《[精选]资金管理与金融风险管理-英文版》由会员分享，可在线阅读，更多相关《[精选]资金管理与金融风险管理-英文版（32页珍藏版）》请在金锄头文库上搜索。
1、International Finance:Managing Capital Flows and Financial Risks,Joint CCER-World Bank Institute course July 16-20, Beijing, China,1,Capital Flow Volatility and Financial Risks:Overview,Dr. Yan Wang, Senior Economist Managing Capital Flows and Financial Risks, a CCER-WBI joint course July 16-20, Bei
2、jing, China,2,Capital Flow Volatility and the lowest portfolio value at the given confidence level c as W*=W0(1+R*). VAR is defined as the dollar loss relative to the mean, Value at Risk (mean)=E(W)-W*= - W0(R*- )(1) J.P. Morgans distribution of daily revenue in 1994: Mean revenue is $5.1m, n=254. S
3、elect c=95%, 254x5%=12.7. In the chart, we find the 5% of occurrences (15 obs) below -$9m. After interpolating, we find W*= -$9.6m The VAR of daily revenues, relative to the mean is VAR = E(W) W*= $5.1m- (-$9.6m) = $14.7m (2) Absolute VAR=$9.6m,18,Short Term Capital Flows are Linked to Financial Fra
4、gility: Short term debt/reserve ratios peaked before crises,Source: GDF, 1999,19,Short Term Debt /Reserve Ratios are good warning indicators of financial fragility: It peaked before the Peso crisis,Source: GDF, 1999,20,Short-term Debt as percent of international reserves: a liquidity index,21,Short-
5、term Debt as percent of international reserves: a good warning indicator,22,GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate boom/bust,23,GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate crises,24,III. Policy options to manage fiscal and fi
6、nancial risks,A spectrum of capital flow interventions Chile: reserve requirements for short term inflows: pros and cons Prudential fiscal policy and disciplines Do not provide implicit guarantees Sound banking system and regulations: regulate foreign currency exposure Competition and corporate gove
7、rnance crucial for market discipline Summary,25,Policy Options: A Spectrum of Capital Flow Interventions,1. Financial Autarky 2. Quantity Controls (All Capital Inflows) 3. Tax/Non-Remunerated Reserve Requirement (All Capital Inflows) 4. Quantity Control on “Risky” Inflows 5. Tax on “Risky” Inflow 6.
8、 Remunerated Liquidity Requirements 7. Purchase Insurance (e.g:- Contingent Liquidity Facility) 8. Other Risk Management Techniques (Asset/Liability Management) 9. No Intervention,Reduce Capital Inflows Change Inflow Composition Self-Insurance Risk Management,1st. Best World,Nth. Best World,Increasi
9、ngly Severe Intervention: Reduction in Benefits of Foreign Capital & Reduction in Risks,Source: Powell, On Liquidity Requirements, Capital Controls and Risk Management: Some Theoretical Considerations and Practice from the Argentine Banking Sector, 1999,26,Policy Options: Market Based Capital Contro
10、l for Short Term Inflows in Chile,Source: Schmidt-Hebbel & Hernandez, Capital Controls in Chile: Effective? Efficient? Endurable?, 1999,27,Chile and Malaysia: Two cases of Temporary Capital Controls for Short Term Inflows,Source: GDF 1999,28,Chile: Short term capital inflows have been declining: URR
11、 is effective,Source: GDF 1999,29,Malaysia: Short Term Capital Inflow declined temporarily,Source: GDF 1999,30,Pros and cons of Chiles URR,Pros Provide more room for the use of independent monetary policy led to a fall in short term inflows, reducing Chiles indebtedness changed the composition of capital inflows toward longer maturities, making Chile more resilient to shocks,Cons did not affect the real exchange rate led to an inefficient allocation of resources led to higher short term interest rates, reducing investment and LT growth provided incentive for tax evasion.,31,
