005 -

COURSE 1.

 Copyright 2010, .
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1.
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1. ...............................10
2. .......................................16
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2. -
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1. ............26
2. ..................35
3. ......................63
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3.
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1. ..................74
2. ............................84
3.
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4. ..................... 103
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1.
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2.
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3.
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4.
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............................................................................................................. 146
005 - COURSE1 - B ..................................................................... 147

005 -
COURSE 1.

1.


,
-
.

-

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,
,
-.

 1.

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

1.1
,

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, -
.

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,

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,
,
,
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(management) . ,

10

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,
Asymmetric Information Problem (De Meza & Webb 1987, Bester & Hellwig
1991), ,
, ,

(Rose & Sanford 1990).

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,

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,
.

1.2

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,
.


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,

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1,

11

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1.

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1 ()
,

:
R+L=D+E=A

(1)

12


, .
bA

(2)

RkD

(3)

,
. ,

.
2 3 .

( 2).
2.

,
,
R, D, E L.
:
D+E=A
D + bA = A

D = (1- b) A

(4)

(4) (3) :
R = k (1- b) A (5)
1.1 L = A - R,
L = [1-k (1-b)] A

(6)

13


:
3.

,
. ,
:
) (L) r .
) (D) 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.

14

 4.
( , ,
)

0R=0

r L = rL

rL

- cD

rL-cD

NI
. /,

spread,

,

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

(10)
(11)

ROE
. , ROE

,
, .
, ROE
,
.

15

 2.


.

2.1
, :
, ,
. , (9)
,
.
, (11) ROE , k ,
,

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.
, ROE b ( ) ,

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, b k, ROE.
5 ,
.
k, 4% 10%. ,
b.

16

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

k=0,10

b = 0,04

0,965

0,792

b= 0,10

0,437

0,372

r = 0,12

c= 0,08

, ROE,
.
11 :
= 1 / b
= - 1 = (1-b) / b
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
.

, .

17

 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

7
. ,

, .


. ,

.

18

 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.

1. General & Overall Services (GOS

General & Overall Services (GOS),
:

1.500.000
11.500.000

15.000.000

8.000.000

3.000.000
7.000.000

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%,
.
.

19

4.

1.
rL

: NI =
-

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 )

b
b

ROE =

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

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

= 0,121
0
,
3478
0
,
3478

: k=0,08, b=0,3478, r=10%,

c=7%.

3.

ROE :

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

ROE=0,141
0,3478
0,3478

ROE=

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

ROE :

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

0,3478
0,3478

ROE=

ROE=0,168
ROE
. , ROE k ,


.
,
. ,

20

, ( ),
.
4.

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

21

. ,
,

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,

: )
r , ) c,

) - NI
: NI = rL - cD,

RO,

RO
,

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,

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.

22

005 -
COURSE 1.

2.

23

24




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25

 1.

,
, ,

.

1.1

1980.
,

1980. 1990,
,
.

, ( - ), ,

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,
.
1990 21
.



.

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26

.

:
= +

(), (),
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.
,
.

1.2

.

,
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2
1996. ,

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,
:

( )


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27

 (180
),

(
180 ),

()
.
1.
(% , 31/12/96)

( )

( )

21

66
26

100

18

25

12

100

2
2004.

28

 2. 2004
2004 ( . )

2004

12.916

17.916

14.695

518,9

535,2

125,2

629,6

396,7

574,4

( )

-78,1

( )

-94,1

3. ( . )
...

17%

1%

78%

66%

11%

4%

12%

26%

28%

21%

5%

8%

37%

68%

6%

7%

6%

100%

100%

100%

. .

100%

: (...)

28%
21% .
. 68%
29

 ,
38% .

, (78% 66% )

1.3

.
.
.

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.
(working capital).
:

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.

.

.

30

 4.

2006(. ) 2005 (%) 2004 2003 2002 2001

76,660

14,7

12,7

14,4

9,6

18,5

80,236

31,4

30,2

28,5

32,2

40,4

156,896

17,8

16,2

17,3

16,9

24,8

,
, (Cressy 1996,
Chaston 1993).
4 5,
,
.
5. ..

..

2006

2005

2004 2003 2002 2001

84%

77%

70%

65%

60%

56%

110% 104%

98%

95%

94%

93%

1.3.1

.

.
,
,
,
. () Franklin
National Bank 1951,
1960.
1.3.2

. ,

31


.
6.

2006

3141

4214

19824

25,824

6,716%

2005

-9,1%

3,7%

6,0%

28,7%

37,6%

2004

5,4%

15,8%

14,0%

37,9%

4,1%

2003

1,9%

20,2%

5,4%

27,5%

4,1%

2002

-13,4%

33,7%

0,9%

24,2%

1,1%

.
.

:

(
2% 6%),

,
10 25 ,

.
1.3.3
,
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32

 ,
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1980,
.
,

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80 90,
,
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1,
.

1

Senior Securities: .

(junior securities). ,

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

33

 ,
( ),
, ,
.

34

 2.

,
,
,
.

2.1

, (management team)
.

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,

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( ).

( ).
, ,
(
- Wilson 1986).

,
-, ,

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35

2.2
,
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.
,

.
1.

10%.
:

20.

100.

80.

10.

10.
110 .

110 .

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

10.

90.

80.

10.

10.

10. 10. ,

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

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36

 ,
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:

10.

100.

90.

10.

10.
110 .

110

10 . ,
:

0.

90.

90.

10.

10.
100 .

100

10% 90 .
0. ,
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9.

90.

90.

10.

10.

9.

109 .

109

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37


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(discount rate).
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38

2.3
,

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,

.

(Bannock & Doran 1991).
7.

. -

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( )

.
39

, .
1%
.

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.
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(
)
(Heffernan 1996).

,
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80
(White 1983).
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40

 ,
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2.3.1

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, (,
.),

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4.000 , 5%,

41

 1/1/2002, 0,8 .
9.
, .
, (
), ,
,
,

.

(.. , ...).

1-1-02

-4.000

-5.000$

1-1-03

1-1-04

1-1-05

250$

250$

5250$

1-1-03

1-1-04

1-1-05

250$

250$

5250$

,
(.. = +3%).
1/1/02, 3.000
, , 3%.
2003, 2004 2005 5%, 4%
3%, (cash flow)
10

1-1-02

1-1-03

1-1-04

1-1-05

5%

4%

3%

5%+3%=8%

4%+3%=7%

3%+3%=6%

240

210

180

-3.000

(
), ,
(.. =
42

Athibor + 2%, = Libor + 1%

),
, ,
.
cash flow ,

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,
,
, , ,
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.

.

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

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

43

 (ladder portfolio)

, .
, .. 30/9/01,
.
, ,
,

. ,
, ,

.
,

.

6.000

8,0%

31-12-02

15

6.000

8,2%

31-6-03

21

6.000

8,4%

31 12-03

27

6.000

8,6%

30-6-04

33

6.000

8,8%

31-12-04

39

6.000

9,0%

30-6-05

45

6.000

9,2%

31-12-05

51

42.000

8,6%
33

(barbell portfolio)
,

,
.
barbell ,
30/6/03.
44

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

(immunization strategy)
,


, .


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

10%

7,5%

9%

7,3%

8%

7,0%

7%

7,0%

45

 ,

,
.
bullet portfolio.

(yield curve),

(immunized portfolio), :
Macauley Duration (

)

, ,
immunization. , cash flow

.

,
bid ask.

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

,
. ,

,
,
.

46

2.4
1960,
.
,
.
.
60%
, .

, ,
.
, , overnight
loans2, ,
.

60,

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,

.

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,

()
.
,
,
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2

47

,
,
.
,
,
. ,

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

.
H ,

, 46% 1960 68% 1996.

: ,

,
,
,
. ,
.
,

.

48

 2.
,

10%,
4%.

,
.
(bad
debts), ,
,
:

$ 10 .

$ 90 .

$ 85 .

$ 5 .

$ 95 .

$ 95 .

$ 10 .

$ 96 .

$ 85 .

$ -1 .

$ 95 .

$ 95 .

,

. ,
49

 ,
. ,

,
.

,
. (Return on
Assets ROA) ,
.

=
100

,
.
,
.

(Return on Equity ROE).
.

=
100


.
(Equity MultiplierEM) :
= /

:

ROE = ROA X M

50

 ,

. ,
$100 $10 ,
10 ($100/ $10 =10).
25.
1%.

1 10 = 10%, 1 25=
25%.
(
),
, .

management team.
,
.

,
,
,

.

2.5

, ,
.


.
,

,
51

 .
.

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

( )
. ,

.

(
)
.

(spread)
(
)

).
,
.

,
.

.


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.
,
.

52

. ,
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8
,
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8.
( '', 2006 / )

13.205

1.504

42.101

()

82.676

6.672

146.158

21.632

9.107

12.525

19.107

89.935

4.650

10.834
146.158

, 2006

12.768

1.547

7.363

517

4.658

14.315

12.538

53

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)

54

 3.

,
, , :
(1)
, 2002, :

26% .
22% .
7% .
(2)
, 4% 2007.
(3) 2007,
160 . .

:
,

( )

32

0,74

23,68

12

0,78

9,36

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

0,96

5,76

0,96

0,96

12

0,96

11,52

160

141,49

55

(4) , ,
16% .
34%. 16/(1-0,34)
24,2%.
(5) :

2007

2007

0,046*

0,031

0,03

0,025

0,043

0,045

0,01

0,058

0,055

0,006

0,077

0,07

0,002

0,081

0,075

0,001

0,08

0,075

0,002

0,056

0,06

0,001

0,078

0,07

0,001

0,242

()

2006

100000

*
(, ,
, ..)

56

(6) 2007 2,2.

1,8.
( 3,8. 2. )
4 . .
(7) 2007 ( . ) :

()
( )

12,1

12,1

8,5

8,5

70

26

26

37

107

3,9

3,9

2,5

2,5

( )

160

(8)
2007 5% 11%.
16
,
.

,
.

,
2007.
,
, 12,276 . ( 3)
, , 141,5 . ( 4).

57

 ( 5),
( 3)
( 4). ( 6)
( 4) , 141,5
. . ,
(
7),
( 5) ( 6).

.
, ,
, :
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%
.

,

58

,
9,95% .

,

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

( )

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

59


100.000

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

,
, 4% ,

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


( )
.

2003

. ()

()

8.500

26.000

( )

37.000

()

70.000

0,04

0,05

0,045

382,5

0,09

0,09

2340

0,1

0,1

3700

()

()

141.500

0,095

14076

18.500

160.000

0,088

14.076

0,1

()

: (), (), () .

,
,
,
,
.
, ,

60

 ,
. ,
,

,
(35.000
x 10%)
(70.000 / 2 = 35.000), .
,
, ,
(11,87%
).
,
,
.
,
( 2003
11%), 16%
,
,
. 16%,

.

( )
1.

14.076

383

2.340

3.700

6.423
7.653

()

61

2.

7.653/70000= 10,93%

0,1093

()

3.
:
7.653/35.000-3.500/35.000)* =
=4.153/35.000= 11,87%

0,1187

()

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

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

, .


.

62

 3.
, (
) ( ) .

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

3.1

, ,

.
.

,
(. )
(. ),

,
(CDs),
.
, ,

,
, .
:

(Funds gap management),

(Maturity buckets gap model),

(Dynamic gap analysis).

63

3.2
, (Funds
gap management),
,
,
.
:

,

,

.
(funds gap or gap),
, ,
.

. ,
.

.
.
.

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

64

3.3

,

(maturity buckets gap model), 9.
9 ,

. ,
, 31 2006.

,
.
, ,

, .

.
,
.

,
.
,
, (profile)
,

65

 9.

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

31.690

41.216

54.389

13.205

13.205

1.504

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

9.107

9.107

9.107

20.012

20.012

20.012

1.341

3.426

6.204

2.794

11.412

19.897

380

1.607

3.014

3.379

3.559

3.559

32

37.013

49.123

61.825

31.632

31.632

100000.

66

9.107

9.107

6.843

6.843

20.012

20.012

10.493

8.845

19.338

100000.

30.630

1.448

32.078

7.781

3.883

11.664

3.559

3.559

167

924

1.091

10.834

10.834

81.749

64.409

146.158

( /

(gap)
(. - .)

0,86 (31.698/37.013)

-5.323

0,84 (41.216/49.123)

-7.907

0,88 (54.389/61.825)

-7.436

0,86 (70.352/81.749)

-11.397

( )

1,18 (75.806/64.409)

11.397

: , :

3.4

- dynamic gap analysis.

. ,
,

.
67

,
,
, .
, ,

,
, ,
,
,

, ,
,
,

, .

,
,
,
,
, ,

,
,

, overnight loans,
,
.

,
,

,
, ,
68

 ,
,

, ,

.
,
,

69

70

005 -
COURSE 1.

3.

71

72

. , ,
.

,

73

 1.

,
, ,
.
,

.

1.1
,
,
, .
,
, .

,

, . ,
,

. ,
,
, ,
.
1.1.1
.

,
74

(derivatives), (hedging) , (options)

.

(.. ) ,
.

.
.

.
.

.



.
1.1.2

,

.
,
.

.
,
. ,
.

, .

, .
75


,
.

.
,

,

.
, ,
, ,
,

. , ,
,
,
.

.

. ,

,
.
1.1.3 /


.

Herstatt, ,
1974
.
76

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

.
...
....
.
,
(domino effect).
3 (Netting)

.

3
.

.
, ,
domino effect .

. ,
. -

, ,


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

77

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

,
.


.
1.1.4

,
,
.
.


.

,
.
,
.
,
, ,
, .
,

78


,
, . ,
,
,
,
. ,
,
.
1.1.5
,
. ,
,

. (
), (
), .

, , .


( ) . ,

,

,
.
( )
(
), (
,
, swaps ,
), , (swaps ,
,
, warrants) .
79

1.1.6
,
,
,
.
.
,
, ,
.
, ,
, .


.
1.1.7
4

.

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

80

1.1.8
,

. ,

. ,
,
, .
,
.

.

. ,

.
,
.
1.1.9

.
.

. (BASEL) 2003
:

()
( ,
)

( , )

(,

81


.
swaps 1983
1989. swaps :
.
,

.
Barclays, Chemical, Midland, Mitsubishi Finance International
Security Pacific 400
15 .
1.1.10

,
. ,

. ,

, . ,

. ,

, ... . ,

,
.

, .
1.1.11


, ,
82

. , ,
..,
.

83

 2.

, ,
(Off
Balance Sheet Activities). ,
,
, ,
.

2.1
1.507
1992, 4.438
90%
mortgage backed securities. ,
, 16
1993 640 . (C.Twinn
1994).
,

, .
,

),

.
,

. (origination),

(credit analysis),

.

84


,

( 1).

,
. ,


.
(pool)

, ,
.


, .
,

,

.

,

.

,
.

2.2

(interest rate risk)
.

85

10.000.000 .
,

. , ,
.
.

,
,
.

.

.

,
.
.
,

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

,
.

86

 1. : -

175.000
15

10.000.000

10.000.000

20% 15 180

19,5%, 15

175.000.

172.000 0,5% 3.000

10.000.000 .

.
10.000.000

175.000 15

10.000.000

10.000.000

175.000 15

10.000.000

10.000.000

10.000.000 172.000

175.000

180

10.000.000

15 .

180

172.000

19,5%

175.000

15

87

 3.

(derivative securities).

3.1
-duration (Macaulay 1938)

.
( & 1990, Blake 1990),
, , ,

. , ,
,
.
3.1.1 (Single - payment assets)
,
C ,
n , ,
V1 .
(R) . ,
,
, :

V
d

(1)

(1 + R )

dR

nC

(1 + R )

(2)

n +1

88

 (2) V1 (1),
.
dV

= n

dR
1+ R

(3)

V 1

= n

R
1+ R

(4)

(3) (4)
.
, 10%
1%. ,
, 1 5 .
(4) :

V 1

V
V 1

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

= -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

C
(1 + R )

(5)

,
, :

89

V m

= D

R
1+ R

(6)

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

V m

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

2. 7- , 12%
1.000
[1]

[2]

[3]

[4]

[5]

12%

(1) x (4)

120

0,8929

107,14

107,14

120

0,7972

95,66

191,33

120

0,7118

85,41

256,24

120

0,6355

76,26

305,05

120

0,5674

68,09

340,46

120

0,5066

60,796

364,77

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
,
,
90

 .
(DG) :

L
DG = D A ( ) D L
A

(7)

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

, , :

PNW
R
= DG
1+ R
A

(8)

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

150

0,5

148,6

100

3,5

93,6

400

400

350

337,3

1000

1,125

979,5

2%

91

 &

400

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 . ).
(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. 3.

92

3.3 - convexity and

higher-order duration

, .
,
.
, ,
, .

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

.

.
1.

(
) .
, ,
93

 , ,
.
:

n Ct ( t 2 + t )

t
t =1 ( 1 + R )
R
D2 = n
Ct

( 1 + R )2
t
t
=1 ( 1 + R )

(9)

( 5),
(R).

3.4

.

,
() , .
,
,
,
.
,

.
, , (hedging)

(derivative

securities),

(futures), (options)
(interest rate swaps).

94

3.4.1
5 (interest rate futures)

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

(Certificates of Deposit-CDs) .

,
.
,

, (offset) ()

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

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

. (long position)

,
. ,
.
5

95

, ,
.
3.4.2

(options).

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

/ .

H ,
,
3.

96

 3.
- call options

2
(put options). H
,
. ()
,
. ,
.
,

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

(premium). premium
,
, . ,

premium.
97

 3 ,
(call option).

L, ,
.
L, ,

premium.
3.4.3
(hedging)
- ( - ),
, (interest rate
swaps). (basis swap),
.
,
, ( ..
,

),

, .
,

, .
( ) ,
(
),

.
, ,
, ,
, .
.

98

3.5 VaR
VaR (Value at risk)

1996
(Market Risk) (BASEL) 1988
VaR.
VaR (Value at risk)
. , G-30 1993, VaR

OTC (Over the counter).
(Value at risk)

.
VaR
:

,
,

,
,
,

() ,

,
.
3.5.1

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

(traders). traders

99

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

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

.
.

,

.

()
,
.

100

,
,

: ,
, / , , , ,
,

, ,

, ,
. ,
, ,

: ) , )
)
.

)
, )
) ,

, ,

VaR,
.

101

102

005 -
COURSE 1.

4.

103

104



,
.
;

.
.

.
.

.


.


.

.
,

.

105

 1.


:
,
,

.

1.1


. :
.


.

.
- Adverse Selection.
- ADVERSE SELECTION




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

. credit analysis,
106

...)
.

.



.

.

. ,
,
.

1.2
,
, .
, .
,
.
:

,
,
,
.

.

. ,
,
107


.
de facto
,
.

1.3

.
,

. ,
( ) .

,
. ,

, , ,

,
, ,
.

1.4

. ,
,

.
,
.

108

 ,
,
,
. ,
,
.

109

 2.



.

2.1

.
,
:

,
,

.
:

,

,
.

6 :

, ,
, .
,
, .
, ,
,
.
6

110


.
:

;
;
;
-
;

(Business Plan);


;

.

2.2


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


.

2.3

,
Data Bank
111

 .

,
,

.


.

112

 3.

:

3.1

,
,

, , ,

/ (Financial Statements)7
.
,
, .

.

,
- .


.
,
.
. ,

. ,

.
7

113

 ( )
,
, .
1.

, ,
.
70,
(Leasing),

,
.
.

, ,

.

3.2 .

.
3.2.1

,

.
,

. ,

114

, ,
.
,

.
-
,
.
,

,
,
.

, .
3.2.2

.

.
,
,
.
3.2.3
, , ,
,

.
,

115

 .
,
. ,
,
,
.
3.2.4
,
.

, ,

( )
.
3.2.5

.
. .. , ,
, .

3.3 .
&


.
3.3.1


.

116

 ,
.

,
.
, ,
.
,

40-50%
,
.
3.3.2

. ,
.

, . ,

( ),
.
3.3.3

,
.
,

.
3.3.4

.
: ..,
.
117


.

.

118

 4.

:

.

4.1

, ,

.

(..
),
. ,

- -
- ,

.
,
,
(Greenbaum & Thakor 1995).

,
. ( 1991)
, .

119

4.2

. ,

(Current ratio)8
(Acid - test ratio)9.
= /

,
. 1
. 2 ,
1 2.
= ( -
) /

4.3

(Inventory

turnover

ratio)10,

.

.
, .
9
,
, .. .
.

. ,
,
,
, .
,

.
10
.
,
.
, 2.500.000 ,
750.000 1.250.000 , : (750.000 +
8

120

 (Receivables turnover
ratio)11, (Fixed asset turnover ratio)12
(Total assets turnover)13.
=
/
=
/
= /

= /


.

.



.

1.250.000)/2, 2,5.
.

,
.
11
.

365.
, .

.
12
.
,
.
13
. ,
.

,
.

121

122

4.4

&

(Gross profit margin)14, (Return on net
worth)15, (Return on assets)16,
(Financial leverage)17 (Debt to
equity ratio)18.
= ( / ) * 100
= ( /
) * 100
= ( /
) * 100

,
.

.

,
.
,
.

.
15
.
,
.
.
16 ,
,
, .

,
.
17 ,

(Bernstein 1978).
18
.
14

123

 = /
.
= /

, 1:1.

.
1.

credit analysis.
,

.
1 ,
:

2000 ( 1999),
98 . 31 . .

2000 110 . ,
2001, 150 . 2002, 142,5 . .

2002,

14,44% ,
19% 21%
.
,
,
71,48% , 66% 46%

124


.
,
.
2 .
2002,
81,7%
70%.
,

.

,
15% 2002, 26%
25% .
,
. ,
,

.
3, 2, 3
, .

2002.
,

=
=

260
=
= 1, 7
153

16 + 41
=
= 0, 4
142,5

,
,
.

125




247
=
=
=
= 0,87


284
=

30,1
=
= 1,3146

22,9
+ 284
=
= 11,83

24

,
,
.

745,1
=
= 4,3
147 + 203

48 + 41

2
= 365
= 365
= 18
( )

911, 7

911, 7
=
=
= 13,8

24

,
.

6, 04
=
=
= 0, 7%

911, 7

6, 04
=
=
= 2,1%

284

6, 04
=
= 16,3%

37

:
2002, 1,7
,
.

0,4,
.

126

 ,
.
, ,
.
0,87
2002. 13%
. 87% ,
.
28% 46%.
2002 1,3146
.
, , .

.
2002 11,83 2,3

.
.
2002, 4,3
, 4,9
5,7

18

39

30 13
,
.

.
3
. ,
1%, 1% 0,7% ,
2,6%, ,

127

 2,8%.
,
.

2002 (2,1% 7,4%

6,8% ).

. ,
2000 2001
2002.


.
1. .

2000

2001

2002

.
2002

11

6,25

12

5,26

16

5,63

5%

11%

22

12,5

48

21,05

41

14,44

19%

21%

122

69,32

147

64,47

203

71,48

66%

46%

155

88,07

207

90,79

260

91,55

90%

78%

21

11,93

21

9,21

24

8,45

10%

22%

176

100

228

100

284

100

100%

100%

16

9,09

10

4,39

1,41

2%

12%

112

63,64

127

55,70

149

52,46

63%

34%

128

72,73

137

60,09

153

53,87

65%

46%

23

13,07

57

25,00

94

33,10

8%

10%

151

85,80

194

85,09

247

86,97

73%

56%

25

14,20

34

14,91

37

13,03

27%

44%

&

176

100

228

100

284

100

100%

100%

128

 2. .

2000

2001

2002

2002

713,4

100

866,2

100

911,7

100

100%

100%

592,2

83,0

706,2

81,5

745,1

81,7

70,5%

71,3%

121,2

17,0

160

18,5

166,6

18,3

29,5%

28,7%

96

13,5

126

14,5

136,5

15,0

26,0%

25,2%

46,4

6,5

60,1

6,9

54,7

6,0

17,7%

19,6

2,8

24,3

2,8

39,7

4,4

4,2%

25,2%

30,0

4,2

41,6

4,8

42,1

4,6

4,1%

25,2

3,5

34,0

4,0

30,1

3,3

3,5%

3,5%

15,9

2,2

21,3

2,5

22,9

2,5

0,5%

0,7%

9,3

1,3

12,7

1,5

7,2

0,8

3,0%

2,8%

25,8

30,7

16,1

13,3%

2,4

0,3

3,9

0,5

1,16

0,1

0,4%

6,9

1,0

8,8

1,0

6,04

0,7

2,6%

2,8%

3. .
.

2002

1,7

1,4

1,7

0,4

0,4

0,4

0,7

0,86

0,85

0,87

0,72

0,54

1,585

1,596

1,3146

2,6

3,5

8,38

10,86

11,83

2,3

5,4

5,3

4,3

4,9

5,7

14

15

18

20

27

34

41

38

30

13

1.0%

1,0%

0,7%

2,6%

2,8%

3,9%

3,9%

2,1%

7,4%

6,8%

27,6%

25,9%

16,3%

26,2%

17,5%

2000

2001

2002

1,2

1,5

0,3

(%)

129

 2.
,
, .

2003

2004

2005

2006

2007

2008

2009

4.270

6.227

14.883

19.038

15.126

14.129

760

1.060

1.879

2.816

3.682

4.139

3.485

5.164

12.964

16.188

11.359

9.948

777

1.123

2.159

2.437

2.215

2.551

2.316

3.610

10.346

13.344

8.645

7.246

392

431

459

407

499

151

25

40

34

85

42

4.270

6.227

14.883

19.038

921

1.652

2.258

2.362

2.114

3.416

12

131

162

157

517

64

447

1.184

1.000

3.193

4.466

12.380

15.967

10.988

9.068

295

348

756

563

505

628

866

1.404

3.361

1.807

1.699

1.798

92

96

114

100

683

128

33.769

28.775

25.789

27.463

24.275

21.402

15.126

14.129

10.188
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15.891
13.225

31.921
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1.640

2.666

6.267

6.306

4.500

4.387

28

44

78

100

267

439

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504

934

639

2.522

2.766

1.776

-526

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-1.206

-3.222

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-1.275

130

-18

11

-43

-5

88

332

129

816

1.398

190

-243

429

190

210

323

2003

27,50%

23,60%

2004

36,10%

34,00%

2005

17,90%

40,80%

2006

14,20%

36,60%

<<=/>>

2007

16,20%

33,20%

2008

31,90%

33,30%

2009

52,00%

2003

17,80%

15,70%

2004

17,00%

18,60%

2005

12,60%

19,40%

<</

2006

14,80%

19,60%

>>

2007

24,30%

19,70%

2008

29,30%

19,00%

2009

16,00%

2003

78,40%

81,80%

2004

73,50%

77,00%

2005

84,80%

77,10%

2006

87,60%

79,00%

2007

86,00%

79,40%

2008

75,80%

78,40%

2009

72,40%

2003

1,09

1,07

2004

1,16

1,2

2005

1,05

1,27

2006

1,01

1,31

2007

1,03

1,24

2008

1,1

1,21

2009

1,6

1991

0,85

0,62

1992

0,9

0,76

1993

0,87

0,82

2006

0,86

0,81

2007

0,83

0,77

2008

0,82

0,74

131

2009

0,89

2003

225

505

2004

605

1.410

2005

510

1.004

2006

155

1.380

2007

-227

1.740

2008

794

2.497

2009

6.971

2003

16,10%

16,10%

2004

16,80%

16,90%

2005

19,60%

18,10%

2006

18,70%

16,90%

2007

15,60%

17,00%

2008

17,00%

17,30%

2009

8,90%

2003

11,1

22,9

2004

9,6

16,9

2005

14,1

13,2

2006

14,3

12,4

2007

13,6

13,8

2008

7,5

19,5

2009

18,4

2003

2,4

2004

2,6

2,8

2005

2,1

2,3

2006

1,8

1,8

2007

1,9

2008

1,8

2,1

2009

2,3

2003

11

8,1

2004

13,9

8,9

2005

15,6

7,3

TAXYT

2006

15,4

6,5

2007

14,5

6,7

2008

9,1

7,5

2009

8,3

2003

4,4

7,4

2004

5,4

8,4

2005

4,6

5,3

132

2006

4,6

2007

4,7

5,8

2008

2,9

6,6

2009

6,7

2003

14,70%

10,70%

2004

13,10%

11,10%

2005

13,60%

12,80%

2006

16,30%

13,90%

2007

17,70%

13,60%

2008

20,30%

13,90%

2009

14,80%

2003

1,30%

3,40%

2004

5,10%

4,00%

2005

4,40%

2,40%

2006

0,60%

1,00%

2007

-0,80%

3,00%

2008

1,70%

4,30%

2009

1,40%

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148

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150