金融机构管理负债和流动性管理存款保险.ppt

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1、负债和流动性管理liabilityandliquidityriskmanagement.流动资产的管理负债管理结构、收益与风险的权衡、成本法定存款准备金流动资产管理LiquidAssetManagement流动资产能够在本金价值没有损失或者损失较小的情况下，以低交易成本迅速转换成现金。Examples:T-bills,T-notes,T-bonds持有流动资产的好处Benefitsofholdinglargequantitiesofliquidassets持有流动资产的成本Costsofholdingliquidassets持有流动资产的相关监管条例

2、Regulatoryrequirementsforminimumlevelsofliquidassets流动资产管理LiquidAssetManagement持有最低流动资产的原因货币政策原因MonetarypolicyMultipliereffectofchangesinreserverequirements税收原因TaxationDuetoabsenceofinterestonreservesrequiringreservesconstitutestransferofaresourcetothecentralbank.流动资产组合的构成Compo

3、sitionofliquidassetportfolio流动资产比率LiquidassetsratioCashandgovernmentsecuritiesincountriessuchasU.K.SimilarcaseforU.S.lifeinsurancecompanies(regulatedatstatelevel)U.S.banks:cash-based,butbanksviewgovernmentsecuritiesassecondary,orbufferreserves.流动资产收益-风险的选择Return-RiskTrade-off流动

4、性与收益的权衡Cashimmediacyversusreducedreturn约束优化ConstrainedoptimizationPrivatelyoptimalreserveholdingsRegulatorimposedreserveholdings美国的现金准备要求U.S.CashReserveRequirements交易帐户的现金准备Incrementalreserverequirementsfortransactionaccounts:Lessthan$6million0.0%$6millionto$42.10million3.0%Ove

5、r$42.10million10.0%准备金管理的问题ReserveManagementProblem准备金的计算期：从周二开始到14天后的周一结束；在法定准备金的保持期内，银行保持的最低日平均准备金额是以银行在为期两周的计算期内日平均活期存款额的一定比例计算。周五的活期存款被计算三次Fridaydepositfigurescount3timesintheaveragefortheweek.从而导致周末游戏WeekendGame清理帐户Sweepaccounts滞后的准备金要求LaggedReserveRequirementABC银行净交易帐户和库存

6、现金余额准备金维持期内ABC银行每日的准备金头寸低于/高于准备金目标Undershooting/OvershootingAllowanceforuptoa4%errorinaveragedailyreserveswithoutpenalty.Surplusreservesrequiredfornext2-weekperiodUndershootingbymorethan4%penalizedbya2%markuponratechargedagainstshortfall.Frequentundershootinglikelytoattractscru

7、tinybyregulators低于准备金目标Undershooting存款机构在保证金维持期末的选择DIhastwooptionsneartheendofthemaintenanceperiod清理资产Liquidateassets借入储备Borrowreserves联邦基金fedfunds回购协议repurchaseagreements高于准备金目标OvershootingFirst4percentcanbecarriedforwardtonextperiodExcessreservestypicallylowduetoopportunityco

8、sts投资组合的作用Significantroleofinvestmentportfolioinmanagi