1、 外文翻译 原文 Asset Diversification, Firm Risk, and Risk-Based Capital Requirements in Banking Material Source:http:/ A ut hor : J . N E L L I E L I AN G a nd S T E P H EN A. R HO A D ES 1. Introduction A predicted benefit of mergers, particularly conglomerate mergers, is that diversification across diff
2、erent markets will reduce a firms risk. Diversification theory shows that the variability in returns of a portfolio of different assets may be lower than the variability in returns of a single asset if returns across the assets are not correlated perfectly. Whether this predicted effect materializes
3、, however, depends importantly on managements inclination to invest large amounts of capital in relatively high risk activities and its ability to manage larger, more diverse organizations. In this paper, we examine whether asset diversification by individual banks affects risk. Because of data avai
4、lability for a large number of banks, the relative homogeneity of these firms, and the local market nature of the industry, the banking industry allows for a strong empirical investigation of this issue. The results are of interest for two reasons. First, the effects of asset diversification on risk
5、 is relevant to a recently implemented policy - risk-based capital guidelines.These guidelines establish mandatory capital-to-assets ratios for banking firms and require greater amounts of capital to be held against assets judged to have higher risk.At least on the conceptual level, a good case can
6、be made that the risk-based capital requirements would be improved by accounting for asset diversification in addition to the risk associated with individual asset categories. This view is supported by the observation that many bank failures in recent years are apparently attributable to a relativel
7、y high concentration of holdings of certain kinds of assets,most notably loans to agriculture, petroleum, and most recently real estate. Secondly, actual diversification experiences by banking firms may be releva nt to diversification by industrial firms, even though banks probably can more easily s
8、hift financial assets among different categories than industrial firms can acquire and/or divest lines of business. For banks or industrial firms, an examination of actual diversification allows for the effects of managements ability to manage different products and managements risk preferences on f
9、irm performance. In addition, similar to acquisitions by industrial firms, banks diversify geographically through new offices and branches. Empirical results are reported for a sample of 4751 banking firms over the period 1979-86. The effects of diversification across broad asset categories, as well
10、 as diversification across loan categories and geographic markets, on risk are examined. Risk is measured by indicators of the probability of insolvency and depends on the level and variation in the return on assets and the capital-to-assets ratio. 2. Sample, Variables Banking firms can achieve dive
11、rsification in several ways depending upon the size and diversity of the markets in which they operate. The majority of banks operate in a single market. These banks can diversify their assets by, in addition to making loans (that are in all likelihood tied to the local market), investing in governm
12、ent securities, and participating in the Fed funds and other securities markets. Loans may also be diversified across different types,for example, commercial and industrial,real estate, and consumer installment, with markedly different maturities and principal amounts. In states that permit branchin
13、g, banking firms can also diversify geographically. We examine empirically the relationship between firm risk and firm diversification recognizing the various diversification strategies that the firm can pursue.Two different samples of banking firms are constructed to allow for the possibility that
14、a banks asset diversification may depend on the extent to which it expands geographically. Both samples include insured commercial banks that existed over the period 1979-86. The first sample includes only unit (single office) banking organizations, including one-bank holding companies, that operate
15、 in only one market. The second sample is more general and includes all the firms in the unit sample, plus those with multiple offices in a single market and those with offices in more than one market.Markets are defined as Metropolitan Statistical Areas (MSAs) and non-MSA counties based on their de
16、finition as of 1979. The unit bank, single office sample includes 2826 banking organizations and the more general sample includes 4751 banking organizations. Firm diversification is measured by several variables. Primarily, bank asset diversification(AD) is measured as the inverse of the sum of the
17、squares of the percentage of a banks assets in each of five asset categories, which encompass all of a banks assets. These categories are (a) securities and cash, (b) net loans, (c) fixed assets, (d) investments in unconsolidated subsidiaries, and (e) other assets including Fed funds, securities rep
18、urchased, securities held in trading accounts, and customers liabilities on bankers acceptances. In alternate specifications, loan diversification (LD) is also included in the risk equations. For a given degree of asset diversification across loans and other asset categories, bank risk may be affect
19、ed by the extent to which management diversifies among different types of loans with markedly different maturities and principal amounts. The loan diversification measure parallels the asset diversification measure and is measured by the inverse of the sum of squares of the percentage of a banks loa
20、ns in each of six exhaustive loan categories.To account for differences in the riskiness of the different loan categories, the various loan ratios are also included in equations that have the loan diversification variable. Geographic diversification (GD) and average number of offices per market(OFFM
21、) variables are also included as measures of diversification in the risk equations for the more general sample of unit, multi-office, and multi-market banks. The geographic diversification variable is measured as the inverse of the sum of the squares of the percentage of a banks deposits in each mar
22、ket in which it operates.” Offices include either branches or separate banks within a bank holding company. 3. Summary and Conclusions The federal bank regulators have recently issued risk-based capital guidelines based on the premise that banks holding more risky assets should hold more capital tha
23、n those banks with less risky assets. In this paper, we propose that the diversification of a banks assets is likely to affect insolvency risk and thus asset diversification might be a.useful addition to the guidelines. We conduct an empirical investigation of the relationship between bank insolvenc
24、y risk and asset diversification for 4751 banking organizations using data for 1979-86. The bank risk measures (indicators of the probability of bank insolvency) incorporate what are considered to be key elements of bank risk, that is, the level and standard deviation of profits, and capital. Bank r
25、isk equations are estimated for two bank insolvency risk measures, and for the individual components of the bank risk measures.The results for two samples of banks show that asset diversification among broad asset categories has the effect of reducing bank insolvency risk, holding constant the share
26、s of assets held in these various categories. When a loan diversification variable is included in the risk equation, it has no effect on bank risk. Finally, tests on the individual components of the risk measures suggest that opposing forces are at work. Asset diversification decreases the standard
27、deviation of profits and increases the level of profits, which reduces risk, but is associated with lower capital-to-assets, which increases risk. These results suggest that an asset diversification measure might be a useful complement to the assessment of risk of individual assets that is built int
28、o the recently promulgated risk-based capital guidelines. More generally, these results suggest that diversification by a firm into familiar activities can reduce risk. At least for traditional banking assets, it appears that the portfolio effect associated with diversifying into different asset cat
29、egories outweighs possible management diseconomies associated with difficulties in managing efficiently different types of assets. Further, geographic diversification by banking firms, which may be more similar to the acquisition of new firms by industrial firms, has a risk-reducing effect. 译文 银行业资产
30、多样化，企业风险，风险资本标准资本需求 资料来源 :http:/ 作者： 罗迪斯斯蒂芬 -浪和尼尔森 1 介绍 分散在不同的市场会减少公司的风险，特别是集团并购合并，有着可预测的好处。多样化的理论表明 ,如果与资产收益不完全相关的话，那么投资组合中不同的资产回报率变化可能会比单一资产投资回报率变化要小。这次预测是否体现效果，不管怎么说，都重要地取决于管理的趋势就是在相对高风 险的活动中去大量投资资本，那么它的管理能力就越强，组织就更多元化。 在本文中，我们研究个别银行 的 资产多样化 是否会 影响风险 。由于银行可用性数据的数量相对庞大， 这些公司 性质 ，以及当地市场的行业性质 ， 银行 业
31、考虑到 建立一个强有力的实证 去 调查这个问题。结果 是 对两个原因 很感 兴趣。首先，资产多样化 在风险方面的 影响 与 最近实施的政策 基于风险的资本 指导方针有关 。这些 指导方针 强制性 建立金融机构资本资产 比 ，并且 需要更大量的资金 使得它对有较高风险的 资产 产生影响 。至少在概念层次，一个很好的例子可以说 明 ， 基于风险资本的需求，会计师事 务所能够明显提高 资本资产多样化 ， 除了与 单一 资产类别风险 相关 的。 这个观点被观察所支持就是 近年来许多银行倒闭， 很 显然是由于 相对高浓度地 持有某些种类 的资产， .最 值得注意 的 是农业，石油，以及最近房地产 的贷款
32、 。 其次， 金融机构 实际多元化的经验可能是 与 工业企业的多元化 相关 ，尽管银行可能 比工业企业获得或者抛弃业务 更容易 在 不同类别 中改变 金融资产。对于银行或工业企业，一 个 实际多样化 的考核会考虑到在公司表现上有 能力 去经营管理不同产品和 企业绩效管理的风险偏好 的管理者 的影响。此外，类似于工业企业的收购 兼并 ， 银行 通过新的办事处 和分支机构 设置来达到地理区位上的分散 。 在 1979-86年时期，一个样本在 4751家金融机构的例子的实证结果被报导。资产类别以及贷款种类和区域市场的多样化在风险方面的影响被检测。风险被衡量的指标是破产的概率，风险衡量也取决于资产收益
33、率以及 资本对企业和对银行资产比率 的变化水平。 2 样品，变量 金融机构能够根据所处市场的规模和产品的多样性来实现在多个方面的多元化 。大部分银行 是 在一个单一的市场 里 运作。这些银行可以分散他们的资产，除了提供贷款（即在连接到本地市场的所有可能性）， 和 政府 有价 证券 投资 ， 以及参与联邦基金和 其他证券市场 。贷款也可 以有 不同的多样化 的类型， 举个例子，商业和工业，房地产以及消费者分期付款，它们都有迥然不同的到期日和主要数量。正式设立分支机构的许可证，金融机构也可以做到地理区域上的分散。 我们 以经验检测那些企业追求的风险和公司各种各样多元化策略认识之间的关系 。 两种
34、金融机构 不同的样品 被 建 立 允许，银行的资产多样化的程度可能取决于它 的 地域 扩大 。两个样本 均 包括 商业银行保险 ，超过 1979 年至 1986 年期间存在的商业银行 。第一个样本 单位仅包括（办公）银行业组织，包括只在单一市场的，由单一银行操作的控股公司。第二个样本比较一般，包括在样本中的所有企业单位，加上那些在一个单一市场有多个办事处的和在多个市场设立多个分公司和办事处的公司。根据他们 1979 年的定义，市场被定义为都市统计地区和非都市统计县。单位银行、办公样品包括 2826 家银行组织以及更广泛的样品包括 4751 银行组织。 公司的 多元化 是用 多个变量 衡量的 。
35、首先，银行资产多样化（ AD） 以五种银行资产类别中的每一种所测量出的所有银行资产总和的百分比来衡量 。这些类别包括：（ 1）证券和现金，（ 2）净贷款，（ 3）固定资产，（ 4） 对 附属公司的投资， (5)以及 其他资产 包括联邦基金，证券回购，证券交易账户持有的其他资产，对银行承兑汇票客户的责任。 在交替的规格，贷款多样化（ LD）也包括在风险方程中。对于资产在贷款和其他资产种类多样化给予的程度，银行风险可能会影响在不同类型的贷款和明显不同的到期日及主要数量这些方面的管理多样化。贷款多样化衡量与资产多元化衡量，他们都以每种 银行贷款在 6种 详尽的贷款类别 中的 相对应百分比的平方和 来
36、衡量确定。 要考虑在不同类别贷款中不同的风险所占比例，各种各样的贷款比例也包括在有多样 化变量的贷款方程中。 地理多样化（ GD）和每个市场办事处（ OFFM）变量平均数亦包括在风险多样化的更大的方程样本单位，多局，多市场银行中。 地理多样化 变量测量是以银行存款 在每一个市场 运作 相对应的方块总数中所占的百分比 来衡量的。办公室无论是分支机构或者是独立运作的银行机构都包括在一家银行控股公司。 3 总结和结论 联邦银行监管机构最近 根据那些 持有 较多风险 资产 的银行应该比那些持有较少风险资产的银行储存更多的资本这一前提下 发布风险的资本指南 。 在这篇文章中，我们指出银行资产的多样化很可
37、能会影响破产风险因此资产多样化除了 是指南很可能是 一种有用的方针。在研究银行破产的风险和资产多样化的关系中，我们在 1979-86年 使用 了 4751家 银行组织 的数据，做了一个实证研究。 银行风险度量（银行破产概率的指标）将被认为是银行风险的主要因素，即利润水平和标准差和资本 。 银行风险方程 对 两个银行破产 的风险度量模型和对个人组成的银行风险的措施 进行了估计 。 两种样本银行的结果表明， 在广泛的资产类别 中 资产多样化 对 减少银行破产 的 风险 ，不断持有各种不同种类资产的股票都是有效果的。当一个多元化的贷款变量包括在风险方程中，那么它在银行风险方面并无影响。最后，单 个元
38、件的风险措施测试表明 反对力量正在发挥作用 。资产多元化降低了利润的偏差标准，提高了利润水平，降低风险，但是另一方面与降低资本资产相关联，增加了风险。 这些结果表明，资产多样化的措施可能对个别资产的风险评估是一种有益的补充，即最近颁布的 以 风险为基础的资本准则。 更一般地 说 ，一个公司 参与熟悉的多样化 的投资 活动可以降低 投资 风险。至少 对于 传统银行 的 资产，现在看来 ，投资组合的效果与 兼营不同的资产类别 可能比规模管理相对不经济有关，与 有效管理不同类型的资产 是有 困难的 也有关。更深一层次的，金融机构的地理区域多元化，可能比类 似于工业企业获得新公司更具有降低风险的效果。
