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Financial institutions management : a modern perspective 3rd ed

Financial institutions management : a modern perspective 3rd ed (22회 대출)

자료유형
단행본
개인저자
Saunders, Anthony, 1949-
서명 / 저자사항
Financial institutions management : a modern perspective / Anthony Saunders.
판사항
3rd ed.
발행사항
Boston :   Irwin/McGraw-Hill,   c2000.  
형태사항
xx, 742 p. : ill., maps ; 26 cm.
ISBN
007303259X
서지주기
Includes bibliographical references and index.
일반주제명
Financial institutions -- United States -- Management. Risk management -- United States. Financial services industry -- United States -- Management.
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008 981217s2000 iluab b 001 0 eng
010 ▼a 98054993
020 ▼a 007303259X
040 ▼a DLC ▼c DLC ▼d 211009
042 ▼a pcc
049 1 ▼l 111192190
050 0 0 ▼a HG181 ▼b .S33 2000
082 0 0 ▼a 332.1/068 ▼2 21
090 ▼a 332.1068 ▼b S257f3
100 1 ▼a Saunders, Anthony, ▼d 1949-
245 1 0 ▼a Financial institutions management : ▼b a modern perspective / ▼c Anthony Saunders.
250 ▼a 3rd ed.
260 ▼a Boston : ▼b Irwin/McGraw-Hill, ▼c c2000.
300 ▼a xx, 742 p. : ▼b ill., maps ; ▼c 26 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Financial institutions ▼z United States ▼x Management.
650 0 ▼a Risk management ▼z United States.
650 0 ▼a Financial services industry ▼z United States ▼x Management.

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 332.1068 S257f3 등록번호 151081259 도서상태 대출가능 반납예정일 예약 서비스 C

컨텐츠정보

저자소개

Anthony Saunders(지은이)

<신용위험측정>

정보제공 : Aladin

목차


CONTENTS

PART Ⅰ. INTRODUCTION =1

 1. The Financial Services Industry: Depository Institutions = 2

  Commercial Banks = 4

   Size, Structure, and Composition of the Industry = 4

   Balance Sheet and Recent Trends = 6

   Regulation = 9

  Savings Institutions = 14

   Savings and Loans (S&Ls) = 14

   Savings Banks = 18

  Credit Unions = 19

   Size, Structure, and Composition of the Industry and Recent Trends = 19

   Regulation = 21

  Summary = 22

Appendix 1A. Financial Statement Analysis Using a Return on Equity (ROE) Framework = 26

Appendix 1B. Depository Institutions and Their Regulators = 27

 2. The Financial Services Industry: Insurance Companies = 28

  Life Insurance Companies = 28

   Size, Structure, and Composition of the Industry = 28

   Balance Sheet and Recent Trends = 33

   Regulation = 34

  Property-Casualty Insurance = 36

   Size, Structure, and Composition of the Industry = 36

   Balance Sheet and Recent Trends = 38

   Regulation = 45

  Summary = 47

 3. The Financial Services Industry: Securities Firms and Investment Banks = 49

  Size, Structure, and Composition of the Industry = 50

  Balance Sheet and Recent Trends = 55

  Regulation = 57

  Summary = 58

 4. The Financial Services Industry: Mutual Funds = 60

  Size, Structure, and Composition of the Industry = 61

   Historical Trends = 61

   Different Types of Mutual Funds = 62

   Mutual Fund Objectives = 64

   Investor Returns from Mutual Fund Ownership = 66

   Load versus No-Load Funds = 68

  Balance Sheet and Recent Trends = 70

   Money Market Funds = 70

   Long-Term Funds = 70

  Regulation = 72

  Summary = 72

 5. The Financial Services Industry: Finance Companies = 74

  Size, Structure, and Composition of the Industry = 74

  Balance Sheet and Recent Trends = 76

   Consumer Loans = 78

   Mortgages = 78

   Business Loans = 79

  Regulation = 82

  Summary = 83

 6. Why Are Financial Intermediaries Special? = 84

  Financial Intermediaries' Specialness = 85

   Information Costs = 87

   Liquidity and Price Risk = 88

   Other Special Services = 89

  Other Aspects of Specialness = 90

   The Transmission of Monetary Policy = 90

   Credit Allocation = 90

   Intergenerational Wealth Transfers or Time Intermediation = 91

   Payment Services = 91

   Denomination Intermediation = 91

  Specialness and Regulation = 92

   Safety and Soundness Regulation = 93

   Monetary Policy Regulation = 95

   Credit Allocation Regulation = 95

   Consumer Protection Regulation = 96

   Investor Protection Regulation = 96

   Entry Regulation = 96

  The Changing Dynamics of Specialness = 97

   Trends in the United States = 97

   Future Trends = 99

  Summary = 100

 7. Risks of Financial Intermediation = 103

  Interest Rate Risk = 104

  Market Risk = 106

  Credit Risk = 107

  Off-Balance-Sheet Risk = 108

  Technology and Operational Risk = 109

  Foreign Exchange Risk = 111

  Country or Sovereign Risk = 113

  Liquidity Risk = 114

  Insolvency Risk = 114

  Other Risks and the Interaction of Risks = 115

  Summary = 116

PART Ⅱ. MEASURING RISK = 119

 8. Interest Rate Risk Ⅰ = 120

  The Central Bank and Interest Rate Risk = 121

  The Repricing Model = 122

   Rate-Sensitive Assets = 124

   Rate-Sensitive Liabilities = 125

  Weaknesses of the Repricing Model = 127

   Market Value Effects = 127

   Overaggregation = 127

   The Problem of Runoffs = 128

  The Maturity Model = 129

   The Maturity Model: An Example = 130

   The Maturity Model with a Portfolio of Assets and Liabilities = 132

  Maturity Matching and Interest Rate Exposure = 136

  Summary = 139

Appendix 8A: Term Structure of Interest Rates = 143

 Liquidity Premium Theory = 144

 Market Segmentation Theory = 144

 9. Interest Rate Risk Ⅱ. 146

  Duration = 147

  A General Formula for Duration = 149

   The Duration of a Six-year Eurobond = 150

   The Duration of a Two-Year U.S. Treasury Bond = 150

   The Duration of a Zero-Coupon Bond = 151

   The Duration of a Consol Bond (Perpetuities) = 151

  Features of Duration = 152

   Duration and Maturity = 152

   Duaation and Yield = 152

   Duration and Coupon Interest = 152

  The Economic Meaning of Duration = 153

   The Six-Year Eurobond = 155

   The Consol Bond = 155

   Semiannual Coupon, Two-Year Maturity, Treasury Bonds = 156

  Duration and Immunization = 156

   Duration and Immunizing Future Payments = 156

   Immunizing the Whole Balance Sheet of an FI = 160

  Immunization and Regulatory Considerations = 164

  Summary = 165

Appendix 9A: Difficulties in Applying the Duration Model to Real-World FI Balance Sheets* = 169

 Duration Matching Can Be Costly* = 169

 Immunization Is a Dynamic Problem* = 169

 Large Interest Rate Changes and Convexity* = 169

 The Problem of the Flat Term Structure* = 175

 The Problem of Default Risk* = 176

 Floating-Rate Loans and Bonds* = 177

 Demand Deposits and Passbook Savings* = 179

 Mortgages and Mortgage-Backed Securities* = 179

 Futures, Options, Swaps, Caps, and Other Contingent Claims* = 179

 10. Market Risk = 180

  Market Risk Measurement = 182

  Calculating Market Risk Exposure = 183

  The RiskMetrics Model = 183

   The Market Risk of Fixed-Income Securities = 184

   Foreign Exchange = 186

   Equities = 187

   Portfolio Aggregation = 187

  Historic or Back Simulation Approach = 190

   The Historic (Back Simulation) Model versus RiskMetrics = 192

   The Monte Carlo Simulation Approach* = 193

  Regulatory Models: The BIS Standardized Framework = 194

   Fixed Income = 194

   Foreign Exchange = 196

   Equities = 196

  The BIS Regulations and large Bank Internal Models = 197

  Summary = 199

 11. Credit Risk: Individual Loan Risk = 202

  Credit Quality Problems = 203

  Types of Loans = 204

   Commercial and Industrial Loans = 204

   Real Estate Loans = 206

   Individual (Consumer) Loans = 208

   Other Loans = 208

  The Return on a Loan = 211

   The contractually Promised Return on a Loan = 211

   The Expected Return on a Loan = 213

  Retail versus Wholesale Credit Decisions = 214

   Retail = 214

   Wholesale = 214

  Measurement of Credit Risk = 216

  Default Risk Models = 217

   Qualitative Models = 217

   Credit Scoring Models = 221

  Newer Models of Credit Risk Measurement and Pricing = 225

   Term Structure Derivation of Credit Risk = 225

   Mortality Rate Derivation of Credit Risk = 230

   RAROC Models = 232

   Option Model of Default Risk* = 234

  Summary = 240

Appendix 11A*: CreditMetrics = 244

 Rating Migration = 244

 Valuation = 244

 Calculation of VAR = 245

 Capital Requirements = 246

Appendix 11B*: Credit Risk+ = 246

 The Frequency Distribution of Default Rates = 247

 12. Credit Risk: Loan Portfolio and Concentration Risk = 249

  Simple Models of Loan Concentration Risk = 249

  Loan Portfolio Diversification and Modern Portfolio Theory (MPT) = 251

   KMV Portfolio Manager Model = 253

   Partial Applicaions of Portfolio theory = 255

   Loan Loss Ratio-Based Models = 257

   Regulatory Models = 257

  Summary = 258

 13. Off-Balance-Sheet Activities = 260

  Off-Balance-Sheet Activities and FI Solvency = 261

  Returns and Risks of Off-Balance-Sheet Activities = 264

   Loan Commitments = 265

   Commercial Letters of Credit and Standby Letters of Credit = 270

   Derivative Contracts: Futures, Forwards, Swaps, and Options = 272

   Forward Purchases and Sales, of When Issued Securities = 273

   Loans Sold = 274

  Schedule L and Nonschedule L Off-Balance-Sheet Risks = 275

   Settlement Risk = 275

   Affiliate Risk = 276

  The Role of OBS Activities in Reducing Risk = 277

  Summary = 278

 14. Operational and Technology Risk = 281

  What Are the Sources of Operational Risk? = 282

  Technological Innovation and Profitability = 282

  The Impact of Technology by Wholesale and Retail Banking = 284

   Wholesale Banking Services = 284

   Retail Banking Services = 285

  The Effect of Technology on Revenues and Costs = 286

   Technology and Revenues = 287

   Technology and Costs = 289

  Testing for Economies of Scale and Economies of Scope = 294

   The Production Approach = 294

   The Intermediation Approach = 295

  Empirical Findings on Cost Economies of Scale and Scope and Implications for Technology Expenditures = 295

   Economies of Scale and Scope and X-Inefficiencies = 296

  Technology and the Evolution of the Payments System = 297

   Risks That Arise in a Wire Transfer Payment System = 302

  Summary = 309

 15. Foreign Exchange Risk = 311

  Sources of Foreign Exchange Risk Exposure = 311

   Foreign Exchange Rate Volatility and FX Exposure = 313

  Foreign Currency Trading = 314

   FX Trading Activities = 314

   The Profitability of Foreign Currency Trading = 315

  Foreign Asset and Liability Positions = 316

   The Return and Risk of Foreign Investments = 318

   Risk and Hedging = 319

   Multicurrency Foreign Asset-Liability Positions = 324

  Summary = 325

 16. Sovereign Risk = 328

  Credit Risk versus Sovereign Risk = 330

  Debt Repudiation versus Debt Rescheduling = 331

  Country Risk Evaluation = 333

   Outside Evaluation Models = 333

   Internal Evaluation Models = 333

   using Market Data to Measure Risk: The Secondary Market for LDC Debt = 343

  Summary = 348

Appendix 16A: Mechanisms for Dealing with Sovereign Risk Exposure = 351

 Debt-Equity Swaps = 351

 Multiyear Restructuring Agreements (MYRAs) = 353

 Loan Sales = 355

 Debt for Debt Swaps (Brady Bonds) = 356

 17. Liquidity Risk = 357

  Causes of Liquidity Risk = 358

  Liquidity Risk at Banks and Thrifts = 358

   Liability-Side Liquidity Risk = 358

   Asset-Side Liquidity Risk = 362

   Measuring a Bank's Liquidity Exposure = 362

   Liquidity Risk, Unexpected Deposit Drains, and Bank Runs = 366

   Bank Runs, the Discount Window, and Deposit Insurance = 370

  Liquidity Risk and Life Insurance Companies = 370

  Liquidity Risk and Property-Casualty Insurers = 371

  Mutual Funds = 372

  Summary = 374

PART Ⅲ. MANAGING RISK = 377

 18. Liability and Liquidity Management = 378

  Liquid Asset Management = 379

   Monetary Policy Reasons = 379

   Taxation Reasons = 379

  The Composition of the Liquid Asset Portfolio = 380

  Return-Risk Trade-Off for Liquid Assets = 381

   The Liquid Asset Reserve Management Problem for U.S. Banks = 381

  Liability Management = 389

   Funding Risk and Cost = 389

  Choice of Liability Structure = 390

   Demand Deposits = 390

   Interest-Bearing Checking Accounts = 391

   Passbook Savings = 393

   Money Market Deposit Accounts (MMDAs) = 393

   Retail Time Deposits and CDs = 394

   Wholesale CDs = 395

   Federal Funds = 396

   Repurchase Agreements (RPs) = 397

   Other Borrowings = 397

  Liquidity and Liability Structures for U.S. Banks = 398

  Liability and Liquidity Risk Management in Insurance Companies = 400

  Liability and Liquidity Risk Management in Other FIs = 401

  Summary = 402

 19. Deposit Insurance and Other Liability Guarantees = 405

  The History of Bank and Thrift Guaranty Funds = 406

   The FDIC = 406

   The FSLIC and Its Demise = 407

  The Causes of the Depository Fund Insolvencies = 409

   The Financial Environment = 409

   Moral Hazard = 409

  Panic Prevention versus Moral Hazard = 410

  Controlling Bank Risk Taking = 412

   Stockholder Discipline = 412

   Depositor Discipline = 418

   Regulatory Discipline = 428

  Non-U.S. Deposit Insurance Systems = 428

  The Discout Window = 429

   Deposit Insurance versus the Discount Window = 429

   The Discount Window = 429

   The Discount Window Does Not Substitute for Deposit Insurance = 430

  Other Guaranty Programs = 432

   PC and Life Insurance Companies = 432

   The Securities Investor Protection Corporation = 433

   The Pension Benefit Guaranty Corporation = 433

  Summary = 434

Appendix 19A: Deposit-insurance Schemes for Commercial Banks in the EU and G-10 Countries = 437

 20. Capital Adequacy = 442

  The Cost of Equity Capital as a Funding Source = 443

  Capital and Insolvency Risk = 444

   Capital = 444

   The Market Value of Capital = 445

   The Book Value of Capital = 447

   The Discrepancy between the Market and Book Values of Equity = 450

   Arguments against Market Value Accounting = 451

  Capital Adequacy in the Commercial Banking and Thrift Industry = 452

   Actual Capital Rules = 452

   The Capital -Assets Ratio (or Leverage Ratio) = 453

   Risk-Based Capital Ratios = 454

   Calculating Risk-Based Capital Ratios = 456

  Capital Requirements for Other FIs = 467

   Securities firms = 467

   Life Insurance = 467

   Property-Casualty Insurance = 469

  Summary = 471

 21. Product Diversification = 476

  Risks of Product Segmentation = 477

  Segmentation in the U.S. Financial Services Industry = 480

   Commercial and Investment Banking Activities = 480

   Banking and Insurance = 487

   Commercial Banking and Commerce = 489

   Nonbank Financial Service Firms and Commerce = 490

  Activity Restrictions in the United States versus Other countries = 492

  Issued Involved in the Expansion of Product Powers = 492

   Safety and Soundness Concerns = 494

   Economies of Scale and Scope = 500

   Conflicys of Interest = 500

   Deposit Insurance = 503

   Regulatory Oversight = 503

   Competition = 504

  Summary = 506

Appendix 21A: Permissible Banking Activities and Bank Ownership in the EU and G-10 Countries = 508

 22. Geographic Diversification: Domestic = 516

  Domestic Expansions = 517

  Regulatory Factors Impacting Geographic Expansion = 518

   Insurance Companies = 518

   Thrifts = 518

   Commercial Banks = 518

  Cost and Revenue Synergies Impacting Geographic Expansion = 523

   Cost Synergies = 524

   Revenue Synergies = 526

  Other Market-and Firm-Specific Facotrs Impacting Geographic Expansion Decisions = 530

  The Success of Geographic Expansions = 532

   Investor Reaction = 532

   Postmerger Performance = 534

  Summary = 535

 23. Geographic Diversification: International = 537

  Global and International Expansions = 537

   U.S. Banks Abroad = 539

   Foreign Banks in the United States = 545

   The International Banking Act of  1978 = 548

  Advantages and Disadvantages of International Expansion = 551

   Advantages = 551

   Disadvantages = 552

  Summary = 554

 24. Futures and Forwards = 555

  Forward and Futures Contracts = 556

   Spot Contracts = 556

   Forward Contracts = 558

   Futures Contracts = 558

  Forward Contracts and Hedging Interest Rate Risk = 559

  Hedging Interest Rate Risk with Futurres Contracs = 562

   Microhedging = 562

   Macrohedging = 562

   Routine Hedging versus Selective Hedging = 563

   Macrohedging with Futures = 563

   The Problem of Basis Risk = 570

  Hedging Foreign Exchange Risk = 571

   Forwards = 572

   Futurres = 572

   Estimating the Hedge Ratiio = 576

  Hedging Credit Risk with Futures and Forwards = 576

   Credit Forward Contracts and Credit Risk Hedging = 579

   Futures Contracts and Catastrophe Risk = 582

   Futures and forward Policies of Regulators = 583

  Summary = 583

 25.. Options, Caps, Floors, and Collars = 588

  Basic features of Options = 589

   Buying a Call Option on a Bond = 589

   Writing a Call Option on a Bond = 590

   Buying a Put Option on a Bond = 590

   Writing a Put Option on a Bond = 591

  Writing versus Buying Options = 592

   Economic Reasons for Not Writing Options = 592

   Regulatory Reasons = 593

  The Mechanics of Hedging a Bond or Bond Portfolio = 594

   Hedging with Bond Options Using the Binomial Model = 594

  Actual Bond Options = 598

  Using Options to Hedge the Interest Rrate Risk on the Balance Sheet* = 600

  Using Options to hedge Foreign Exchange Risk = 603

  Hedging Credit Risk with Options = 605

  Hedging Catastrophe Risk with Call Spread Options = 607

  Caps, Floors, and Collars = 608

   Caps = 608

   Floors = 612

   Collars = 613

  Caps, Floors, Collars, and Credit Risk = 616

  Summary = 616

 26. Swaps = 621

  Interest Rate Swaps = 623

   Realized Cash Flows on an Interest Rate Swap = 625

   Macrohedging with Swaps* = 628

  Pricing an Interest Rate Swap* = 630

   Pricing a Swap: An Example* = 630

  Currency Swaps = 637

   Fixed-Fixed Currency Swaps = 637

   Fixed-Floating Currency Swaps = 639

  Credit Swaps = 640

   Total Return Swaps = 640

   Pure Credit Swaps = 642

   Swaps and Credit Risk Concerns = 642

  Summary = 644

 27. Loan Sales and Other Credit Risk Management Techniques = 648

  Loan Sales = 649

  The Bank Loan Sales Market = 650

   Definition of a Loan Sale = 650

   Types of Loan Sales = 650

   Types of Loan Sales Contracts = 652

   The Buyers and the Sellers = 653

  Why Banks and Other FIs Sell Loans = 658

   Reserve Requirements = 658

   Fee Income = 658

   Capital Costs = 658

   Liquidity Risk = 658

   Glass-Steagall and Securities Law Interpretations = 659

  Factors Deterring Loan Sales Growth in the Future = 659

   Access to the Commercial Paper Market = 660

   Customer Relationship Effects = 660

   Legal concerns = 660

  Factors Encouraging Loan Sales Growth in the Future = 660

   BIS Capital Requirements = 660

   Market Values Accounting = 661

   Asset Brokerage and Loan Trading = 661

   Government Loan Sales = 661

   Credit Ratings = 661

   Purchase and Sale of Foreign Bank Loans = 661

  Summary = 662

 28. Securitization = 664

  The Pass-Through Security = 665

   GNMA = 665

   FNMA = 665

   FHLMC = 668

   The Incetives and Mechanics of Pass-Through Security Creation = 668

   Prepayment Risk on Pass-Through Securities = 673

   Prepayment Models = 680

  The Collateralized mortgage Obligation (CMO) = 688

   Creation of CMOs = 688

   The Value Additivity of CMOs = 689

   Class A, B, and C Bond Buyers = 691

   Other CMO Classes = 692

  The Mortgage-Backed Bond (MBB) = 693

  Innovations in Securitization = 695

   Mortgage Pass-Through Strips = 695

   Securitization of Other Assets = 698

  Can All Assets Be Securitized? = 699

  Summary = 700

Appendixes = 704

References = 712

Solutions = 722

Index = 729



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