資產負債管理(ppt)
Asset Liability Management 資產負債管理
A summary of common challenges, best practices, and a summary of the changing landscape of Asset/Liability Management
對挑戰(zhàn)、最佳實踐和日新月異的
資產負債管理的概述

Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題

Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Proactive Balance Sheet Management 主動式資產負債管理
A/LM is strategic forward planning
A/LM 是一項策略的前瞻計劃管理

A/LM is a coordinated approach to the Management of:
A/LM是一種協(xié)調式管理：
Loans 貸款 - Deposits 存款
Investments 投資 - Borrowings 借款
Liquidity 流動性 - Long-term Debts 長期債務
Fixed Assets 固定資產 - Capital/Reserves 資本/現(xiàn)金儲備

A/LM is a critical management process designed to achieve the bank’s desired objectives within prudent risk limits
A/LM是一種為銀行在一定風險限度內達到所期望的目標所設計的管理模式
Proactive Balance Sheet Management 主動式資產負債管理
How is the bank’s balance sheet performing ? 資產負債管理表現(xiàn)如何？
“…. while our net interest income remains satisfactory, I anticipate that our margins will come under increasing pressure over the next two years…”
“我們的凈利息收入令人滿意，但我仍然期望我們的盈利在未來兩年內不會有更大的壓力”

How much risk is in the bank’s balance sheet ? 銀行的資產負債表中的風險多大？
“…. the total loan portfolio of 6.87 billion will decrease in value by 520 million (7.57%) if interest rates rise by 1%…”
“如果利率上升1%的話，總的68.7億的信貸資產組合會損失5億2千萬（7.57%）”

What the bank’s income will be over the next 2 years ?
銀行未來兩年的收入將會怎樣？
What effect a 2% rise/fall in interest rates will have on that income? 如果利率升降2%的話，銀行的收入會是怎樣的？

Which products are profitable at the bank? 哪種產品在銀行里贏利？
Will those products continue to be profitable if the yield curve becomes steeper/flatter?
如果利率曲線變化，哪種產品仍會贏利？
Proactive Balance Sheet Management 主動式資產負債管理
Financial Objectives 金融目標
Short Term: Net Income 短期目標：凈收入
Long Term: Market Value of Capital 長期目標：市值

Balance Sheet Objectives 資產負債表目標
Balance Sheet Growth Targets 資產負債表增長目標
Capital Growth and Dividends 資本增長和股息
Markets Served - Market Ignored 應服務的市場——應忽略的市場
Product Offerings and Pricing 產品品種推廣和定價
Desired Image of the Bank 期望的銀行形象

Asset/Liability Management
Becomes a Balancing Act of All Financial Risks Assumed to Achieve the
Bank’s Objectives within
Board-Approved Risk Limits

資產負債管理是一種綜合平衡管理。
這種管理是在董事會批準的
風險度內達到銀行營業(yè)
目標的平衡。
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
A/LM History 資產負債管理的歷史
1970’s
Treasury management more than A/L management
更多的是資金管理，而不是資產負債管理
Treasury/Dealer Responsibility - No Centralised Risk Management
管理的主要責任在資金交易 - 沒有集中的風險管理
Little or No Competition for Financial Institutions
金融機構之間的競爭很少或基本沒有
Risk Management Process,=GAP & Stable Deposit Base
風險管理流程=缺口和穩(wěn)定的存款基礎
1980 - 90’s
Globalisation & Bank Centralisation/Focus of Risk Management
全球化和銀行集權化/關注風險管理
Income Simulation, Economic Value of Equity, VaR/Total Return
收入模擬，權益的經濟價值，VaR/總收入
Increasing Competition for Financial Institutions
金融機構之間的競爭更加激烈
CRM 客戶關系管理
A/LM History 資產負債管理的歷史
2000’s -
Total Competition in Financial Markets - Consolidations
金融市場的全面競爭 - 兼并與重組
A/LM Risk Focus on Behaviour Risk Analysis Not Client/Product Contractual Dates - Optionality Accounting
資產負債管理對風險的關注更集中在行為風險分析，而不是著重在客戶產品/合同日期等 - 也就是會計選擇性
Enterprise-wide Risk Mgmt - Both ALM (Forecasting) & Trading Models (Complex Instrument Cashflows)
全機構整體的風險管理- 資產負債管理（預測）和交易模型（復雜的金融工具現(xiàn)金流量）
Total Return FAS 133 Risk Accounting/Measurement
總收益 FAS133風險會計/計量
“Disintegration” of Traditional Financial Institution business models
傳統(tǒng)金融機構“分權化”的業(yè)務模型
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Principles for Interest Rate Risk Management (1997)
Basel Capital Accord 2001 (Basel II) 巴塞爾資本協(xié)議 2001版（Basel II）
Will replace the 1988 Accord (Basel I) 將取代1988協(xié)議
Currently being reviewed: Earliest implementation by 2005
目前正對該文件進行審議，預計最早2005年實施
Plan is to keep average capital at same level; well managed banks will require less, worse managed banks more.
對資本金的計劃與現(xiàn)行同，管理良好的銀行資本金需求將減少，反之，則增多。
Affects mostly credit and operational risk units, but has some effects on Interest Rate Risk.
將主要對銀行的信貸和操作風險部門產生影響，對利率風險也將產生一定的影響
Three pillar fundamentals of risk management:
下列為風險管理的三個支柱型要素
Basel II – Interest Rate Risk 巴塞爾協(xié)議ll - 利率風險
Accord has some impact on interest rate risk management:
協(xié)議對利率風險管理有一定沖擊
Capital requirement for interest rate risk in trading book.
對交易帳的利率風險有資本金要求
Requires regulators to check stress scenarios: 要求監(jiān)管部門進行壓力檢測
200Bps shocks in countries with stable currencies (e.g. G10 countries)
對擁有穩(wěn)定貨幣的國家（G-10）要求200基點震動
Shocks equivalent to historical 1st and 99th Percentile, based on one year (240 days) of observations.
Inclusion of options in required risk measurements: Duration equivalent representation of options.
包括需要做風險計量的選擇權：與持有期相關的選擇權
May lead to faster integration of all risk management disciplines: Credit, Market, Operational, and Interest Rate.
可能會加快各種風險管理措施如信用、市場、操作和利率等的集成的步伐
On average, the new accord bestows more power and responsibility on local banking supervision.
總體而言，新巴塞爾協(xié)議賦予地方銀行監(jiān)管機構更大的監(jiān)管權利
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Gap Reports 缺口報告
Why talk about Gap Reports? 為何談論缺口報告
Cons 缺陷 Pros 優(yōu)點
Gap Reports 缺口報告
The difference between assets and liabilities that either mature or reset their interest rate within a pre-defined time band.
到期或在事先確定的時間段內重新設定利率的資產與負債的差別
Possible to see a net interest income and a net portfolio value effect on different Gap reports.
通過不同的缺口報告可以看到凈利息收入和對凈投資組合價值的影響
Gap – Shortcomings 缺口 - 缺陷
All positions within a given time band are assumed to mature or reprice simultaneously.  Sensible time bands need to be defined. 在一特定時段內的所有位置都被同時設定為到期和再定價 - 敏感時段需要被明確
Differences in spread between interest rates, yield curve twists, and other non-linear movements not captured satisfactorily.
獲取利差的差別、收益曲線扭曲、其他非線性運動的能力不令人滿意
Changes in the timing of cash flows due to changes in interest rates are generally ignored – option value is not completely captured.
由于利率變化而造成的現(xiàn)金流量時間的變化一般都被忽略 - 沒有全部獲取選擇權價值
Non-interest revenue and expense generally ignored.
非利息收入和費用通常被忽略
Gap – Summary 缺口 - 總結
Very comprehensive risk measure 綜合的風險計量
Allows manager to measure Income and Value sensitivity.
可使經理計量收入和價值敏感度
Easy to understand 易于理解
Some important shortcomings 主要缺陷
Options 選擇權
Time band selection 時段選擇
Simplification 簡單化
May become more important as regulatory agencies increase their reporting requirement.
由于監(jiān)管部門增加的監(jiān)管報告的要求，將會更加重要
Basel II gives specific guidelines as to what supervisors should require banks to deliver.
巴塞爾II對監(jiān)管部門對銀行的報告的要求有明確規(guī)定
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Duration Analysis 持有期分析
Duration is used as a measure of the variability of the economic value of all assets and liabilities.
持有期是被用來計量所有資產和負債經濟價值變化情況的
It is the weighted average time to repayment of all present-valued cash flows received from an instrument.
它是從一項金融工具獲得的所有現(xiàn)值的現(xiàn)金流量的加權平均償付時間
Duration can be used in conjunction with Gap reports as mentioned before, or by itself to calculate a duration of equity.
如前所述，持有期可與缺口報告一起使用，或以其獨自計算權益的持有期限
Duration is different from the trading-book delta in that it is always (almost) exclusively based on the sensitivity to changes in the discount rate, rather than changes in the underlying index.
持有期與交易帳的Delta不同，在交易帳中，它經常是體現(xiàn)在基于貼現(xiàn)率的對變化的敏感度，而不是在基本指數(shù)
Sample Duration Report 持有期報告的樣板
Duration Calculation: Process 期限計算：流程
Pros and Cons of Duration持有期的優(yōu)點和缺點
Advantages:
Long term view: Value of all cash flows until maturity.
長期角度看：直至滿期的所有現(xiàn)金流量值
Aligned with shareholder interests. 與股東利益相一致
Current accounting moving towards more emphasis on market-value balance sheets (IAS 39, FASB 133)
往來帳趨向與將重點放在市值資產負債表（IAS39，F(xiàn)ASB 133）

Disadvantages:
Analysis is static and cannot incorporate bank’s reactions to certain events.
分析是靜態(tài)的，不能納入銀行對部分事件的反應
Treatment of options and non-maturity instruments almost as unclear as in Gap report.
對選擇和非滿期工具跟缺口報告一樣不清晰
More data and compute intensive 數(shù)據(jù)和計算量大
Derivative measures effect small changes in rate, not the large changes required by BIS.
衍生品種的計量只能影響利率的小的變化，而不是如國際清算銀行要求的大的變化
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Income Simulation 收入模擬
Take current positions and project balances into the future, using:
將當前的位置和項目余額作為未來，使用如下：
Future rate assumptions 未來利率假設
Contractual instrument characteristics 合同金融工具特征
Customer behavior assumptions 客戶行為假設
Add new volumes to existing business to get a complete snapshot of the bank’s business in the future.
對現(xiàn)有的業(yè)務加量，從而得出銀行未來業(yè)務的情形
Perform what-if analyses with different rate and business scenarios.
對不同利率和銀行業(yè)務進行預測分析
This is one of the BIS’ preferred methodologies because of its ability to model Interest and non-interest income in a dynamic environment.
這是國際清算銀行愿意采用的方法，因它可在動態(tài)環(huán)境中模擬利息和非利息收入

Income Simulation: Process 收入模擬 - 流程
Income Simulation: Sample Report 收入模擬：報告樣板
International Interest Rates 國際利率
Interest Rate Shock Definition 利率震動定義
Given the variation in rate environments in different countries, the choice of rate change (e.g 200Bps) depends on the country and the banking supervisor’s discretion.
在不同國家變動的利率環(huán)境中，利率變動選擇（200基點）取決于這個國家和銀行監(jiān)管部門的判斷

BIS suggestion: 國際清算銀行的建議
Use a 1st and 99th percentile of observed interest rate changes using a 1 year holding period and 5 years’ worth of rate observations.
使用5年的在1年中去除上下兩個極端的利率變化的觀察結果
Income Simulation 收入模擬
Benefits: 利益
Dynamic modeling of options and customer behavior.
動態(tài)選擇和客戶行為模型
Incorporation of the bank’s strategy into analysis. 將銀行的策略納入分析
Possibility of modeling correlation and contingencies between rates, balances, cash flows.
利率、余額和現(xiàn)金流量之間的關聯(lián)與偶然性的模型的可能
Possibility of incorporating non-interest income: 納入非利息收入的可能性
Origination Fees 啟動費用
Prepayment Penalties 提前償付罰金
Possibility on model and forecast Transfer Contributions and Costs.
轉移貢獻和成本的模型與預測的可能性
Convergence of planning/budgeting and Risk Management
規(guī)劃/預算和風險管理的集成

Income Simulation (Con’t) 收入模擬（繼續(xù)）
Drawbacks 弊端

Data Intensive 數(shù)據(jù)需求量大

Dependent upon assumptions about future economic and business scenarios
過于依賴假設 - 到目前為止最主觀的計量方法


Monte Carlo Simulation 蒙特卡羅模擬
Instead of pre-defining most of the variables, analysts define average behaviors and variability (distributions)
分析家們以平均表現(xiàn)和變化情況（分布）取代大多數(shù)預先定義的變量
Monte Carlo Simulation
Every scenario is calculated several times, recording the effects of the stochastic variables on the entire balance sheet.根據(jù)整個資產負債表的隨機的變量的影響，每個情景都要進行多次計算
Monte Carlo Simulation
After the individual runs have been completed, the results’ statistics are calculated and evaluated.當每一項單獨的運算完成后，結果的統(tǒng)計數(shù)據(jù)就被計算出來并被加以評估


Monte Carlo Simulation 蒙特卡羅模擬
Benefits 優(yōu)點
Only way to truly capture optionality on Balance Sheet
唯一的從資產負債表中獲取選擇的方式
Gives a different risk measure: Not only amount of loss but probability of loss event.
給出不同的風險計量：不僅是損失金額，而且包括可能損失的事件
EaR is an easy concept to explain: Maximum loss with certain confidence. EaR
是一個十分容易解釋的理念：一定置信度的最大損失
Drawbacks 弊端
Uses even more assumptions 使用更多的假設
Can cause the erroneous impression of precision 可造成準確度的錯誤印象
Even more data and computationally intensive than regular simulation
與其他模擬相比，更多依賴數(shù)據(jù)和計算機的運算
Some behaviors, volatilities, and correlations are extremely hard to define or to observe in the real world.
有些行為、變化和相關性在實際運營中很難定義和觀察
Summary of A/LM Methodologies 總結
A perfect risk measurement technique does not exist.
完美的風險計量技術是不存在的

One should not limit risk measurement to static analyses.我們不應將風險計量僅限于靜態(tài)分析

A balanced view can be achieved by using a number of different methodologies, taking into account the market forces as well as the response of the bank.
考慮到市場的力量和銀行的反應，應該通過使用一系列不同的方法來獲得一種平衡的認識
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Steps in the A/LM reporting process 資產負債報表的程序
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Regulatory Reporting 監(jiān)管報告
Capital Adequacy Requirement (CAR) 資本充足率
Basle Committee Recommendations for the Management of Interest Rate Risk (IRR) 巴塞委員會對利率風險管理的建議
People’s Bank of China or other regulator–required reporting 人民銀行和其他監(jiān)管
當局要求的報表
Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Position Reporting 銀行資產負債構成報告
Business Concentration 業(yè)務集中度
Performance Measures 運營業(yè)績測量
Business Plan Forecast 業(yè)務計劃預測
Pending Maturities 滿期
Pricing Summaries 定價總結





Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Risk Analysis 風險分析
Earnings/Value At Risk 贏利/風險上的價值
Stress Testing 敏感度測試
Liquidity Gap 流動性缺口
Repricing Gap 重新定價缺口
Market Value/Duration 市值/持有期
Total Return Analysis 總回報分析
Earnings at Risk Exposure 基于風險的收益










Presentation Outline 綱要
A/LM Background 資產負債管理的定義
What is A/LM? 風險管理
History of A/LM 監(jiān)管環(huán)境
Regulatory Environment 資產負債管理流程

A/LM Methodologies 資產負債管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模擬

A/LM Reporting 報表
Regulatory Reporting 監(jiān)管報表
Position Reporting 頭寸報表
Risk Analysis 風險分析
Strategic Analysis 策略分析
Product Development 產品發(fā)展策略
Strategy Analysis 策略分析
What-if Testing
“如果怎么樣”測試
Decision Matrix
決策距陣
Comparisons
比較


Strategies for Consideration 決策考慮要點
Asset/Liability Extensions 資產/負債延伸
Maturity/Sale of Assets 滿期/財產轉賣
Pricing Strategies 定價策略
Funding Strategies 資金策略
Investment Strategies 投資策略
Lending Strategies 借貸策略
Off Balance Sheet 資產負債表外項目
Interest Rate Swaps 利率互換
Options 選擇權
Futures 期貨
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題
Data Issues 數(shù)據(jù)
Data is a critical element of good A/LM 數(shù)據(jù)是好的資產負債管理的關鍵因素。
However, degree of data required depends upon depth and level of A/LM reporting required (HO vs. Branch, “granularity” of accounts, etc) 但是，對數(shù)據(jù)的要求程度取決于資產負債管理報表要求的水平（總行與分行之間、帳戶細節(jié)等。
Usually, data is available for most important products for A/LM. 一般說來，用于資產負債管理的大多數(shù)重要產品的數(shù)據(jù)都是現(xiàn)成的。
A/LM is an iterative process, so refinements to data and modeling will come over time。 資產負債管理是一個逐步完善的過程，所以，數(shù)據(jù)和模型建立也是一個漸進的過程。
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題
Types of Embedded Options 嵌入式選擇權的種類
Traditional Options 傳統(tǒng)的選擇權
Caps, Floors上限、下限
Call and Put Options 售出和購買選擇權
Swaptions 交換

Other options prevalent on the banking book
與銀行帳相關的其他選擇權
Prepayment rights 提前償付權
Draw-down rights 提款權
Roll-over, term, and product selection
延付、條件和產品期權
Managed Rates 管理利率
Behavior Modeling 行為模型
Common Approach: Behavior Modeling. 常用方法：行為模型
Try to select　a number of variables that explain the prepay- and draw down behavior of customers:
選擇用以解釋客戶提前償付和提款行為的一些變量
Financial Incentives: Competitive Rates, “Cost of Money”
財務方面的誘惑：有競爭性利率， 資金成本
Macro Variables: Economic Climate, Inflation 微觀變量：經濟氣候、通貨膨脹
Environmental Variables: Time of Year (Season) 環(huán)境變量：年度時間（季節(jié)）
Contextual Variables: Burnout, 結構變量：Burnout
Psychographic / Behavioral Variables: Based on customer characteristics: (Net Income, Profession, Civil Status, etc)
Create a “best fit” formula to describe the assumed relationship between explanatory variables.
設立“最合適”的公式以說明各種可以解釋的變量的假設關系
Back-test hypothesis with real data. 使用實際數(shù)據(jù)的后評價前提
(Later section covers behavioral models)（以下的部分闡述行為模型）
Simulation and Valuation 模擬和評價
With behavior model, income simulation can be performed easily, in deterministic “what-if” scenarios as well as stochastic Monte Carlo Scenarios.
使用行為模型可以容易地實施收入模擬
For valuation of options, a multi-path approach is necessary.
有必要采用多路徑方式對期權進行評價
Monte Carlo Valuation: 蒙特卡羅評價方法
Simpler to implement. 實施簡易
More compute intensive (requires more paths)
需要更多的計算機計算（更多的路徑）
Lattice / Tree Valuation: 格狀/樹型評價
Mathematically more complex 計算較為復雜
Potentially less compute intensive by reducing the number of possible solutions onto the nodes of a lattice.
如果減少在格狀結構中的可能的方案數(shù)量，將可減少計算
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題
Instruments with indeterminate maturities 不確定滿期的金融工具
Handling of: 用以處理：
Demand (Sight) Deposits 活期存款
Savings/Money Market 儲蓄/資金市場
Cash Equivalents and Float 現(xiàn)金等價物和發(fā)行債券
Payables / Receivables 應付/應收
Most Instruments with Indeterminate Maturities
大多數(shù)不確定滿期的金融工具
Modeling Non-Maturity Deposits 不滿期存款模型
Four separate issues: 四個獨立的因素
For Valuation: 關于評價
Managed Rates 管理利率
Indeterminate Maturities 不確定滿期
For Income Simulation: 關于收入模擬
Future Volumes / Account Openings 未來規(guī)模/開戶
Non-interest related costs/revenues非利息相關的成本/收入
Two Approaches: 兩種方式
Portfolio Replication 投資組合復制
Behavioral Modeling 行為模型
Replication - Methodology 復制- 方法
Establish a set of fixed rate, fixed maturity tranches of different maturities.
建立一批不同滿期的份額的固定利率和固定滿期
Create monthly moving averages for each tranche
對每一個份額設立按月的平均移動
i.e. - a 12 month tranche gets divided into 12 tranches, one maturing in 1 month, the next in two months, etc.
以一個12個月的份額為例：將其分為12個份額
Replace tranches that run off with new tranche of same original maturity.
采用原有同樣滿期的份額替代已經完成的份額
Behavioral Modeling 行為模型
Create a function that describes the behavior of the account.
建立描述帳戶行為的功能
Incorporate exogenous factors to explain rate/balance movements
Calculate balances with the same function in each scenario
在每個情景中采用同樣功能計算余額
Only way to dynamically capture optionality
動態(tài)獲取選擇功能的唯一方式
Factors: Age (Seasoning)期限
Natural Turnover 自然周轉
Demographic Shifts圖象顯示
Competition 競爭
etc 其他
Factors: Seasonality 因素：季節(jié)性
Seasonal Account Variability:季節(jié)性帳戶變化
Pay day 支付日
Tax day 征稅日
Holidays 假日
Tourist Season, etc.
旅游季節(jié)等
Factors: Coupon Rate / Spread 息票利率/利差
Competition: 競爭
Higher rate on competing product對競爭產品的更高利率
Higher rate at different bank 不同銀行的更高利率
Liquidity Premium
Lower balances in high rate environments 在高利率環(huán)境中的較低的余額
Lower balances when liquidity has a high premium (steep yield curve)在流動性有較高的盈利（陡峭的收益曲線）情況下為較低的余額
Example 案例
OTS Behavioral Model: OTS行為模型：
Define relationship between deposit rates and market rates based on industry-wide statistical analysis (allow for bank-specific adjustments)
基于行業(yè)統(tǒng)計分析（銀行可以做特定的調整）的對存款利率和市場利率之間關系的定義
Define the balance as a function of age, coupon, and market rates.
Define cash flows based on balance, coupon, and other associated (non-interest) costs.
根據(jù)余額、債券和其他相關的成本（非利息）來對現(xiàn)金流量定義
Discount projected cash flows in different scenarios to calculate duration. 對運行的現(xiàn)金流量的不同情景貼現(xiàn)來計算持有期
Deposit Balance - 12 Month Horizon存款余額 - 12個月平行
Deposit Balance - 12 Month Horizon存款余額 - 12個月平行
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題
The ALM Process 資產負債管理流程
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題
FTP Fundamentals 資金轉移定價要素
Basic FTP definition 資金轉移定價的基礎定義
Shadow accounting system 無形會計系統(tǒng)
Creates assumed “balanced balance sheet” for each account/product/unit
對每一帳戶/產品/單元建立假定的“平衡的資產負債表”
Assigns cost to funds used and benefit to funds provided
將成本分配至被使用的資金，將利益分配至被提供的資金
For each asset 對每一項資產
Contribution = interest income - funding expense
貢獻 = 利息收入 - 資金費用
For each liability 對每一項負債
Contribution = funding income - interest expense 、
貢獻= 資金收入 - 利息費用
FTP Fundamentals 資金轉移定價要素
Objectives of FTP 資金轉移定價的目標
Isolate asset contribution from liability contribution
將資產貢獻與負債貢獻分離
Attribute net interest income based on what Business Unit, Product, Relationship managers can control
將凈利息收入置于業(yè)務部門、產品和業(yè)務經理可以控制的位置
View cumulative funding risk in a central funding (mismatch) unit
從中央資金單元（不匹配單元）角度判斷累計的資金風險
Uncover the components of net interest income (profit spread, cost of liquidity, basic rate risk elimination, options risks)
揭示凈利息收入的各個細節(jié)（利潤差幅、流動性成本、基礎利率風險的規(guī)避、選擇權風險
FTP Fundamentals 資金轉移定價要素
No FTP沒有資金轉移定價









FTP Fundamentals FTP要素
FTP Flows 資金轉移定價流程
FTP Fundamentals FTP要素
With FTP 實行資金轉移定價









A funding charge for each asset; a funding credit for each liability
對每一項資產收取的資金費用；對每一項負債的資金信用









FTP Fundamentals FTP要素
With FTP 實行資金轉移定價








A profit contribution is created for each account
對每一個帳戶建立起利潤貢獻計算

FTP Fundamentals FTP要素
With FTP 實行資金轉移定價









Shadow accounting entries are offset in Mismatch Unit - funding risk has been transferred
在不匹配單元中無形會計錄入被沖消 - 資金風險已經轉移
FTP Fundamentals FTP要素
With FTP 實行資金轉移定價








NII remains the same - reallocated in fair manner
凈利息收入仍然是同樣的 - 公平方式的再分配
FTP Fundamentals FTP要素
Benefits of FTP 實行資金轉移定價的益處
Improved decision making 改善決策
Intelligent product and relationship pricing
明智的產品和關聯(lián)定價
Resource allocation 資源分配
Balance sheet management - A/LM 資產負債管理
Business strategy development 業(yè)務策略的制定
Incentive programs based on revenue, not volume
建立在收入基礎上而不是規(guī)?；A上的激勵機制
Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端
Summary and Questions 總結和問題
FTP Fundamentals FTP要素
Benefits of FTP 實行資金轉移定價的益處
Comparable performance measurement
對績效評測進行比較計量
Within dimensions 在尺度之內
Across historical periods 跨歷史階段
To plans/budgets with proforma FTP
在FTP形式進行規(guī)劃和安排預算

And, of course… 當然…...


FTP Fundamentals FTP要素
Drawbacks of FTP 資金轉移定價弊端
Hard to incorporate Options and derivatives
很難納入期權和衍生品種
Organizationally/Politically complex to implement
從機構角度/政策角度實施較為復雜
If done incorrectly, may lead to the wrong pricing incentives.
如果實施偏差，易于誤導并產生錯誤的定價
A different approach… 一種不同的方式...
Fundamentally, Funds Transfer Pricing (FTP) differs from other methodologies:
從根本而言，F(xiàn)TP有別于其他的方法
All other methodologies take a snapshot of current position, which can be repeated in pre-determined time intervals. Execution of any strategies follows this analysis.  Current and Forward-looking
所有其他方法展示的是銀行當前的情況,并可在確定的時間段內重復展示。以此分析為基礎制定的 策略是從當前的和未來的狀況思維角度
Funds Transfer Pricing has a direct, real-time effect on execution by charging loan officers for their use of funds and issuing a credit for collected funds.  Current and backward-looking
資金轉移定價可以向信貸業(yè)務人員收取使用資金的費用和為他們收取的資金提供信信用 - 這是對當前的狀況和對過去狀況回顧的思維角度。
FTP is anchored in operations and management accounting, while all other risk measures are closer to the trading/execution side of business.
FTP側重于帳戶的運營和管理，而其他風險計量則更側重于交易/執(zhí)行方面的業(yè)務

Presentation Outline (con’t) 綱要
A/LM Challenges 挑戰(zhàn)
Data Issues 數(shù)據(jù)
Embedded Optionality 嵌入式選擇權
Non-contractual maturity accounts 非合同滿期帳戶

A/LM Process 資產負債管理流程

Funds Transfer Pricing 資金轉移定價
FTP Fundamentals 資金轉移定價要素
FTP Reporting Examples FTP報表樣本
FTP Benefits and Drawbacks FTP的優(yōu)點和弊端

Summary and Questions 總結和問題
Summary 總結
Replication is a simple methodology to get an estimated value for Deposits
是預計存款值的簡單方法
Many assumptions need to be defined and considered using any methodology 使用此方法需要對許多假設定義
Only stochastic valuations correctly incorporate deposits’ optionality
唯一的正確納入存款選擇功能的隨機評價
Data is key to be able to validate and/or backtest any models
數(shù)據(jù)是檢測模型或對模型進行后評價的關鍵

Basel II will require banks to get a much better grip on their non-maturity instrument modeling techniques
巴塞爾II 要求銀行更好掌握不滿期金融工具的模型的技術
Summary 總結
Regulation: 監(jiān)管
Becoming more important since Basel II requires stricter oversight.
由于巴塞爾協(xié)議第二版對隔夜利率管理有更嚴格的要求，因此更為重要
Mild push towards risk integration. 推動向風險集成方向發(fā)展
Strong incentive to institutionalize sophisticated risk management solutions. 對形成跨機構的復雜風險管理解決方案起很強的推動作用
Risk Measurement: 風險計量
GAP – Useful, Indispensable, but Simplistic
缺口 - 有用、不可或缺，但是過于簡單
Duration – Long term view, shareholder oriented, but somewhat theoretical
持有期 - 長期視角，為股東利益出發(fā)，但是有點過于理論化
Income Simulation: Complete, thorough, dynamic, but assumption-intensive
收入模擬 - 完整、徹底、動態(tài)，但是與期限相比，更依賴假設
FTP – great way of combining risk management, bank strategy and policies, and profitability measurement
FTP - 將風險管理、銀行策略與政策以及盈利計量結合的極好方法
Summary, Cont. 總結
Optionality on Banks Balance Sheet 銀行資產負債表的選擇功能
Omnipresent
Potentially a large cost 潛在的較大成本
Not ignored by regulators anymore 不再被監(jiān)管者忽略
Large impact on profitability, should have a large impact on pricing as well.
對盈利產生巨大沖擊，也應同樣對定價產生較大的沖擊

The Bottom Line 資產負債管理是···
…is an art, not a science 一門藝術，而不是科學
…should focus on relative changes, not absolute numbers 集中于相對變化而不是絕對變化
…is a process designed to optimize balance sheet
structure for maximum profitability, while managing risk
在管理好風險的同時優(yōu)化負債表的結構從而達到最大盈利
To keep financial returns derived from the
balance sheet positive and growing under all
probable economic and rate environments!
去保證運營的回報是從資產負債表正態(tài)而來，并且公司的增長
考慮了所有可能經濟和利率環(huán)境
Questions and Answers 問題與回答
Thank you
謝謝

資產負債管理(ppt)