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1、Chapter Nineteen Types of Risks Incurred by Financial Institutions1Why FIs Need to Manage RiskMajor objective of FI management is to increase the FIs returns for its ownersRisks of financial intermediation have increased as the U.S. and overseas economies have become more integrated (i.e., weak econ
2、omic conditions in Asia and South America)FIs that have no foreign customers can still be exposed to foreign exchange and sovereign risk if their customers have dealings with foreign countries2Risks Faced by Financial IntermediariesCredit RiskLiquidity RiskInterest Rate RiskMarket RiskOff-Balance-Sh
3、eet RiskForeign Exchange RiskCountry or Sovereign RiskTechnology RiskOperational RiskInsolvency Risk3Credit RiskCredit risk - the risk that the promised cash flows from loans and securities held by FIs may not be paid in fullFirm-specific credit risk - the risk of default by the borrowing firm assoc
4、iated with the specific types of project risk taken by that firmSystematic credit risk - the risk of widespread defaults associated with general economy-wide or macroeconomic conditions affecting all borrowers (e.g., an economic recession)4房貸風暴房貸風暴 愈吹愈烈愈吹愈烈【經濟日報經濟日報 編譯編譯 林聰毅林聰毅】【】【2007/08/12 】 美國次級房
5、貸放款浮濫的後遺症在今夏陸續浮現，房貸違約率持續攀升，金融機構慘遭波及並引發信用危機，風暴從美國蔓延到歐洲，到上周法國巴黎銀行凍結三檔基金購回，事態終於嚴重到逼迫全球央行出手。 美國次級房貸風暴襲捲全球市場之前，交易員與投資人總以為衍生性金融商品的風險愈分散，安全性愈高，市場就愈穩定與健全。但在世界金融體系緊密依存的今日，當紕漏演變成危機，世界任何角落都可能受到波及，誰也不曉得下一個引爆點在哪裡。 自1980和1990年代的幾次金融危機以來，市場扮演日益吃重的角色。現在，銀行經常將核發的貸款包裹成為證券，再零星賣給世界各地的投資人，並多次易手。許多決策官員相信，這種分散風險的衍生性金融商品，可
6、維持整個金融體系的健全與穩定。 5房貸風暴房貸風暴 愈吹愈烈愈吹愈烈【經濟日報經濟日報 編譯編譯 林聰毅林聰毅】【】【2007/08/12 】 但次級房貸引發的信用市場緊縮實在太嚴重，產經學界推崇備至的分散風險金融架構，反而扮演推波助瀾的角色。當麻煩出現，世界各個角落幾乎無一倖免，而且常是突然爆發開來，令人措手不及。例如，美國房市崩跌觸發次級房貸風暴，導致信用緊縮危機，並透過在世界各地交易的擔保債權憑證（CDO）或住宅用不動產抵押證券（RMBS）等衍生性金融商品，使危機蔓延至全球。 過去幾周來，岌岌可危的美國房貸陸續出現在澳洲、德國、法國、新加坡、南韓、中國大陸，以及其他地區的避險基金、銀行和
7、投資機構的投資組合中。投資人還發現，次級房貸也被當成某些短期商業融資的擔保品，讓銀行與投資人在亟需時能快速取得資金。直到數周前，許多國家的央行官員還信心滿滿地拍胸脯說，次級房貸問題會受控制。哥倫比亞大學教授兼不動產專家梅爾說：風險分散的缺點在於當問題變得夠大，所有市場（無論基本面多好）都會遭到牽連。 6房貸風暴房貸風暴 愈吹愈烈愈吹愈烈【經濟日報經濟日報 編譯編譯 林聰毅林聰毅】【】【2007/08/12 】 日本野村控股公司上月表示，已減少上季在美國次級貸款的部位，由17.4億美元調降至5.89億美元。台灣人壽保險公司因投資貝爾斯登旗下一檔避險基金，上半年認列新台幣4.28億元虧損。新加坡華
8、僑銀行和大華銀行也投資CDO失利。 回顧1980與1990年代，當墨西哥、泰國或美國發生金融危機，問題經常侷限於本國銀行體系，但現在的銀行經常在撥放貸款後再加以銷售，把貸款變成CDO或RMBS等投資工具，再賣給全世界的投資人。在此過程中，投資人與放款銀行可能過於自信，疏於監督借款人繳清或善用這些貸款。 研究業者CreditSights公司債券分析師史崔克說：我們創造這些新工具，而未深思熟慮的投資人認為，這些產品與傳統安全資產同樣安全。 7房貸風暴房貸風暴 愈吹愈烈愈吹愈烈【經濟日報經濟日報 編譯編譯 林聰毅林聰毅】【】【2007/08/12 】 另一值得注意的問題是，這個將風險分散至全球各角落
9、的金融架構，也會傳播恐慌與危機。GRT資本夥伴公司總經理柯洛恰克說：當信用破產，人們就會惶惶不安。投資人開始從投資房貸的避險基金撤資。直接受害的是美國股市，GTR公司的研究顯示，過去三周來，財務基本面惡化公司的股價表現，遠優於基本面改善的公司，原因是避險基金出脫最佳投資部位。他解釋說：為何要買壞股票、賣好股票？因為情非得已。（取材自華爾街日報）8房貸風暴房貸風暴 愈吹愈烈愈吹愈烈【經濟日報經濟日報 編譯編譯 林聰毅林聰毅】【】【2007/08/12 】 9Liquidity RiskLiquidity risk - the risk that a sudden surge in liabili
10、ty withdrawals may require an FI to liquidate assets in a very short period of time and at low pricesLiquidity risk arises when an FIs liability holders demand immediate cash for their financial claimSerious liquidity problems may result in a “run” in which all liability claimholders seek to withdra
11、w their funds and can lead to a solvency problem10寶華風暴寶華風暴 土銀備土銀備100億金援億金援【聯合聯合晚報報 記者陳素玲記者陳素玲/台北報導台北報導】 【2007/08/11 】 金管會昨天宣布接管寶華銀行，面對下周一可能發生的擠兌人潮，金管會與負責經營的土銀都已做好沙盤推演，土銀更備妥100億元資金因應，如果不夠，中央存保公司還會隨時調度資金支援。金管會重申，寶華銀行是RTC(金融重建基金)接管，因此所有存款戶每一塊錢都受到保障。 金管會此時接管，有人擔心是否受到美國次級房貸波及，但金管會強調，台灣受美國次級房貸影響相當輕微，因此接管寶
12、華銀行與美國次級房貸風暴無關。 寶華銀行共有39家分行，其中台北縣市共16家占大宗，高雄市8家，台中縣市7家，其餘桃園縣3家、台南縣市2家，雲林縣、新竹市、彰化縣各1家。土銀表示，金管會是指派存保公司接管寶華銀行，土銀只是接受存保公司委託經營管理，下周一存保公司會派人到寶華39家分行駐點，土銀成立指揮調度中心，負責資金人員調度。 11星期五星期五 金管會接管銀行日金管會接管銀行日【聯合聯合晚報報 記者陳素玲記者陳素玲/台北報導台北報導】 【2007/08/11 】 周五下午4點的簡訊、5點開記者會、主委親自主持，似乎只要符合這三項原則，就是金管會又要接管銀行了，周五是金管會的接管銀行日。因為這
13、個時間股市已過，隔天又是周休二日，是降低衝擊的好時機。 金管會從去年12月15日起到昨天，先後接管五家銀行，從台東企銀、花蓮企銀、中華商銀、中聯信託到寶華銀行，巧合的是，宣布時機通通是星期五的下午，而且運作模式如出一轍，金管會接管銀行似乎變成按表操課。 金管會昨天下午準4點發出簡訊金管會下午5點召開記者會，由主委胡勝正主持，媒體第一個反應是必然又有銀行被接管了，果然一到金管會，主委難得親自主持記者會，這也是胡勝正上任以來，第二次親自主持記者會，第一次是宣布接管中聯信託，那時他才上任二個月。 12星期五星期五 金管會接管銀行日金管會接管銀行日【聯合聯合晚報報 記者陳素玲記者陳素玲/台北報導台北報
14、導】 【2007/08/11 】 為什麼選擇周五，最合理的解釋當然是一周最後一天上班日，下午5點又是即將下班時間，不會影響股市，隔天又是周休二日，可有二天緩衝期，民眾可以沈澱情緒，管理機關則有時間沙盤推演，迎接第一天上班日可能出現的擠兌潮。 金管會接管銀行已經成了例行公事，好處是，因應方式已經非常純熟，可將對金融市場衝擊降到最低，問題是，銀行一家接一家被接管，政府都得被迫收拾爛攤子，籌碼卻是民眾的納稅錢，對民眾來說，可真的是黑色的星期五。 13Interest Rate RiskInterest rate risk - the risk incurred by an FI when the m
15、aturities of its assets and liabilities are mismatchedFederal Reserve tries to have an influence on interest rate volatility through its daily open-market operationsIncreased globalization of financial market flows has made the measurement and management of interest rate risk a prominent concern14Ma
16、turity Mismatching and Interest Rate RiskAsset transformation involves an FI buying primary securities or assets and issuing secondary securities or liabilities to fund the assets, can often have differing maturitiesEconomic or present-value uncertainty arises when interest rates changeFIs can seek
17、to hedge by matching the maturity of their assets and liabilities15Market RiskMarket risk - the risk incurred in trading assets and liabilities due to changes in interest rates, exchange rates, and other asset pricesClosely related to interest rate and foreign exchange riskDecline in income from dep
18、osit taking and lending has been matched by increased reliance on income from tradingFI management required to establish controls or limits on day-to-day exposure to risk16Off-Balance-Sheet RiskOff-balance-sheet risk - risk incurred by an FI as the result of activities related to contingent assets a
19、nd liabilitiesLetter of credit - credit guarantee issued by an FI for a fee on which payment is contingent on some future even occurring, most notably default of the agentLoan commitments by banks, mortgage servicing contracts by thrifts, and positions in forwards, futures, swaps, options, etc., are
20、 structured to reduce an FIs exposure to credit, interest rate, or foreign exchange risk, but increase an FIs OBS risk17Foreign Exchange RiskForeign exchange risk - the risk that exchange rate changes can affect the value of an FIs assets and liabilities denominated in foreign currenciesReturns on d
21、omestic and foreign direct investments not perfectly correlatedunderlying technologies of various economies differexchange rate changes are not perfectly correlated across countries18Country or Sovereign RiskCountry or Sovereign Risk - the risk that repayments from foreign borrowers may be interrupt
22、ed because of interference from foreign governmentsWhen a foreign country is unwilling or unable to repay a loan, the FI has little recourseThe leverage available to ensure or increase repayment probabilities is control over the future supply of loans or funds to the country concerned19Technology an
23、d Operational RiskTechnology risk - the risk incurred by an FI when its technological investments do not produce anticipated cost savingsOperational risk - the risk that existing technology or support systems may malfunction or break downMajor objective of technological expansion is to increase econ
24、omies of scale and scope20Insolvency RiskInsolvency risk - the risk that an FI may not have enough capital to offset a sudden decline in the value of its assets relative to its liabilitiesA consequence or an outcome of one or more of these risks: interest rate, market, credit, OBS, technological, fo
25、reign exchange, sovereign, and liquidityOccurs when the capital or equity resources of an FIs owners are driven to, or near to, zeroThe lower an FIs leverage, the better able it is to withstand losses due to risk exposures21Interaction Among RisksThese risks are all interdependentVarious other risks
26、, often more discrete or event-type, impact an FIs profitability and risk exposuresudden changes in taxationchanges in regulatory policysudden and unexpected changes in financial market conditions due to war, revolution, or market collapsetheft, malfeasance, and breach of fiduciary trustincreased inflation, inflation volatility, and unemployment22
