349 周课7 Euro + chap 12 GG PDF

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Disclaimer
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8 0 Easy edu Education Group 780 780

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EZ A EZ A 导师：JACK ZHANG EASY GROUPEZUTSG
A 校区 1
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EZ A OUTLINE EZ A EZ A
• Euro crisis
➢ 衡量 credit 5 个 C
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➢ Indebtednessnrui 117
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➢ 欧洲危机
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➢ 危机的处理
• Chap 12: Banking and the Management of Financial Institutions
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i n rui 1
➢ iX银行资产负债表 B/S：Liability，Asset，记账iXinrui 1 inru
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EZ A ➢ 银行 Management 6 个东西EZ
A EZ A
1. Liquidity
2. Asset
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3. Liability iX i n r
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e m y Da em y emy Da
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EZ A4. Capital adequacy EZ EZ
5. Credit risk
6. Interest rate risk

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D➢ai Off balance sheet activity
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导师：JACK ZHANG EASY GROUPEZUTSG 2
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Dai Dai DaiX
c a d emy c a d emy cad emy
EZ A Euro Crisis EZ A EZ A
衡量 credit 的 5 个 c
• Character：看你的integrity
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• Capacity：你有没有能力付息
y Da
iX
y Da
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d e m d e m em
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ca
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ca
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• Capital：你的net worth高不高，level of wealth
• Collateral：有没有抵押物来支持你的loan
• Condition：看大环境你能不能lend
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cad emy cad emy cad emy
EZ A Indebtedness EZ A EZ A
• debt 的公式推导
➢ D (deficit), G (government spending), T (tax), 𝑟 ∗ 𝐵 (bond 的利息支出)

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iX iX i
e m y Da e m y Da emy Da
a d a d Acad
Z Acnational debt的变化由current deficit导致EZ Ac
E➢ EZ
∆𝐵 = 𝐷
➢ 把这些公式变成per capita形式（除以GDP），用小写表示出来
0 𝑑 = 𝑔 − 𝑡 + 𝑟𝑏 1780 780
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X i n X i n X i n
Dai Dai Dai
c a d emy ➢ 你的increasing in debt ratio就这么表示：n是long
c a d emy run average growth rate of GDP，
c a d emy
EZ A EZ A EZ A
∆𝑏 = 𝑑 − 𝑛𝑏，其实就是给GDP growth做了一个adjustment
➢ 如果政府set primary deficit ratio at 一个target，（g-t）就是constant，再回头来看
∆𝑏 = (𝑔 − 𝑡) + (𝑟 − 𝑛)𝑏
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r u r u
➢ 国债的change：只要你要给的利息大于你的经济增长，你的国债就会无限滚雪球
iX i n iX i n i
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EZ A Indebtedness 的三个 key factors E
ZA EZ A
• Growth：growth 得快你脱离 debt 就指日可待，grow themselves out of debt problem，
grow 的慢就比较惨（参考上面结论）
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• Primary balance：current
iX i tax revenue 能不能 pay for theDcurrent
iX i service provided，deficit i
e m y Da e m y a e m y Da
ca d ca d ca d
EZ A EZ A EZ A
• Interest burden：利息越高越难脱离苦海
欧洲危机
• 欧洲统一欧元的4个原因 780 780 780

Dai Dai Dai
a d emy a d emy a d emy
EZ A
c ➢ Greater market integration：belief
EZ A
c that market integration大了能促进经济增长，trade变
EZ A
c
多（AS，MH无脑让国家加入欧盟）
➢ Balance out influences of member country：在欧洲只有一个央行的条件下，某一个欧盟成

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员的变化就比较moderate了 i n r u i 117 （稳定） i n r u i 117
iX iX i
a d ca d ca d
Z AcEliminate possibility of revaluation：统一货币没有capital
E➢ EZ A EZ A
flight和speculation，主要是关
于汇率方面的考量
➢ Force a sound fiscal policy，force economy to reform and modernize

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• a欧盟区减少MH和free ride定的rule X i n r ui 11 X i n r ui 11
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c a d emy c a d emy c a d emy
EZ A EZ A
➢ Stable Growth pact of 1997：每一个欧盟成员都要保证每年的deficit控制在3% EZ A of GDP，
debt-GDP 60%。出了问题不给你bail out
➢ 然而这个rule没效果，Greece，Italy，Belgium压根从来没达到过标准，2003年德国和法国也
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broke the rule
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EZ A 加入欧盟注意事项 EZ A EZ A
• 如果一个国家A， enter euro club，我们要注意（避免financial crisis）：
➢ 先看deficit and debt to GDP ratios, where these values should not be above 3% and
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60% of GDP iX respectively.
i iX i i
ca d ca d ca d
EZ A EZ A EZ A
➢ 再看他们的 banking system and see if they have similar regulations and capital ratios
as the other Euro banks
➢ maintained a fixed exchange rate for a few years leading up to the intro of the Euro as
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Dai to keep inflation low. As such, it would ai less of a transition to the Euro (there were
Dbe Dai
EZ A EZ A EZ A
not significant real rises in the price level).
➢ quality of their institutions: they should have been sufficient reform to raise the
institutions to the same quality level as the Euro countries

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➢ 看reduction
e m y Da of corruption, high transparency and e m yaccountability e m y Da
ca d ca d ca d
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➢ Reforms to be done in the areas of pensions, labor markets, and government owned
assets.
➢ 要prevent 0 massive flows of funds from Euro countries 0 to A（MH，大而不倒） 780

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c a d emy ➢ when weak countries joining the c a d emy were lent a high amount of funds, where
Euro c a d emthese
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weak countries’ banks and govts who borrowed did not handle these funds
efficiently. There should thus be limits on the capital inflows to A to prevent MH
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EZ A A
EZ问题以及债务危机的形成
Financial market 里的 information EZ A
• Euro insufficient regulation and monitoring 解决不了 MH，信息不对称导致 AS，MH，很多
钱就流到不好的国家 with weak institution（AS），不好的国家拿到一大笔钱很开心，economic

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constraint 也 lose
iX 了，reform 也不着急了，希腊：使劲给老百姓发放福利（MH，principal
i iX i i
ca d ca d ca d
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agent problem）
• 08 年美国次贷危机爆发，全球恐慌不敢 lend 了，欧洲银行也受到冲击，希腊没法拆东墙补西墙
了，高负债，主权评级疯狂下调，欧洲又只有一个央行，但每个成员情况都不一样，成员只能 rely
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i 各自的 fiscal policy，失去了 monetary policy
Daon Dai 的手段，大家都做空欧元（贬值），危机爆发 Dai
EZ A EZ A EZ A
• Dilemma：bail out 一个欧盟成员或者银行又不给他们 punishment 就会导致更严重的 MH，放
着让他跨的 cost 又难以承受，脱离欧盟 cost 又巨大，只能 bail
• 看 debt 是不是 sustainable0从之前公式推导和 indebtedness 的 3 个 factor 入手

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危机的处理：current reform attempt to reduce MH
• Fiscal Compact treaty：focus on structural budget balance，控制 debt（MH）
➢ specified time ceiling for reducing debt/GDP below 60%（MH）

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Da➢i required to be written in domestic m
X legislation，require
Dai X independent national councilDai X
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to monitor（MH），alone with external surveillance with the threat of external
sanctions（MH）.
➢ Monitor excessive imbalance, exogenous severe shocks （MH）

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iX iX i
• bankingmunion：遵从巴塞尔协议
e y Da 3，帮助 between e m y Da banks and weak sovereigns 走
weak e m y Da
ca d ca d ca d
EZ A EZ A EZ A
出债务死循环，制定 deposit insurance（AS），fiscal backstop 来给 weak institution
inject equity（AS）
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EZ A A
EZ like
• ensure that everyday functions, EZ A could not
taking deposits and lending to businesses,
be derailed by losses on speculative trades in securities and derivatives. （MH）
• reduces trading because banks would no longer be able to use government-insured

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customer deposits iX i to support their trades; reduce systemwide iX risks （MH）
i i
ca d ca d ca d
EZ A EZ A EZ A
• Reforms reflect the spirit of the Volcker Rule （restrict proprietary trading） in the United
States, which would prohibit federally insured banks from speculating in securities and
derivatives. （MH）
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i
• DaEuro bond：保护欧洲 national sovereign Dai market 不受到来自欧洲境内的 destabilizing
debt Dai
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speculative attack （做空欧元）
• deeper fiscal union：agree to share certain tax stream or spending programs that would
be delink from fluctuations in national level output

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i n r u i n r u
iX aiX i
• ECB declared
e m y Dathat it would act as a lender of last resort e m for troubled countries. keep
y D emy Da
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interest rates low; dispel fears of Euro breaking up; stop panic; provide assurance of
lender of last resort （AS，investor confidence，lemon）
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希腊的改进
y Da
i X
y DaiX y DaiX
cadem c adem c adem
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• reversing budget deficit，减少 G，提高 T，有 budget surplus 了；开始 reform，pension
reform，selling inefficient government asset
• 仍需努力的地方: 希腊面临的问题
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➢ Banking aiX
y Dsector,
iX
banks have high percentage ofenon-performing
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i
d e m d m d e m
ca ca ca
EZ A EZ A EZ A
天没有 make scheduled payment）. Need business investment, both domestic and
inward FDI（foreign Direct investment）
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cad emy cad emy dem
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Dai Dai Dai
EZ A ➢ Takes time for reforms to E
ZA ZA
pay off, so Euro officials need to be realisticEon expectations
on the timing of reforms
➢ Concern over sustainability of debt, particularly given negative GDP growth in 2015
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and 2016; IMF
iX （international monetary fund）has said
i iXdebt/GDP, present value of
i i
ca d ca d ca d
EZ A EZ A EZ A
debt to GDP, and interest payments to GDP all unsustainable, so there will be tension
between Greece and Euro creditors to resolve this problem. Haircut on the debt is
needed.
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EZ A Chap 12 EZ A
Banking and the Management of Financial Institutions EZ A
银行的 B/S
Total Assets = Liabilities + Capital

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i n r i n r
• Liability 就是银行的钱从哪里来的，asset就是银行的钱用到哪里去了
y Da
iX
y Da
iX
y Da
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d e m d e m em
EZ A
ca
EZ A
ca
EZ Acad
• Liability
➢ 银行acquire fund through issue liability
➢ Demand and notice deposit（checkable deposit的一种）：活期，cost of borrowing 最

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Dai 小（给的利息最低），人可以直接从withdraw他们的钱，或者提前notice一下
Dai Dai
EZ A EZ A EZ A
➢ Fixed term deposit （CDs）：定期，fix 一个term不能取
➢ Borrowing：overdraft loans，settlement balance
➢ Checkable deposit shrunk over time，checkable deposit不是primary source bank raise

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fund m y DaiX m y DaiX m y Da
i
ca d e ca d e ca d e
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➢ Advances：BOC deposit过来的钱
• Asset
➢ Reserves 0：settlement of balance（在央行deposit的钱）+currency 0 physically held by 780

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X i n X i n X i n
Dai Dai Dai
c a d emy the bank （vault money），liquidity c a d emy最好 c a d emy
EZ A EZ A EZ A
➢ 1994年，reserve requirement 被remove了
➢ Cash item in process of collection：要收到的钱
➢ Deposit in another bank：还是你的钱

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iX iX i
➢ cSecurity：投资的一些东西，short-term
a d government
ca d security也叫做secondary reserve Z Aca d
EZ A EZ A E
➢ Loan：放出去的钱，主要profit的来源
➢ Other asset
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Dai Dai Dai
EZ A EZ A as liabilities on a bank's balance sheet?EZ A
3) Which of the following are reported
A) Reserves
B) Demand and notice deposits

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C) Loans iX i n
DaiX i
e m y Da em y em y Da
ca d Acad Acad
EZ A EZ EZ
D) Deposits with other banks
8) Large-denomination CDs are ________, so that like a bond they can be resold in a ________
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market
Dai before they mature. Dai Dai
EZ A EZ A EZ A
A) nonnegotiable; secondary
B) nonnegotiable; primary
C) negotiable; secondary
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D) negotiable; m DaiX
yprimary y DaiX y Da
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d e em em
EZ A
ca
EZ Acad EZ Acad
Non-negotiable CD不能提前取钱
16) Which of the 0following are reported as assets on a bank's 0 balance sheet?
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X i n r u i
X i n r u i
X i n r ui 11
y D ai Dai Dai
c a d emA) Borrowings c a d emy c a d emy
EZ A EZ A EZ A
B) Reserves
C) Notice deposits
D) Bank capital 0 0
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i
em em em
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cad emy cademy dem
y
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EZ A A
EZ because
21) Secondary reserves are so called ________. EZ A
A) they can be converted into cash with low transactions costs
B) they are not easily converted into cash, and are, therefore, of secondary importance to
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banking firms DaiX i n iX i n i
e m y e m y Da e m y Da
ca d ca d ca d
EZ A EZ A EZ A
C) 50 percent of these assets count toward meeting desired reserves
D) they rank second to bank vault cash in importance of bank holdings
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记账
y D aiXin DaiX DaiX
cadem cad emy cad emy
EZ A EZ A EZ A
• 怎么记账
➢ 银行赚钱的方式：asset transformation, acquire funds of one type，buy asset of another
➢ In general, banks make profits by selling short term liabilities and 0buying long term
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i X i n ru i
i X i n rui 1 i
assets）
ca d ca d ca d
EZ A EZ A EZ A
➢ T-account，asset永远等于liability+capital，无时无刻都要配平，不平就是有问题，迷你版
balance sheet
➢ 你去银行存个钱，银行 0 vault money （A）和 chequable 0 deposit（L）都上涨 by the same 780

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X i n X i n X i n
Dai Dai Dai
c a d emy amount，Vault money 又属于 reserve
c a d emy c a d emy
EZ A EZ A EZ A
First National Bank
Asset Liability
reserve 100 chequable 100
➢ 你要存钱 100 块在 A 7银行，但你的钱在 80 B 银行，怎么记？ 80

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iX iX i
ca d ca d Acad
EZ A EZ A EZ
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cad emy cad emy dem
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Dai Dai Dai
EZ A ZA
6) When Jane Brown writes a $100Echeque to her nephew (who lives in another
A
EZprovince), Ms.
Brown's bank ________ assets of $100 and ________ liabilities of $100.
A) gains; gains
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B) gains; loses DaiXinr inrui
my y DaiX y Da
i
cade em em
E Z A EZ Acad EZ Acad
C) loses; gains
D) loses; loses
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银行赚钱怎么记
y Da
i
y DaiX y DaiX
cadem c adem c adem
EZ A EZ A EZ A
• Desired reserve ratio 就是银行不能用的钱，这笔钱要reserve在银行以防万一，reserve ratio
10%，deposit $100 （L），银行要存$10(A)把$90(A) loan出去. Interest rate on loan 越高银
行赚的越多 0 0
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➢ T account
my D a
： y DaiX y Da
i
cade em em
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DaiX DaiX DaiX
cad emy cademy cademy
EZ A EZ A EZ A
13) When $1 million is deposited at a bank, the desired reserve ratio is 20 percent, and the
bank chooses not to hold any excess reserves but makes loans instead, then, in the bank's
final balance sheet, ________. 80 80

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iX iX i
m y Da m y Da emy Da
A) the assets
ca d e at the bank increase by $800,000 Z Aca d e
Acad
EZ A E EZ
B) the liabilities of the bank increase by $1,000,000
C) the liabilities of the bank increase by $800,000
D) reserves 0 by $160,000 0 0
ui increase
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ai X DaiX DaiX
e my D emy dem
y
cad cad Aca 校区
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EZ A EZ A 12
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X i n r ui 1
X i n r ui 11
Dai Dai Dai
EZ A EZ A
General principle of bank management：Liquidity management EZ A
• Ample reserve：reserve 很充足，如果一个银行有 ample excess reserve，一个 deposit
outflow（有人把钱取走了）does not necessitate changes in other parts of its B/S

80 80
n r u i 117 n r u i 117
➢ T account： iX i iX i i
ca d ca d Acad
EZ A EZ A EZ
780 780 780

i
• Da对比Shortfall Dai
in reserve：Deal with shortfall Dai
EZ A EZ A EZ A
➢ borrow form other bank，去找其他银行借钱是有成本的（interest rate），所以说有excess
reserve 相当于一个insurance against cost associated with deposit outflow，T-
account： 0 0
1178 1178
inrui inrui
y DaiX y DaiX y Da
i
em em em
➢ Securities 0 sale：另外一个解决short fall的方法就是变卖asset，unsustainable，很伤，变卖

780 780
r u i 1178 r ui 11 r ui 11
X i n X i n X i n
Dai Dai Dai
c a d emy security的cost就是brokerage and c a d emy transaction cost，T-account：
other c a d emy
EZ A EZ A EZ A
80 80
i n r u i 117 i n r u i 117
iX iX i
m y Da m y Da m y Da
➢ cBank
a d e of Canada advances：求助于央行，cost就是找央行借钱的associated
ca d e interest rate，Aca d e
EZ A EZ A EZ
T-account
80 80 80
DaiX DaiX DaiX
cademy cademy dem
y
EASY EDU | ECO 349
1 7 80 1 7 80 780
X i n r ui 1
X i n r ui 1
X i n r ui 11
Dai Dai Dai
EZ A ZA
➢ 银行也可以reduce （callingE in）its loan，这是解决shortfall最伤的方法，把放出去的钱要回 EZ A
来，customer很不开心，也会有损失，other bank may only agree to purchase loan at a
substantial discount，T-account：
80 1178
0
i n r u i 117 inrui
iX DaiX i
e m y Da emy emy Da
Aca d Acad Acad
EZ EZ EZ
2) If a bank has $100,000 of demand deposits, a desired reserve ratio of 20 percent, and it
780 780 780
Dai $40000 in reserves, then the maximum
holds Dai
deposit outflow it can sustain without altering i
Daits
EZ A EZ A EZ A
balance sheet is ________.
A) $30000
B) $25000 0 0
1178 1178
inrui inrui
C) $20000demy DaiX y DaiX y Da
i
em em
EZ A
ca
EZ Acad EZ Acad
D) $10000
General principle of bank management：Asset management
• 3个goal：要想maximize 0 profit，银行就要找最好的return on
0 loan and security，降低risk，要 780
r u i 1178 r u i 1178 r ui 11
X i n X i n X i n
Dai Dai Dai
c a d emy 有adequate liquidity c a d emy c a d emy
EZ A EZ A EZ A
• 4种方法来实现这些goal：
➢ 找风险低的borrower and pay high i
➢ 买security with high 8return

0 and risk 1178
0
i n r u i 117 inrui
i X DaiX i
y Da y y Da
➢ A c dem
aDiversify holding Acad
em
Acad
em
E Z EZ EZ
➢ Manage liquidity to meet deposit outflow
8 0 80 80
DaiX DaiX DaiX
cad emy cad emy dem
y
EASY EDU | ECO 349
1 7 80 1 7 80 780
X i n r ui 1
X i n r ui 1
X i n r ui 11
Dai Dai Dai
EZ A EZ A most accurately describes the task of bank
14) Which of the following statements EZ A asset
management?
A) Banks seek the highest returns possible subject to minimizing risk and making adequate
80 80
r u i 117 r u i 117
provisions for liquidity.
iX i n iX i n i
ca d ca d ca d
EZ A EZ A EZ A
B) Banks seek to have the highest liquidity possible subject to earning a positive rate of return
on their operations.
C) Banks seek to prevent bank failure at all cost; since a failed bank earns no profit, liquidity
780 780 780
needs
Dai supersede the desire for profits. Dai Dai
EZ A EZ A EZ A
D) Banks seek to acquire funds in the least costly way.
General principle of bank management：Liability management

80 80
i n r u i 117 i n r u i 117
iX iX i
• 这是最近才有的due
e m y Da to rise of money center banks，money
e m y Da center bank和普通银行差不多， e m y Da
ca d ca d ca d
EZ A EZ A EZ A
区别就是他的交易对手（borrow，lend）是government，large corporation，regular bank；
expansion of overnight loan market and new financial instrument （negotiable CDs）；
checkable7deposit 0 （chequing account，saving account，money 0 market account）作为 780

r u i 11 8 r u i 1178 r ui 11
X i n X i n X i n
Dai Dai Dai
c a d emy source of bank fund 的重要性降低了 c a d emy c a d emy
EZ A EZ A EZ A
0 0
1178 1178
inrui inrui
y DaiX y DaiX y Da
i
em em em
8 0 80 80
DaiX DaiX DaiX
cademy cademy dem
y
EASY EDU | ECO 349
1 7 80 1 7 80 780
X i n r ui 1
X i n r ui 1
X i n r ui 11
Dai Dai Dai
EZ A EZ A
General principle of bank management：Capital adequacy management E
ZA
• 银行要决定hold多少capital for 3 reasons：capital多可以预防bank failure，capital多少直接影
响ROE（bank owner的return，regulatory requirement

80 80
n r u i 117 n r u i 117
➢ capital多和少的对比，T-account：
iX i iX i i
ca d ca d Acad
EZ A EZ A EZ
8 0 8 0 80
DaiX DaiX DaiX
cademy cad emy cademy
EZ A EZ A EZ A
• profitability 的一些 measurement：ROA，owner

80 care ROE （capital 7是他们自己的钱） 80
i n r u i 117 i n r u i 11
iX iX i
➢ cROA e m y Da
measure 的是 how efficiently bank is run e m y Da emy Da
a d ca d Acad
EZ A EZ A EZ
➢ ROE measure 的是 how well owners are doing on their investment
➢ ROA 和 ROE 的关系：based on DuPont analysis
0 Return on Assets: net profit after taxes per dollar

0 of assets 0
78 1178 i 117
8
n r ui 11 r u
net profit iafter itaxes inru
a i X i iX n DaiX
y Daassets
ROA =
ade my D e m emy
Z Ac cad cad
E EZ Anet profit after taxes per dollar of equity capital
Return on Equity: EZ A
net profit after taxes
ROE =
equity capital
Relationship between ROA and ROE is expressed by the
Equity Multiplier: the amount of assets per dollar of equity capital
Assets
80 EM = 80
i n r u i 117 Equity Capital
i n r u i 117
iX X
net profit after taxes net profit after taxesy Daiassets i
e m y Da = e m ´ emy Da
ca d Aca d Acad
EZ A equity capital
EZassets equity capital
EZ
ROE = ROA ´ EM
8 0 8 0 80
DaiX DaiX DaiX
cademy cad emy dem
y
EASY EDU | ECO 349
1 7 80 1 7 80 780
X i n r ui 1
X i n r ui 1
X i n r ui 11
Dai Dai Dai
EZ A ZA EZ A
• Safety：making investment 越E safe， owner benefit （principal agent problem），加高
capital 对于 owner 来说很 costly，因为 capital 多了 ROE 就低了，具体要看市场大环境和对于投
资的信心
80 80
n r u i 117 n r u i 117
• Managing bank iX capital 的一些 strategy：
i iX i i
ca d ca d ca d
EZ A EZ A EZ A
➢ 怎么降低 capital：buyback bank stock，payout high dividend to shareholder，acquire
new fund and increase asset
➢ 怎么加高 capital：issue more common shares，reducing dividend to shareholder，降低

780 780 780
Dai liability（issue fewer loan） Dai Dai
EZ A EZ A EZ A
➢ Application：金融危机中 capital crunch 资本紧缩导致 credit crunch 信用恐慌
（investment capital hard to obtain，原理是 shortfall of bank capital led to slower
credit growth，MBS ABS 给银行带来很大损失，losses reduce bank 0capital，银行 raise 不

1 1 780 178
i X i n ru i
i X i n rui 1 i
e y Da了，reduce lending
到dcapital
m e m y Da e m y Da
ca ca d ca d
EZ A EZ A EZ A
General principle of bank management：Managing Credit risk
• Making loan 0是很多 financial institution 的 main component，这些机构想 0 make profit 就必 780
r u i 1178 r u i 1178 r ui 11
X i n X i n X i n
Dai i
y Da的 risk 可以用 MH，AS 解释 Dai
c a d emy 须要确保这些 loan paid back in full，放 c a d loan
em c a d emy
EZ A EZ A EZ A
➢ AS：bad credit risk （high probability of default）are the one usually line up for
loan；those who are most likely to produce an adverse outcome are the most likely to
be selected 80 80
i n r u i 117 i n r u i 117
iX iX i
➢ cMH：borrower
a d have incentive to engageZin cactivities
a d that are undesirable from lender ca d
EZ A E A EZ A
point of view；一旦借到钱了就有 incentive 去 invest in high risk project 追求高收益；风
险越高，这个 loan 就 less likely the loan will be repaid
80 80 80
DaiX DaiX DaiX
cademy cad emy dem
y
EASY EDU | ECO 349
1 7 80 1 7 80 780
X i n r ui 1
X i n r ui 1
X i n r ui 11
Dai Dai Dai
EZ A EZ A
• 解决 managing credit risk：screening EZ A
and monitoring，enforce covenant，longterm
customer relationship，loan commitment， collateral
• Credit rationing：A lender refuses to make a loan, although borrowers are willing to pay
80 80
n r u i 117 n r u i 117
the stated interest
iX rate or even a higher rate
i iX i i
ca d ca d ca d
EZ A EZ A EZ A
4) In order to reduce the ________ problem in loan markets, bankers collect information from
prospective borrowers to screen out the bad credit risks from the good ones.
780 780 780
A) D ai
moral hazard Dai Dai
EZ A EZ A EZ A
B) adverse selection
C) moral suasion
D) adverse lending 0 0
1178 1178
inrui inrui
y DaiX y DaiX y Da
i
em em em
5) In one sense ________ appears surprising since it means that the bank is not ________ its
portfolio of loans and thus is exposing itself to more risk.
A) specialization 0in lending; diversifying 780 0

u i 1178 ui 11 i 117
8
X i n r X i n r inru
y D ai Dai DaiX
c a d emB) specialization in lending; rationing cademy cademy
EZ A EZ A EZ A
C) credit rationing; diversifying
D) screening; rationing
0 0
1178 1178
inrui inrui
y DaiX y DaiX y Da
i
em em em
80 80 80
DaiX DaiX DaiX
cad emy cademy dem
y
EASY EDU | ECO 349
780 780 i 117
80
Dai Dai DaiX
EZ A EZ A
General principle of bank management：Interest-rate risk EZ A
• 如果一个institution have more interest rate sensitivity in L than A，interest rate上升就会导
致net interest margin 和 income 下降，i下降会导致net interest margin和income上升

80 80
n r u i 117 n r u i 117
• Interest sensitivity
iX in A大于L，i上涨导致net interest margin和income上升，i下降导致net
i iX i i
ca d ca d ca d
EZ A EZ A EZ A
interest margin和income 下降
• Gap analysis：用来measure sensitivity of profit to interest rate
𝐺𝐴𝑃 = 𝑟𝑎𝑡𝑒 − 𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒 𝑎𝑠𝑠𝑒𝑡𝑠 – 𝑟𝑎𝑡𝑒 − 𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠

7 8 0 80 780
i n r ui 11 𝐺𝐴𝑃 = 𝑅𝑆𝐴 –nru
i i 117
𝑅𝑆𝐿
i n r ui 11
Dai X Dai X Dai X
c a d emy 𝛥𝐼𝑛𝑐𝑜𝑚𝑒
c a d emy = 𝐺𝐴𝑃 × 𝛥𝑖 c a d emy
EZ A EZ A EZ A
• Duration analysis：用来measure sensitivity of market value of financial institution的net
worth to change in interest rate
𝜟𝒊
7 8 0 %𝜟𝑷 = − 𝑫𝑼𝑹𝒈𝒂𝒑 × 80
i n r u i 1 1 𝟏+𝒊
i n r u i 117
iX aiX i
e m y Da 𝑊ℎ𝑒𝑟𝑒: 𝑃 𝑖𝑠 𝑡ℎ𝑒 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 e𝑜𝑓
m y𝑎D𝑠𝑒𝑐𝑢𝑟𝑖𝑡𝑦 emy Da
ca d ca d Acad
EZ A E𝑃Z A − 𝑃 EZ
𝑡+1 𝑡
%𝛥𝑃 =
𝑃
𝐷𝑈𝑅 = 𝑑𝑢𝑟𝑎𝑡𝑖𝑜𝑛
𝑖 = 𝑖𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑟𝑎𝑡𝑒
8 0 780 80
inrui 117 i n r ui 11 inrui 117
DaiX Dai X DaiX
cademy c a d emy 𝑳 cademy
EZ A EZ A𝒈𝒂𝒑 = 𝑫𝒖𝒓𝒂 – ( 𝒙 𝑫𝑼𝑹𝑳 )
𝑫𝑼𝑹 EZ A
𝑨
𝐷𝑢𝑟𝐴 = 𝑤𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝑎𝑣𝑒𝑟𝑎𝑔𝑒 𝑑𝑢𝑟𝑎𝑡𝑖𝑜𝑛 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡𝑠
𝐷𝑢𝑟𝐿 = 𝑤𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝑎𝑣𝑒𝑟𝑎𝑔𝑒 𝑑𝑢𝑟𝑎𝑡𝑖𝑜𝑛 𝑜𝑓 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠
𝐿 = 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠
7 8 0 80
i n r u i 1 1
𝐴 = 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡 i n r u i 117
iX iX i
a d ca d ca d
• EThe
Z Ac impact of the interest rate change on net EZ Aworth (NW) as a percentage of assets can
EZ A
be calculated via
𝛥𝑁𝑊 𝛥𝑖
= −𝐷𝑢𝑟𝑔𝑎𝑝 ∗
𝐴 1+𝑖
8 0 780 780
inrui 117 i n r ui 11 i n r ui 11
DaiX Dai X Dai X
cademy c a d emy c a d emy
EZ A EZ A 导师：JACK ZHANG EASY GROUPEZUTSG
A 校区 19
78 78 i 117
8
Dai Dai DaiX
EZ A EZ A EZ A
2) All else the same, if a bank's liabilities are more sensitive to interest rate fluctuations than
are its assets, then ________ in interest rates will ________ bank profits.
80 80
r u i 117 r u i 117
A) an increase; increase
iX i n iX i n i
ca d ca d Acad
EZ A EZ A EZ
B) an increase; reduce
C) a decline; reduce
D) a decline; not affect

780 i 117
8 0
i 117
80
my D
ai y DaiX y DaiX
cad e c adem c adem
EZ A EZ A EZ A
4) If a bank has ________ rate-sensitive assets than liabilities, a ________ in interest rates will
reduce bank profits, while a ________ in interest rates will raise bank profits.
A) more; rise; decline

0 0
ui 1178 1178
iXinr inrui
B) more; decline; a
my rise
D y DaiX y Da
i
cade em em
C) fewer; decline; decline
D) fewer; rise; rise
780 780 780

Dai Dai Dai
c a d em7)
y If the First National Bank has a gap equal
c a d emyto a negative $30 million, then a 5 percentage
c a d emy
EZ A EZ A EZ A
point increase in interest rates will cause profits to ________.
A) increase by $15 million
B) increase by $1.5 million 1780 0

ui 1 1178
iXinr inrui
y D a y DaiX y Da
i
C) decline em$15
cadby million em em
D) decline by $1.5 million
8 0 8 0 80
DaiX DaiX DaiX
cad emy cad emy dem
y
78 78 i 117
8
Dai Dai DaiX
EZ A Off B/S activity EZ A EZ A
• 表外项目会影响 profit 但不会显示在 B/S
• Loan sale (secondary loan participation)

80 80
n r u i 117 n r u i 117
• GenerationDof iXfee income
i iX i i
e m y a e m y Da emy Da
ca d ca d Acad
EZ A EZ A EZ
• 用到衍生品，期货期权 swap 之类的
• 产生 principle agent issue，trader take big bet on high risk 赚了我有 gain，赔了 born by
the firm
780 780 780
i
• Da解决：internal control，trading activity ai
和Dbook keeping 分开，limit on exposure，value Dai
EZ A EZ A EZ A
at risk（Var），stress testing
0 0
1178 1178
inrui inrui
y DaiX y DaiX y Da
i
em em em
8 0 8 0 80
DaiX DaiX DaiX
cad emy cad emy cademy
EZ A EZ A EZ A
0 0
1178 1178
inrui inrui
y DaiX y DaiX y Da
i
em em em
8 0 8 0 80
DaiX DaiX DaiX
cad emy cad emy dem
y

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8 0 Easy edu Education Group 780 780

• Chap 12: Banking and the Management of Financial Institutions

1780 1780 i 117

6. Interest rate risk

➢ D (deficit), G (government spending), T (tax), 𝑟 ∗ 𝐵 (bond 的利息支出)

➢ 如果政府set primary deficit ratio at 一个target，（g-t）就是constant，再回头来看

• Growth：growth 得快你脱离 debt 就指日可待，grow themselves out of debt problem，

• 欧洲统一欧元的4个原因 780 780 780

➢ Balance out influences of member country：在欧洲只有一个央行的条件下，某一个欧盟成

➢ Force a sound fiscal policy，force economy to reform and modernize

debt-GDP 60%。出了问题不给你bail out

• 如果一个国家A， enter euro club，我们要注意（避免financial crisis）：

as the other Euro banks

institutions to the same quality level as the Euro countries

➢ 要prevent 0 massive flows of funds from Euro countries 0 to A（MH，大而不倒） 780

efficiently. There should thus be limits on the capital inflows to A to prevent MH

• Euro insufficient regulation and monitoring 解决不了 MH，信息不对称导致 AS，MH，很多

钱就流到不好的国家 with weak institution（AS），不好的国家拿到一大笔钱很开心，economic

• 08 年美国次贷危机爆发，全球恐慌不敢 lend 了，欧洲银行也受到冲击，希腊没法拆东墙补西墙

着让他跨的 cost 又难以承受，脱离欧盟 cost 又巨大，只能 bail

• 看 debt 是不是 sustainable0从之前公式推导和 indebtedness 的 3 个 factor 入手

• Fiscal Compact treaty：focus on structural budget balance，控制 debt（MH）

➢ specified time ceiling for reducing debt/GDP below 60%（MH）

➢ Monitor excessive imbalance, exogenous severe shocks （MH）

be derailed by losses on speculative trades in securities and derivatives. （MH）

• reduces trading because banks would no longer be able to use government-insured

be delink from fluctuations in national level output

lender of last resort （AS，investor confidence，lemon）

reform，selling inefficient government asset

inward FDI（foreign Direct investment）

on the timing of reforms

Total Assets = Liabilities + Capital

➢ 银行acquire fund through issue liability

➢ Demand and notice deposit（checkable deposit的一种）：活期，cost of borrowing 最

➢ Borrowing：overdraft loans，settlement balance

➢ Checkable deposit shrunk over time，checkable deposit不是primary source bank raise

➢ Reserves 0：settlement of balance（在央行deposit的钱）+currency 0 physically held by 780

➢ Cash item in process of collection：要收到的钱

➢ Deposit in another bank：还是你的钱

B) Demand and notice deposits

A) they can be converted into cash with low transactions costs

D) they rank second to bank vault cash in importance of bank holdings

➢ 银行赚钱的方式：asset transformation, acquire funds of one type，buy asset of another

➢ 你去银行存个钱，银行 0 vault money （A）和 chequable 0 deposit（L）都上涨 by the same 780

➢ 你要存钱 100 块在 A 7银行，但你的钱在 80 B 银行，怎么记？ 80

Brown's bank ________ assets of $100 and ________ liabilities of $100.

10%，deposit $100 （L），银行要存$10(A)把$90(A) loan出去. Interest rate on loan 越高银

final balance sheet, ________. 80 80

C) the liabilities of the bank increase by $800,000

• Ample reserve：reserve 很充足，如果一个银行有 ample excess reserve，一个 deposit

outflow（有人把钱取走了）does not necessitate changes in other parts of its B/S

780 780 780

reserve 相当于一个insurance against cost associated with deposit outflow，T-

➢ Securities 0 sale：另外一个解决short fall的方法就是变卖asset，unsustainable，很伤，变卖

来，customer很不开心，也会有损失，other bank may only agree to purchase loan at a

General principle of bank management：Asset management

➢ 找风险低的borrower and pay high i

Brown's bank assets of $100 and liabilities of $100.