资产负债管理(ppt)
Asset Liability Management 资产负债管理
A summary of common challenges, best practices, and a summary of the changing landscape of Asset/Liability Management
对挑战、最佳实践和日新月异的
资产负债管理的概述

Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题

Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Proactive Balance Sheet Management 主动式资产负债管理
A/LM is strategic forward planning
A/LM 是一项策略的前瞻计划管理

A/LM is a coordinated approach to the Management of:
A/LM是一种协调式管理：
Loans 贷款 - Deposits 存款
Investments 投资 - Borrowings 借款
Liquidity 流动性 - Long-term Debts 长期债务
Fixed Assets 固定资产 - Capital/Reserves 资本/现金储备

A/LM is a critical management process designed to achieve the bank’s desired objectives within prudent risk limits
A/LM是一种为银行在一定风险限度内达到所期望的目标所设计的管理模式
Proactive Balance Sheet Management 主动式资产负债管理
How is the bank’s balance sheet performing ? 资产负债管理表现如何？
“…. while our net interest income remains satisfactory, I anticipate that our margins will come under increasing pressure over the next two years…”
“我们的净利息收入令人满意，但我仍然期望我们的盈利在未来两年内不会有更大的压力”

How much risk is in the bank’s balance sheet ? 银行的资产负债表中的风险多大？
“…. 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%的话，总的68.7亿的信贷资产组合会损失5亿2千万（7.57%）”

What the bank’s income will be over the next 2 years ?
银行未来两年的收入将会怎样？
What effect a 2% rise/fall in interest rates will have on that income? 如果利率升降2%的话，银行的收入会是怎样的？

Which products are profitable at the bank? 哪种产品在银行里赢利？
Will those products continue to be profitable if the yield curve becomes steeper/flatter?
如果利率曲线变化，哪种产品仍会赢利？
Proactive Balance Sheet Management 主动式资产负债管理
Financial Objectives 金融目标
Short Term: Net Income 短期目标：净收入
Long Term: Market Value of Capital 长期目标：市值

Balance Sheet Objectives 资产负债表目标
Balance Sheet Growth Targets 资产负债表增长目标
Capital Growth and Dividends 资本增长和股息
Markets Served - Market Ignored 应服务的市场——应忽略的市场
Product Offerings and Pricing 产品品种推广和定价
Desired Image of the Bank 期望的银行形象

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

资产负债管理是一种综合平衡管理。
这种管理是在董事会批准的
风险度内达到银行营业
目标的平衡。
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
A/LM History 资产负债管理的历史
1970’s
Treasury management more than A/L management
更多的是资金管理，而不是资产负债管理
Treasury/Dealer Responsibility - No Centralised Risk Management
管理的主要责任在资金交易 - 没有集中的风险管理
Little or No Competition for Financial Institutions
金融机构之间的竞争很少或基本没有
Risk Management Process,=GAP & Stable Deposit Base
风险管理流程=缺口和稳定的存款基础
1980 - 90’s
Globalisation & Bank Centralisation/Focus of Risk Management
全球化和银行集权化/关注风险管理
Income Simulation, Economic Value of Equity, VaR/Total Return
收入模拟，权益的经济价值，VaR/总收入
Increasing Competition for Financial Institutions
金融机构之间的竞争更加激烈
CRM 客户关系管理
A/LM History 资产负债管理的历史
2000’s -
Total Competition in Financial Markets - Consolidations
金融市场的全面竞争 - 兼并与重组
A/LM Risk Focus on Behaviour Risk Analysis Not Client/Product Contractual Dates - Optionality Accounting
资产负债管理对风险的关注更集中在行为风险分析，而不是着重在客户产品/合同日期等 - 也就是会计选择性
Enterprise-wide Risk Mgmt - Both ALM (Forecasting) & Trading Models (Complex Instrument Cashflows)
全机构整体的风险管理- 资产负债管理（预测）和交易模型（复杂的金融工具现金流量）
Total Return FAS 133 Risk Accounting/Measurement
总收益 FAS133风险会计/计量
“Disintegration” of Traditional Financial Institution business models
传统金融机构“分权化”的业务模型
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Principles for Interest Rate Risk Management (1997)
Basel Capital Accord 2001 (Basel II) 巴塞尔资本协议 2001版（Basel II）
Will replace the 1988 Accord (Basel I) 将取代1988协议
Currently being reviewed: Earliest implementation by 2005
目前正对该文件进行审议，预计最早2005年实施
Plan is to keep average capital at same level; well managed banks will require less, worse managed banks more.
对资本金的计划与现行同，管理良好的银行资本金需求将减少，反之，则增多。
Affects mostly credit and operational risk units, but has some effects on Interest Rate Risk.
将主要对银行的信贷和操作风险部门产生影响，对利率风险也将产生一定的影响
Three pillar fundamentals of risk management:
下列为风险管理的三个支柱型要素
Basel II – Interest Rate Risk 巴塞尔协议ll - 利率风险
Accord has some impact on interest rate risk management:
协议对利率风险管理有一定冲击
Capital requirement for interest rate risk in trading book.
对交易帐的利率风险有资本金要求
Requires regulators to check stress scenarios: 要求监管部门进行压力检测
200Bps shocks in countries with stable currencies (e.g. G10 countries)
对拥有稳定货币的国家（G-10）要求200基点震动
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.
包括需要做风险计量的选择权：与持有期相关的选择权
May lead to faster integration of all risk management disciplines: Credit, Market, Operational, and Interest Rate.
可能会加快各种风险管理措施如信用、市场、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.
总体而言，新巴塞尔协议赋予地方银行监管机构更大的监管权利
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Gap Reports 缺口报告
Why talk about Gap Reports? 为何谈论缺口报告
Cons 缺陷 Pros 优点
Gap Reports 缺口报告
The difference between assets and liabilities that either mature or reset their interest rate within a pre-defined time band.
到期或在事先确定的时间段内重新设定利率的资产与负债的差别
Possible to see a net interest income and a net portfolio value effect on different Gap reports.
通过不同的缺口报告可以看到净利息收入和对净投资组合价值的影响
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. 在一特定时段内的所有位置都被同时设定为到期和再定价 - 敏感时段需要被明确
Differences in spread between interest rates, yield curve twists, and other non-linear movements not captured satisfactorily.
获取利差的差别、收益曲线扭曲、其他非线性运动的能力不令人满意
Changes in the timing of cash flows due to changes in interest rates are generally ignored – option value is not completely captured.
由于利率变化而造成的现金流量时间的变化一般都被忽略 - 没有全部获取选择权价值
Non-interest revenue and expense generally ignored.
非利息收入和费用通常被忽略
Gap – Summary 缺口 - 总结
Very comprehensive risk measure 综合的风险计量
Allows manager to measure Income and Value sensitivity.
可使经理计量收入和价值敏感度
Easy to understand 易于理解
Some important shortcomings 主要缺陷
Options 选择权
Time band selection 时段选择
Simplification 简单化
May become more important as regulatory agencies increase their reporting requirement.
由于监管部门增加的监管报告的要求，将会更加重要
Basel II gives specific guidelines as to what supervisors should require banks to deliver.
巴塞尔II对监管部门对银行的报告的要求有明确规定
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
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.
持有期是被用来计量所有资产和负债经济价值变化情况的
It is the weighted average time to repayment of all present-valued cash flows received from an instrument.
它是从一项金融工具获得的所有现值的现金流量的加权平均偿付时间
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，持有期可与缺口报告一起使用，或以其独自计算权益的持有期限
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.
持有期与交易帐的Delta不同，在交易帐中，它经常是体现在基于贴现率的对变化的敏感度，而不是在基本指数
Sample Duration Report 持有期报告的样板
Duration Calculation: Process 期限计算：流程
Pros and Cons of Duration持有期的优点和缺点
Advantages:
Long term view: Value of all cash flows until maturity.
长期角度看：直至满期的所有现金流量值
Aligned with shareholder interests. 与股东利益相一致
Current accounting moving towards more emphasis on market-value balance sheets (IAS 39, FASB 133)
往来帐趋向与将重点放在市值资产负债表（IAS39，FASB 133）

Disadvantages:
Analysis is static and cannot incorporate bank’s reactions to certain events.
分析是静态的，不能纳入银行对部分事件的反应
Treatment of options and non-maturity instruments almost as unclear as in Gap report.
对选择和非满期工具跟缺口报告一样不清晰
More data and compute intensive 数据和计算量大
Derivative measures effect small changes in rate, not the large changes required by BIS.
衍生品种的计量只能影响利率的小的变化，而不是如国际清算银行要求的大的变化
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Income Simulation 收入模拟
Take current positions and project balances into the future, using:
将当前的位置和项目余额作为未来，使用如下：
Future rate assumptions 未来利率假设
Contractual instrument characteristics 合同金融工具特征
Customer behavior assumptions 客户行为假设
Add new volumes to existing business to get a complete snapshot of the bank’s business in the future.
对现有的业务加量，从而得出银行未来业务的情形
Perform what-if analyses with different rate and business scenarios.
对不同利率和银行业务进行预测分析
This is one of the BIS’ preferred methodologies because of its ability to model Interest and non-interest income in a dynamic environment.
这是国际清算银行愿意采用的方法，因它可在动态环境中模拟利息和非利息收入

Income Simulation: Process 收入模拟 - 流程
Income Simulation: Sample Report 收入模拟：报告样板
International Interest Rates 国际利率
Interest Rate Shock Definition 利率震动定义
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.
在不同国家变动的利率环境中，利率变动选择（200基点）取决于这个国家和银行监管部门的判断

BIS suggestion: 国际清算银行的建议
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年中去除上下两个极端的利率变化的观察结果
Income Simulation 收入模拟
Benefits: 利益
Dynamic modeling of options and customer behavior.
动态选择和客户行为模型
Incorporation of the bank’s strategy into analysis. 将银行的策略纳入分析
Possibility of modeling correlation and contingencies between rates, balances, cash flows.
利率、余额和现金流量之间的关联与偶然性的模型的可能
Possibility of incorporating non-interest income: 纳入非利息收入的可能性
Origination Fees 启动费用
Prepayment Penalties 提前偿付罚金
Possibility on model and forecast Transfer Contributions and Costs.
转移贡献和成本的模型与预测的可能性
Convergence of planning/budgeting and Risk Management
规划/预算和风险管理的集成

Income Simulation (Con’t) 收入模拟（继续）
Drawbacks 弊端

Data Intensive 数据需求量大

Dependent upon assumptions about future economic and business scenarios
过于依赖假设 - 到目前为止最主观的计量方法


Monte Carlo Simulation 蒙特卡罗模拟
Instead of pre-defining most of the variables, analysts define average behaviors and variability (distributions)
分析家们以平均表现和变化情况（分布）取代大多数预先定义的变量
Monte Carlo Simulation
Every scenario is calculated several times, recording the effects of the stochastic variables on the entire balance sheet.根据整个资产负债表的随机的变量的影响，每个情景都要进行多次计算
Monte Carlo Simulation
After the individual runs have been completed, the results’ statistics are calculated and evaluated.当每一项单独的运算完成后，结果的统计数据就被计算出来并被加以评估


Monte Carlo Simulation 蒙特卡罗模拟
Benefits 优点
Only way to truly capture optionality on Balance Sheet
唯一的从资产负债表中获取选择的方式
Gives a different risk measure: Not only amount of loss but probability of loss event.
给出不同的风险计量：不仅是损失金额，而且包括可能损失的事件
EaR is an easy concept to explain: Maximum loss with certain confidence. EaR
是一个十分容易解释的理念：一定置信度的最大损失
Drawbacks 弊端
Uses even more assumptions 使用更多的假设
Can cause the erroneous impression of precision 可造成准确度的错误印象
Even more data and computationally intensive than regular simulation
与其他模拟相比，更多依赖数据和计算机的运算
Some behaviors, volatilities, and correlations are extremely hard to define or to observe in the real world.
有些行为、变化和相关性在实际运营中很难定义和观察
Summary of A/LM Methodologies 总结
A perfect risk measurement technique does not exist.
完美的风险计量技术是不存在的

One should not limit risk measurement to static analyses.我们不应将风险计量仅限于静态分析

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.
考虑到市场的力量和银行的反应，应该通过使用一系列不同的方法来获得一种平衡的认识
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Steps in the A/LM reporting process 资产负债报表的程序
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Regulatory Reporting 监管报告
Capital Adequacy Requirement (CAR) 资本充足率
Basle Committee Recommendations for the Management of Interest Rate Risk (IRR) 巴塞委员会对利率风险管理的建议
People’s Bank of China or other regulator–required reporting 人民银行和其他监管
当局要求的报表
Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Position Reporting 银行资产负债构成报告
Business Concentration 业务集中度
Performance Measures 运营业绩测量
Business Plan Forecast 业务计划预测
Pending Maturities 满期
Pricing Summaries 定价总结





Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Risk Analysis 风险分析
Earnings/Value At Risk 赢利/风险上的价值
Stress Testing 敏感度测试
Liquidity Gap 流动性缺口
Repricing Gap 重新定价缺口
Market Value/Duration 市值/持有期
Total Return Analysis 总回报分析
Earnings at Risk Exposure 基于风险的收益










Presentation Outline 纲要
A/LM Background 资产负债管理的定义
What is A/LM? 风险管理
History of A/LM 监管环境
Regulatory Environment 资产负债管理流程

A/LM Methodologies 资产负债管理的工具
Gap 缺口
Duration Analysis 持有期分析
Simulation 模拟

A/LM Reporting 报表
Regulatory Reporting 监管报表
Position Reporting 头寸报表
Risk Analysis 风险分析
Strategic Analysis 策略分析
Product Development 产品发展策略
Strategy Analysis 策略分析
What-if Testing
“如果怎么样”测试
Decision Matrix
决策距阵
Comparisons
比较


Strategies for Consideration 决策考虑要点
Asset/Liability Extensions 资产/负债延伸
Maturity/Sale of Assets 满期/财产转卖
Pricing Strategies 定价策略
Funding Strategies 资金策略
Investment Strategies 投资策略
Lending Strategies 借贷策略
Off Balance Sheet 资产负债表外项目
Interest Rate Swaps 利率互换
Options 选择权
Futures 期货
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题
Data Issues 数据
Data is a critical element of good A/LM 数据是好的资产负债管理的关键因素。
However, degree of data required depends upon depth and level of A/LM reporting required (HO vs. Branch, “granularity” of accounts, etc) 但是，对数据的要求程度取决于资产负债管理报表要求的水平（总行与分行之间、帐户细节等。
Usually, data is available for most important products for A/LM. 一般说来，用于资产负债管理的大多数重要产品的数据都是现成的。
A/LM is an iterative process, so refinements to data and modeling will come over time。 资产负债管理是一个逐步完善的过程，所以，数据和模型建立也是一个渐进的过程。
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题
Types of Embedded Options 嵌入式选择权的种类
Traditional Options 传统的选择权
Caps, Floors上限、下限
Call and Put Options 售出和购买选择权
Swaptions 交换

Other options prevalent on the banking book
与银行帐相关的其他选择权
Prepayment rights 提前偿付权
Draw-down rights 提款权
Roll-over, term, and product selection
延付、条件和产品期权
Managed Rates 管理利率
Behavior Modeling 行为模型
Common Approach: Behavior Modeling. 常用方法：行为模型
Try to select　a number of variables that explain the prepay- and draw down behavior of customers:
选择用以解释客户提前偿付和提款行为的一些变量
Financial Incentives: Competitive Rates, “Cost of Money”
财务方面的诱惑：有竞争性利率， 资金成本
Macro Variables: Economic Climate, Inflation 微观变量：经济气候、通货膨胀
Environmental Variables: Time of Year (Season) 环境变量：年度时间（季节）
Contextual Variables: Burnout, 结构变量：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.
设立“最合适”的公式以说明各种可以解释的变量的假设关系
Back-test hypothesis with real data. 使用实际数据的后评价前提
(Later section covers behavioral models)（以下的部分阐述行为模型）
Simulation and Valuation 模拟和评价
With behavior model, income simulation can be performed easily, in deterministic “what-if” scenarios as well as stochastic Monte Carlo Scenarios.
使用行为模型可以容易地实施收入模拟
For valuation of options, a multi-path approach is necessary.
有必要采用多路径方式对期权进行评价
Monte Carlo Valuation: 蒙特卡罗评价方法
Simpler to implement. 实施简易
More compute intensive (requires more paths)
需要更多的计算机计算（更多的路径）
Lattice / Tree Valuation: 格状/树型评价
Mathematically more complex 计算较为复杂
Potentially less compute intensive by reducing the number of possible solutions onto the nodes of a lattice.
如果减少在格状结构中的可能的方案数量，将可减少计算
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题
Instruments with indeterminate maturities 不确定满期的金融工具
Handling of: 用以处理：
Demand (Sight) Deposits 活期存款
Savings/Money Market 储蓄/资金市场
Cash Equivalents and Float 现金等价物和发行债券
Payables / Receivables 应付/应收
Most Instruments with Indeterminate Maturities
大多数不确定满期的金融工具
Modeling Non-Maturity Deposits 不满期存款模型
Four separate issues: 四个独立的因素
For Valuation: 关于评价
Managed Rates 管理利率
Indeterminate Maturities 不确定满期
For Income Simulation: 关于收入模拟
Future Volumes / Account Openings 未来规模/开户
Non-interest related costs/revenues非利息相关的成本/收入
Two Approaches: 两种方式
Portfolio Replication 投资组合复制
Behavioral Modeling 行为模型
Replication - Methodology 复制- 方法
Establish a set of fixed rate, fixed maturity tranches of different maturities.
建立一批不同满期的份额的固定利率和固定满期
Create monthly moving averages for each tranche
对每一个份额设立按月的平均移动
i.e. - a 12 month tranche gets divided into 12 tranches, one maturing in 1 month, the next in two months, etc.
以一个12个月的份额为例：将其分为12个份额
Replace tranches that run off with new tranche of same original maturity.
采用原有同样满期的份额替代已经完成的份额
Behavioral Modeling 行为模型
Create a function that describes the behavior of the account.
建立描述帐户行为的功能
Incorporate exogenous factors to explain rate/balance movements
Calculate balances with the same function in each scenario
在每个情景中采用同样功能计算余额
Only way to dynamically capture optionality
动态获取选择功能的唯一方式
Factors: Age (Seasoning)期限
Natural Turnover 自然周转
Demographic Shifts图象显示
Competition 竞争
etc 其他
Factors: Seasonality 因素：季节性
Seasonal Account Variability:季节性帐户变化
Pay day 支付日
Tax day 征税日
Holidays 假日
Tourist Season, etc.
旅游季节等
Factors: Coupon Rate / Spread 息票利率/利差
Competition: 竞争
Higher rate on competing product对竞争产品的更高利率
Higher rate at different bank 不同银行的更高利率
Liquidity Premium
Lower balances in high rate environments 在高利率环境中的较低的余额
Lower balances when liquidity has a high premium (steep yield curve)在流动性有较高的盈利（陡峭的收益曲线）情况下为较低的余额
Example 案例
OTS Behavioral Model: OTS行为模型：
Define relationship between deposit rates and market rates based on industry-wide statistical analysis (allow for bank-specific adjustments)
基于行业统计分析（银行可以做特定的调整）的对存款利率和市场利率之间关系的定义
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.
根据余额、债券和其他相关的成本（非利息）来对现金流量定义
Discount projected cash flows in different scenarios to calculate duration. 对运行的现金流量的不同情景贴现来计算持有期
Deposit Balance - 12 Month Horizon存款余额 - 12个月平行
Deposit Balance - 12 Month Horizon存款余额 - 12个月平行
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题
The ALM Process 资产负债管理流程
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题
FTP Fundamentals 资金转移定价要素
Basic FTP definition 资金转移定价的基础定义
Shadow accounting system 无形会计系统
Creates assumed “balanced balance sheet” for each account/product/unit
对每一帐户/产品/单元建立假定的“平衡的资产负债表”
Assigns cost to funds used and benefit to funds provided
将成本分配至被使用的资金，将利益分配至被提供的资金
For each asset 对每一项资产
Contribution = interest income - funding expense
贡献 = 利息收入 - 资金费用
For each liability 对每一项负债
Contribution = funding income - interest expense 、
贡献= 资金收入 - 利息费用
FTP Fundamentals 资金转移定价要素
Objectives of FTP 资金转移定价的目标
Isolate asset contribution from liability contribution
将资产贡献与负债贡献分离
Attribute net interest income based on what Business Unit, Product, Relationship managers can control
将净利息收入置于业务部门、产品和业务经理可以控制的位置
View cumulative funding risk in a central funding (mismatch) unit
从中央资金单元（不匹配单元）角度判断累计的资金风险
Uncover the components of net interest income (profit spread, cost of liquidity, basic rate risk elimination, options risks)
揭示净利息收入的各个细节（利润差幅、流动性成本、基础利率风险的规避、选择权风险
FTP Fundamentals 资金转移定价要素
No FTP没有资金转移定价









FTP Fundamentals FTP要素
FTP Flows 资金转移定价流程
FTP Fundamentals FTP要素
With FTP 实行资金转移定价









A funding charge for each asset; a funding credit for each liability
对每一项资产收取的资金费用；对每一项负债的资金信用









FTP Fundamentals FTP要素
With FTP 实行资金转移定价








A profit contribution is created for each account
对每一个帐户建立起利润贡献计算

FTP Fundamentals FTP要素
With FTP 实行资金转移定价









Shadow accounting entries are offset in Mismatch Unit - funding risk has been transferred
在不匹配单元中无形会计录入被冲消 - 资金风险已经转移
FTP Fundamentals FTP要素
With FTP 实行资金转移定价








NII remains the same - reallocated in fair manner
净利息收入仍然是同样的 - 公平方式的再分配
FTP Fundamentals FTP要素
Benefits of FTP 实行资金转移定价的益处
Improved decision making 改善决策
Intelligent product and relationship pricing
明智的产品和关联定价
Resource allocation 资源分配
Balance sheet management - A/LM 资产负债管理
Business strategy development 业务策略的制定
Incentive programs based on revenue, not volume
建立在收入基础上而不是规模基础上的激励机制
Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端
Summary and Questions 总结和问题
FTP Fundamentals FTP要素
Benefits of FTP 实行资金转移定价的益处
Comparable performance measurement
对绩效评测进行比较计量
Within dimensions 在尺度之内
Across historical periods 跨历史阶段
To plans/budgets with proforma FTP
在FTP形式进行规划和安排预算

And, of course… 当然…...


FTP Fundamentals FTP要素
Drawbacks of FTP 资金转移定价弊端
Hard to incorporate Options and derivatives
很难纳入期权和衍生品种
Organizationally/Politically complex to implement
从机构角度/政策角度实施较为复杂
If done incorrectly, may lead to the wrong pricing incentives.
如果实施偏差，易于误导并产生错误的定价
A different approach… 一种不同的方式...
Fundamentally, Funds Transfer Pricing (FTP) differs from other methodologies:
从根本而言，FTP有别于其他的方法
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银行当前的情况,并可在确定的时间段内重复展示。以此分析为基础制定的 策略是从当前的和未来的状况思维角度
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
资金转移定价可以向信贷业务人员收取使用资金的费用和为他们收取的资金提供信信用 - 这是对当前的状况和对过去状况回顾的思维角度。
FTP is anchored in operations and management accounting, while all other risk measures are closer to the trading/execution side of business.
FTP侧重于帐户的运营和管理，而其他风险计量则更侧重于交易/执行方面的业务

Presentation Outline (con’t) 纲要
A/LM Challenges 挑战
Data Issues 数据
Embedded Optionality 嵌入式选择权
Non-contractual maturity accounts 非合同满期帐户

A/LM Process 资产负债管理流程

Funds Transfer Pricing 资金转移定价
FTP Fundamentals 资金转移定价要素
FTP Reporting Examples FTP报表样本
FTP Benefits and Drawbacks FTP的优点和弊端

Summary and Questions 总结和问题
Summary 总结
Replication is a simple methodology to get an estimated value for Deposits
是预计存款值的简单方法
Many assumptions need to be defined and considered using any methodology 使用此方法需要对许多假设定义
Only stochastic valuations correctly incorporate deposits’ optionality
唯一的正确纳入存款选择功能的随机评价
Data is key to be able to validate and/or backtest any models
数据是检测模型或对模型进行后评价的关键

Basel II will require banks to get a much better grip on their non-maturity instrument modeling techniques
巴塞尔II 要求银行更好掌握不满期金融工具的模型的技术
Summary 总结
Regulation: 监管
Becoming more important since Basel II requires stricter oversight.
由于巴塞尔协议第二版对隔夜利率管理有更严格的要求，因此更为重要
Mild push towards risk integration. 推动向风险集成方向发展
Strong incentive to institutionalize sophisticated risk management solutions. 对形成跨机构的复杂风险管理解决方案起很强的推动作用
Risk Measurement: 风险计量
GAP – Useful, Indispensable, but Simplistic
缺口 - 有用、不可或缺，但是过于简单
Duration – Long term view, shareholder oriented, but somewhat theoretical
持有期 - 长期视角，为股东利益出发，但是有点过于理论化
Income Simulation: Complete, thorough, dynamic, but assumption-intensive
收入模拟 - 完整、彻底、动态，但是与期限相比，更依赖假设
FTP – great way of combining risk management, bank strategy and policies, and profitability measurement
FTP - 将风险管理、银行策略与政策以及盈利计量结合的极好方法
Summary, Cont. 总结
Optionality on Banks Balance Sheet 银行资产负债表的选择功能
Omnipresent
Potentially a large cost 潜在的较大成本
Not ignored by regulators anymore 不再被监管者忽略
Large impact on profitability, should have a large impact on pricing as well.
对盈利产生巨大冲击，也应同样对定价产生较大的冲击

The Bottom Line 资产负债管理是···
…is an art, not a science 一门艺术，而不是科学
…should focus on relative changes, not absolute numbers 集中于相对变化而不是绝对变化
…is a process designed to optimize balance sheet
structure for maximum profitability, while managing risk
在管理好风险的同时优化负债表的结构从而达到最大盈利
To keep financial returns derived from the
balance sheet positive and growing under all
probable economic and rate environments!
去保证运营的回报是从资产负债表正态而来，并且公司的增长
考虑了所有可能经济和利率环境
Questions and Answers 问题与回答
Thank you
谢谢

资产负债管理(ppt)