

Saunders Walters (1994)

(Universal Banking):

,
.
,
, ( ,
, )
, ,
.
:
(Commercial Banking),


Bank Holding :
, , ,

.

243

 2
1994 1983:
() () ( $ .)

1
2
3
4
5
6

Citicorp
Bank of
America
Chemical
Banking
Nationsbank
J. P. Morgan

Chase
Manhatan
7
Banc One
8
First One
9
First Chicago
10 Bank of New
York
: The Banker.

1994

17.216
13.865

250.489
215.475

1983

Citicorp
4.815
Bank of America
4.577

10.002

171.423

Chase Manhatan

3.286

77.050

9.761
8.863

169.604
154.917

2.710
2.474

54.695
60.113

8.162

114.028

1.945

45.530

7.152
4.514
4.452
4.025

88.738
77.314
65.900
48.879

J. P. Morgan
Manufacturers
Han
Chemical
Banking
First Interstate
Continental III
Bankers Trust
First Chicago

1.789
1.710
1.566
1.491

39.330
42.209
37.805
34.410

120.680
115.242

,
, (Baums & Gruson 1993, Saunders &
Walter 1994).

,
, ,
. ,
( )
Universal Bank. ,
,
.
, .

. ,
, . ,


.
1933 Glass-Steagall,
, Bank Holding Company Act National Banking Act
,
, .
,
, ( ), (
Alexander Hamilton). ,
244

 .
National Bank Act 1864,
,
.
,
1906,
,
. 1920
(financial super-markets).
, ,
, `
National Banking Act `

.
,
,
Glass ( Federal Reserve System - . Mishkin 1998),

. 1930
Bank of United States, (
) 9000
.
.

, , National City Bank
, National City Company. ,
.
, Chase National Bank,
Glass 1933,
, Glass-Steagall
Act (Benston 1990).

. , ,
,
Keiretsu,
,
,
.

,
... ,
, ,
,
, .

245

 2. UNIVERSAL BANKING,
SPECIALISED BANKING

O ,
, ,
.
, ,
,
.
Franke Hudson (1984)
, ,
,
.
,

.
,
,
.
,
.
,
,
.
, .
, ,
.
. ,
, ,
,
, .
,
.
. ,
,
,
:
,
.
, ,
,
,
(Corregan 1987).
, ,

246

 ,
() ,
.

,
.
, . To
, 130 ,
,

.
,

,
(Benston 1973, White 1983).
, , 9.000
,
, .
,
.
,
( )
.
, ,
,
.
(Federal Reserve System) ,
(Lender of last resort)
,
. ,
,
.
,
.
,

. ,
, ,
,
(Benston 1990). ,
Glass-Steagall,
. White (1986, .40) ... 26,3%
1930-1933, 6,5% 62 ,
1929 7,6% 145 ,
, ...
, Franke Hudson (1984)
, .

247

 (1923-1924)
,
(. 9-10), ,
1931-32
. ,

,
(. 11). ,
,
.
, ,
,

, . O Schwartz (1988)

.
,
, ,
. ,

16.
Saunders Walter (1994)
(, , ...)
. ,
,
(
).
, ,

,
,
.

.
,
Glass Steagall
.

.

.

,

, ,
16 , (interest
rate risk) ,
.

248

 , ,
,
Commercial banking (Benston & Kaufman 1994).
, ,
,
, , .

,
,
, ,

, (,
) , (
) . Benston Kaufman (1988)
,
Federal Deposit Insurance Corporation Improvement act 1991.


(. Saunders & Walter 1994, . 7).

249

 3.
:

M
, .
,
. ,

,
.
,
, ,

.
, ,
,
, .
,
.

,
.
, ,
,
,
. ,
,
.
,
(Meltzer 1975, Mayer 1975, Jaffe
1975).
, ,
,
,
.
,
, .
,
.
,
.

250

 4.

H
. ,

. Universal Banks
,


. , ,
.
, Steinher Huveneers (1990)

. (
),

. Jensen (1988)
(8%
)

- ,
.
,
. ,
,

.

... .
,
- (
) . 3
, 1983- 1991.
3 :

1983 1984 1985 1986 1987 1988 1989 1990 1991

23,5 23,6 24,1 25,3 25,2 24,9 24,2 24,4 23,9
16,5 15,6 15,3 15,1 14,1 14,0 13,6 13,1 13,1
9,4

8,7

8,7

8,8

8,1

8,1

8,0

7,6

7,7

38,4
7,1

37,9
7,0

37,1
6,5

35,5
6,2

34,9
6,2

35,2
6,3

36,6
7,2

37,0
7,6

37,8
7,7

21,6

22,9

23,6

24,2

25,7

25,9

25,6

25,5

25,3

: BACH (European Commission : General Directorate II) Annual Reports

251

 :
:
. 1991 23,9%
.
: ( )
,
.
: ,
2%.
: 50%
.
,
.
4
:
(%)

1971
1991
1971
1991
1992

25,8
23,9
47,0
36,8

63,1
50,9
46,0
50,4
63,1

35,1
37,8
29,0
24,0
33,1

28,0
13,1
7,0
12,4
30,1

2,8
3,3
10,0
23,1

11,1
25,2
: Federal Reserve, Bundesbank, and BACH Annual Reports

. 9.4,

(24% ,
37% ),
.
50%, ,
.
Universal. H

, .
,
,
. :
1.
,
(Steiher & Huvencers 1990).

252

2.

3.
.
.
Hoshi, Kashyap Scharfstrein (1990a, 1990b)
1983,
, .
.
,
80% 57%
. , Keiretsu17

, .
( 9.5 ).

.
,
. Pozdena (1987, . 2)
:
5- :
(1991)

eiretsu

($
.)
230.775

3.448

($ .)
66,9

Long - Term
Credit Bank of
Japan
Industrial Bank
of Japan
Nippon Credit
Bank
Sanwa Bank
Mitsubishi Bank
Fuji Bank
Sumitomo Bank
Dai-inci Kangyo
Bank
Tokai Bank
Mitsubishi T&B
Sakura Bank
Sumitomo T&B
Mitsui T&B

IBJ

320.498

4.900

65,4

131.337

2.449

53,6

Sanwa
Mitsubishi
Fuyo
Sumitomo
DKB

436.750
423.243
435.970
446.472
458.962

13.913
13.899
15.200
16.669
18.640

31,4
30,5
28,7
26,8
24,6

Tokai
Mitsubishi
Mitsui
Sumitomo
Mitsui

269.523
139.950
435.846
126.856
109.395

11.748
6.667
22.919
7.451
6.582

22,9
21
19
17
16,6

: US$1= JPN140,6
: Bank of Tokyo Annual Report

17
- .

253

... ,
, ,
,
.

nagement.

. ,
,
.
,
... .

.

.
,
,
(Jensen & Meckling 1976,
Pozdena 1987).
. , McCakley Zimmer (1989)
,
, , ,
.
,

, .
Hausbank.
,

(Baums 1992, Fisher
1990, Tilly 1989).
(Gessler Commission
1979).
Hausbank,
, Deutsche Bank
Daimler-Benz. Deutsche Bank Hausbank
Daimler-Benz
Mercedes Benz.
, 1994,
Deutsche Bank.
Daimler-Benz,
.
Volkswagen
Deutsche Bank BMW Dresden Bank.

254

 Keiretsu. 6
Keiretsu
.
,
,
, ,
, .
,

,
.
.
6

Keiretsu
KEIRETSU
/

/
MITSUBISHI GROUP

Mitsubishi Bank
4
Mitsubishi Trust
1

Nippon Trust
7

Hachijuni Trust
Shinwa Bank

Tokyo Marine & Fire
1
Meiji Mutual Life
1
Misshin Fire & Marine
Leasing
Diamond Lease

Diamond Credit
3

Mitsubishi Estate

Nikko Securities
Ryoko Securities
MITSUI GROUP

Mitsui Bank
7
Mitsui Trust
3

Taisho Marine & Fire
3
Mitsui Mutual Life
Leasing
Mitsui Leasing&
Development

Mitsui Real Estate
Development
: The Economist, 25 March 1989, 22

255

 5.

;
O ,
. ,
,
. , ,
,
18,

. ,
Universal Bank , ,
.
, , 5
,
100 (Clark 1988, Gropper 1991).
Hunter Timme (1993).

10 .,
10 25 .
25 (.14). Saunders Walter (1994)
200 1980.
... ( )
,
(. 69).19
, ,
,
,
. ... ,
(
), ( . . General Motors Acceptance
Corporation), ( .. General Electric
Credit Corporation) ( . . Walter G.
Heller & Co).
, ,
, .
,
, ...
,

. , ,
18 (Limit Pricing),

.

.
, .

256

 .
, ,
,
.
. ,

facilities (),
,


,
.

.

,
. 1984,
76% (Kempf 1985). ,
: 8%
, ( ,
) 14%
54% (Kempf
1985).

,
, . ,
( )
20.
.
Berger, Hunter Timme (1993)
.

20-25% ,

10% 50% (. 228).
Berger, Hancock Humphrey (1993)

,
. ,
.
,
19 ,
Berger, Hunter, & Timme (1993),

. ,
Noulas, Ray & Miller (1990) .
20 ,
.

257

 ,
.21
Saunders Walter (1994) ,

. ,
, ,
,
,
,

.
, Saunders Walter
.
Steinherr Huveneers (1990)
,
Universal Banking.
Universal Banking
, .
Steinherr Huveneers,
, ,
Universal Banking
. (
) ,
,
( ,
). ( , ,
) ,
,
Universal Banking.
() ,
... ( ),
( ).
,

. ,
(
),
.
, ,
, Universal Specialized Banking,
,
, ,
.

,
, . Berg (1993)
.
(Universal Banks).
21

258

 6.

:
,
.
.

- .
,
,
(Neuberger Stokes 1974).
,
. , Francke Hudson (1984, .5-6),

,
, ,
. ,
,
.
,
.
,
,
() .
-
: (1976, 1978) ,
(1979).
1974 100 .
74
343
1975.
Eckstein (1980), .
Krummel (1980)
:
.

,
(Krummel 1980, .48).
(41%
),
(Eckstein 1980 . 467).
,
,
. 1978
(1978), 100 ,
15 25%

259

 ,
50% (Eckstein 1980, . 468).
,
...

, .. 15
25% , 50% (Eckstein
1980, . 468).
...
25% 50% ... (Krumel 1980, . 49). ,

... .
Gottschalk (1988). 9.7
1993.
.
,
, (1978) 1974,

75 31 ,
(Eckstein 1980, .
469-70). 74

(Krummel 1980, .50).
, ,
. ,
(1976)
, 5% .
25% ( ),
. ,


management, .
,
(Eckstein 1980 . 477).
Universal Banking
,
, .

, . ,
8%
1984
76% . 3.250 ,
6 , 96 , 72
, 62 , 591 2239 ,
(Kempf 1985, . 2.8).

260

 , ,
,
. ,

, .
7
:

%
Deutsche Bank
Daimler-Benz ()
24,4
Philip Holzmann ()
25,9
Karstadt ()
10,0
Horten ()
25,0
Klockner- Humboldt- Deutz (. )
38,0
Linde ( )
10,0
Sudzucker ( )
12,8
Hapag-Lloyd ()
10,0
Continiental ()
10,5
Metallgesellschaft ()
10,6
Allianz ()
10,0
Munchener Ruck ()
10,0
Dresdner Bank
Bilfinger +Berger ( )
25,0
Brau & Brunnen ( )
25,6
Frankburter Chemioworte ( )
20,0
Heidelberg Zement ()
24,0
Hapag-Lloyd ()
10,0
Metallgesellschaft ()
12,6
Allianz ()
10,0
Munchener Ruck ()
10,1
AMB ()
13,7
Commerzbank
Karstadt
10,0
Linde ( )
10,3
Hochtief ( )
2,5
Thysen ( )
5,0
DSD Dillinger ( )
30,0
MAN ( )
6,3
Heidelberg Druckmachinen ( )
13,8
Linotype-Hell ( )
6,7
Salamander ()
10,9
*
: Annual Reports (1993)

...,

261

 ,
,
.

.
... Glass-Steagall,
.

262

 7.
:

, ,
(Universal Bank),
(Specialized
Bank), .

Universal Banking, .

.
Universal Bank,

:
(Corporate Banking),
.
:
= + - C

(1)

C
,
.

.
,
. 1.
CB,
.
, CB P2.

.
(1 - P2).
,
.
CB, ( > CB)
managers
.
:

, 1 ( )

= -C , (1-P2 )
T = -C +, P
2

1
. CB
,

263

 PC.
, :

, 1 ( )

= A , (1-P2 PC )
+, P P
2 C
A
,

.
2 3.
= + - C > +

(2)

= (1 - P2PC) + (+ ) P2PC + ( - C) (1-P2)

+ ( - C+ ) P2 - C > +

(3)

. 3 :
= {(1 - P2PC) + P2PC} + (P2PC) +
{(1- P2) + P2} - C (1 - P2) + (-C+ ) P2- C =
B + (P2PC) + - C + P2- C

(4)

Universal Banking :
+ (P2PC) + - C + P2- C > +
(P2PC) - C + P2 - C > 0
(P2PC) + P2 > C + C

(5)

. Universal Banking
,

.
Universal Bank, .
management,

: .
,
.
.
, (+),
.
P1. H

264

 ,
.
(+) P2.

,
C, PC.

,
.
.
.
n .

, .
,
, - .
C.
Universal Banking i
:
- / n +P2 + CP2PC

(6)

:
- / n + (1 - P2)

(7)

.
:
A - A / n +P1 - C P1P2PC

(8)

- / n + P1(1 - P2)

(9)

8
9

.

Universal Bank :
= + - C
= - / n + P1(1 - P2) + - / n +P2- C

(10)

:
P1(1 - P2) + P2 > C

(11)
265

 + <C,
Universal Bank, . + >C,
11 P1 P2.
, P2 P1,
11.

Universal Bank :
= + - C
=A -A /n +P1 -CP1P2PC + - /n +P2+CP2PC- C

(12)

Universal Banking
:
P1 - C P1P2PC+P2 + CP2PC > C =>

(13)

P1+P2 + CP2PC > C + C P1P2PC

(14)

,
.
14,
,
, ,
CP2PC(1-P1), ,
CP1P2PC .

266

 8. UNIVERSAL
BANK :
;

,
. ,
. ,
,
,
. ,
,
,

. ,
.
, ,
,
,
.
,
,
. ,

,
.
() ,
- ,

, (Eckstein
1980, .478).
, ,
,
.
, ,
. ,
/ ,
tie- in ( ), ,
.
, ,
,
( ..
),
.

267

,
. ,
, .

6.000 .

4.500 .
1.500 . 1.400 .
100 .
. ,
4600 . . ,
,
. ,

100 . .
,
tie-in ,
,

.22 ,

,
.

,
,
,
.
,
. ,
, .
,
,
.

.
,


(Krummel, 1980). ,
(
) ,
(Eckstein 1980, . 478). , Heffernan (1996)
,
22 .

.

268

 .
,
, ,
(Baums 1992, . 7). ,
Universal Banking
.
,
, ,
,
,

.
,
.
.

. , ,
,
. Greenbaum Thakor (1995),
,

. ,
,
. , , ,
,
. ,

,
. Steinherr Huveneers (1990), Saunders Walter
(1994) .
Universal Bank
,
.

Universal Bank. 11 .

: Citicorp

,
, : Citicorp. First National City Corporation,
Citicorp, ,
.
1812 City Bank of New York. 1955
First National Bank of New York, Citicorp.
1998, Citicorp

269

 Travelers Group Inc,

Citigroup.
19 , ...,
.
1930, City Bank
, ,
Investment Banking
.
Glass-Steagal.
, Citicorp,
,
'30.
.
,
Citicorp, ,
'60. , John Moore
(Senior Manager), :
:
.
:
, ,
.
,
:
, ,
,
. ,
, Universal Banking,
'60 .
Citicorp ,
'70 '80, .
: 1967,
,
.
:
(retail) ,
,
.
: Citicorp, ,
, ,
.

270

 , , Citicorp
.
: .
George Moore 1967 Walter Wriston,
1984. Wriston ,

I's. (Institutional banking, Investment banking, Individual banking,
Information Technology, Insurance). ,
, , .
, '80,

, Citicorp
,
.
Wriston J. Reed 1984. Reed
.
J.Reed, .
, ,
. 1987
,
.
, 1987
Citicorp. ,
, Reed ,
Investment Banking,
.
,
, Citicorp .
: Reed
, ,
.
.

Reed,
1990 60%, .
( ,
) .
: ,
,
, (Telephone
Banking).

271

 '80,
Citicorp.
, ,
.
Citicorp, ,

.

.
,
,
Citicorp.
Citicorp
,
.
'90 Citicorp
Universal Banking,
. Citicorp
, .
, Citicorp ,
American Express.
retail banking Citicorp
.
, institutional banking,
,

,
. ,
Citicorp.
, risk management .
1987 institutional banking investment
banking,
,
.
. 1992, 92
, 88.000 .
,
,
,
, .
; Citicorp
: , 1998,
Travelers Group Inc.
140 ,
. Citigroup nc,
J. Reed Citicorp S. Willy Travelers
Group Inc.
272

 1997,
Citigroup, 700 , 50 .
, Citicorp
2,5 , Travelers
Citigroup nc.

273



.
:
, ,
Bank Holding.
Hausbank
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274

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277

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merger ().
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,

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278

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279

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281

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10, 13.000. 11 18 4.000. 19 30.
30 .
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1
1 .

60.000

1,000

(60.000)

1-10

5.000

6,145

30.725

11-18

13.000

(8,201-6,145)

26.726

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4.000

(9,427-8,201)

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282

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holding company. .

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283

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, , :
=Bank 1 & 2 -Bank 1 -Bank 2

(1)

2 . Bank 2
2,
C :
C= PBank 2 -Bank 2

(2)

C
1 2
.
, 2, ""
. 2,
, 1
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C.
(1) (2), 1 2,
, :
B-C= (Bank 1 & 2 -Bank 1 -Bank 2)-(PBank 2 -Bank 2)>0
, (B-C) :

284

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, 1 2
, , 1&2,
1
2, 2
.
. (1) 1
( B-C).

285

 6.

6.1
- .

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6.2 .

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1 100 2
50 , 1
2, .
2 100% ,
. :
=BBank 1(ER)-BBank 2 / BBank 2
BBank 1 = 1 (
)
ER = 1 2
BBank 2 = 2 (
)
, :
100(1)-50/50= 1 100%
, () :

286

ER= BBank 2(1+P) /BBank 1

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1. .
2. .
3.
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:
=KAMBank 1(ER) - KAMBank 2 / KAM Bank 2

, Bank 2=4 , Bank 2=2

ER = 1/2. .
,
.

. ,
. Terry Sexton

.
,
.
287


,
.

0,500

5,00 .

1,00 .

t-1

0,200

4,00

2,00

t-2

0,125

3,00

3,00

t-3

0,100

2,00

4,00

t-4

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1,00

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1,000

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1,50 .

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0,200

5,50

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t+2

0,125

5,75

2,50

t+3

0,100

6,00

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t+4

1,075

6,25

3,50

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4,04/5,52), ER KAM 0,4.
,
.

288

6.4 (/)
/
.
.
:
=(/KAM)Bank 1(ER) (/KAM)Bank 2/(/KAM)Bank 2
ER, :
ER=(/KAM)Bank 2(1+P) /(/KAM)Bank 1
1, / 2, 7, 5, ER ,
67%. 100%, ER 1,2
1 2.

6.5

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289

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290

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291