1、 外文翻译 原文 A NORMATIVE APPROACH TO BANKCAPITAL ADEQUACY Material Source: http:/ Author: Eli Talmor I. Introduction Virtually all commercial banks in the United States are supervised by one of the three Federal bank regulatory agencies. Although these agencies share the objective of identifying banks w
2、ith financial difficulties that may lead to their failure under adverse conditions, they have never reached an agreement as to a uniform approach to capital adequacy. Under these circumstances and because of its critical value to bank regulation, the issue of capital adequacy has been extensively in
3、vestigated by both practitioners and academicians. Those efforts have tended in recent years to concentrate on characterizing problem banks by using multivariate discriminate analysis. Typical examples are studies by Dince and Fortson 10, Sinkey 25, 26,and Sinkey and walker 27,which use this method
4、to identify the most indicative financial ratios for bank soundness and compare the ability of different formulas to predict bank failure. The early warning models that are based on financial ratios are not monolithic in their approach; however, they all share a lack of theoretical justification. It
5、 is mainly the absence of such a foundation that motivated researchers to assert that the use of ratio constructs is unreliable for detecting potential bank failure. Most explicitly, it was stated by Lev that: “There is no well-defined theory of corporate failure to direct the design and performance
6、 of empirical studies. Lacking such a theory, researchers adopt a trial-and-error process of experimenting with a large number of measures, various kinds of models, and different statistical techniques. As expected, results on such unguided research efforts are often inconsistent, and almost impossi
7、ble generalize” The model developed in this paper avoids the reliance on arbitrary cut-off ratios. Rather, the model employs finance theory and formal probabilistic considerations in order to provide a testable theory of bank risk and to derive comprehensive expression for bank capital adequacy. Thi
8、s expression consist factors that underlie the financial market as well as factors peculiar to the individual bank which stem from the nature of its assets and the characteristic of its clientele. In addition to reliance on ad hoc ratios, the method of discriminate analysis suffers from being static
9、 in its nature. As noted by Altman “The ratio discriminate model (or any other of the prior ratio models) is not dynamic in nature and therefore cannot capture whatever time-series contribution is relevant toward failure prediction“. In the model presented in this paper, an attempt is made to overco
10、me part of this shortcoming by considering the trends and variation of the different elements as key factors in determining the banks risk exposure. The paper focuses on the sensitivity of the banks sources and uses of funds to various fundamental factors as the major determinant of capital adequacy
11、. Each factor underlying the volatility of the balance sheet arguments is investigated separately. The analysis is then integrated and a single criterion for bank capital is derived. Although our approach is a theoretical one, it is practically oriented and intended to equip the supervisor with a we
12、ll-defined but flexible tool. As will be shown in Section VII, the model will be made to reflect a wide range of possible considerations, such as managerial performance appraisal and bank policy factors. II. The Need for Regulating Bank Capital Bank capital adequacy has always been an important issu
13、e; however, it has become even more so in recent years. Tight money conditions producing a high demand for loans and opportunities for high return on other assets have created an incentive for asset expansion which requires an equivalent expansion in liabilities. Since bankers believe that equity ca
14、pital has become very costly and borrowing from the Fed or other banks are not available sources except for short periods of time, the search for new liabilities has concentrated on attempts to attract more deposits and issuing Certificates of Deposits. In addition, the publics confidence in banks h
15、as grown significantly in recent years which have made deposits a less volatile source of funds to the bank. The stability of deposit financing has reduced even further the reliance on the more expensive alternative sourcecapital. As a result, the banking industry has witnessed a consistent pattern
16、of deterioration in relative capital position. Since this trend produces a less sound banking system, it should not leave the regulatory agencies indifferent. When bank capital is unregulated, its level reflects only the shareholders optimality. However, as noted by Santomero and Watson 20, there is
17、 no a priori reason to assume that this level is optimal also from the standpoint of society. On the contrary, it is generally believed that unrestricted banking operation would result in a capital position that is suboptimal from the society-welfare perspective. This is a typical case of market ext
18、ernalities, and in the absence of other counteracting mechanisms (e.g., taxes), the elimination of bank undercapitalization should be achieved by the imposition of capital adequacy surveillance. When a proper adequacy constraint is implemented by the regulators, it is expected therefore to be bindin
19、g, and the level of bank capital will differ from an unconstrained optimal one. III. Maintaining Bank Soundness A bank becomes unsound if it cannot liquidate enough assets to supply deposit withdrawals. Thus, if a bank has suffered severe losses so that its asset value has declined below the level o
20、f its debt to depositors (i.e., negative capital position), then under massive withdrawals the bank may fail. Obviously deposit withdrawals are not the source of the problem. Rather, the insolvency reflects operational losses and a decrease in asset market values. Although, theoretically, deposit wi
21、thdrawals can always be matched by bank borrowing, in practice borrowing is only a limited source for banks in an inadequate liquidity position. In addition, borrowings are usually short-term liabilities and therefore sharply increase the imbalance in the maturities of the two sides of the balance s
22、heet. A higher risk is then created which is added to the severe liquidity position of the bank. Thus, it appears that borrowing can not be used as a tool to meet permanent needs and is not a source to rely on for purposes of deposit refunding except for unexpected short-run volatility. The proper s
23、ource to satisfy deposit withdrawals is liquidation of assets. The supervisor should be concerned therefore with preventing the bank from reaching a situation of severe shrinkage in asset values or illiquidity. Put differently a bank may not be able to withstand deposit withdrawals if there are not
24、enough assets to liquidate, especially during periods of negative earnings. To avoid bank failure, the bank examiner is concerned mainly with the riskiness of the bank position, its profitability, and its asset liquidity as key factors for determining the banks capital needs. The riskiness of a bank
25、 is related to its portfolio composition. The greater the risk of the banks assets the higher the level of capital required to avoid potential failure due to asset losses. For the same reason, regulators prefer the bank to hold liquid assets rather than illiquid ones in order to better meet an unant
26、icipated need for funds- Bank earnings are important in this XXz context for two reasons. First, a profitable operation is clearly the banks first line of defense against occasional shrinkage in asset value. Second, profitable banks have much higher borrowing capacity and hence can better respond to
27、 high deposit volatility. In addition, they can better raise new capital when desired in order to take advantage of profitable investment opportunities. One may wonder how bank capital can actually reduce default risk. If a bank is expected to do well (that is, to earn profits from operations and to
28、 increase its asset value due to successful investments), then theoretically, no capital is required. On the other hand, for a bank that is performing badly, a high level of capital will not solve its problems. Here there is a need for serious improvement in the way the bank is managed. Proper steps
29、 might include changes in the banks investment policy, more efficient operations, and reorganization of financial structure. Capital is required because management inadequacies in the real world cannot be observed and corrected instantaneously. Thus capital acts as a short-term buffer until bad perf
30、ormance is recognized and better management policies are implemented and become fruitful. Capital adequacy, therefore, has a time dimension which the current approaches in the literature do not consider. IV. The General Approach A) The Gamblers Ruin Theory The approach to bank failure that is taken
31、in this paper has its roots in the theory of gamblers ruin. This probabilistic theory has been applied to predict business default risk by Wilcox, while a more elaborate version of it is used by Santomero and Vinso for measuring the soundness of the banking system. In the context of business failure
32、 the method of gamblers ruin can be roughly described as follows. Suppose that ruin is defined as the situation where the firms net worth, K, falls below a certain required level, z. If changes in the net worth occur as a result of a large number of binominal events, then the central limit theorem i
33、mplies that asymptotically, K is a normally distributed random variable. Denote the mean of the distribution over a given period of time as X , and the variance as X , then the probability of failure, would be (1) =f Where f is the cumulative normal density function. This theory provides the ground
34、for the current approach to bank capital adequacy. However, the functional form of our model differs from the theory of gamblers ruin (and its extension by Santomero and Vinso) in various fundamental aspects. The discussion of these differences is deferred until after the model is presented. Now, le
35、t us examine more closely the banks balance sheet identity. B) The Banks Balance Sheet Bank assets are aggregated into three groups: securities (denoted as S), loans (L), and cash (C). Bank liabilities are aggregated into deposits (D) and capital (K). The bank balance sheet identity is (2) S+L + C =
36、 D + K Since cash is idle money, it will be assumed that the bank always maintains the minimum level of reserves allowed (3) C = v*D Where v is required reserve ratio. Because the concern is with the value of the assets as they are liquidate market values rather than accounting book values are consi
37、dered throughout this paper. All items in the balance sheet identity may vary from period to period due to purchasing (selling) of new assets or issuing (redeeming) of new liability claims. Assets are also subject to changes in net market value which are reflected in equivalent changes in capital ne
38、t worth. In addition, bank capital position is changed if there are new earnings retentions. The first line of defense against loss is the banks current earnings after taxes. The banks net income before taxes (I) can be written as (4) I = I1 + N1 where I1 is its earnings from operation (net interest
39、 income minus net operati0n expenses), and N1 is the sum of realized net gain in market value from securities held at the beginning of the period and loans charged off (net of recoveries). Defining TA as total assets, the changes in the value of the assets and liabilities between two sequential poin
40、ts of time can be written as (5) TA= D+ K where TA is unrealized net change in assets value (N2)plus net purchases of assets(PTA), D is the net change in deposits, and K is new retained earning (BE) plus exogenous change in the amount of capital outstanding (NK) plus unrealized net change in assets
41、value (N2) . This can be reduced to (6) PTA = RE + NK + D Which describe the structural sources and uses statement of the bank. In the absence of new capital issues, deposit withdrawals would be balanced against retained earnings and the sale of assets. Following the notation above, the analysis of
42、the conditions that may cause unsoundness focuses on the factors that determine potential changes in the size of balance sheet items during a given period. 译文 一个规范银行资本充足的方法 资料来源 : http:/ 作者： 伊 莱 一、 简介 几乎美国所有的商业银行都由三个联邦银行监管机构中的一个监管。 虽然这些机构分担 鉴定行的财政困难会导致他们处于失败的不利条件下，但 他们 也从来没有达成一项 使资本充足率达到统一途径的 协议 。在这
43、种情况下，并且由于银行监管的临界值， 资本的充足问题 已被从业者和学者进行了广泛的 调查研究。近年来，他们都致力于通过多元判别分析法 来关注问题银行 。丹尼斯和福特森研究典型的例 子，辛克和沃克 利用这种 方法来识别最能表现银行稳健性的财务指标及比较不同公式预测银行破产 的能力。 早期 基于财务比率 的 预警模型 不是统一的，且 他们 都 缺乏理论 依 据 。这主要是缺乏一个基础 ,研究人员断言利用比率结构来监测 银 行潜在风险是不可靠的。这由列弗最明确说明：没有确切的有关企业破产 的理论来指导实证研究的设计和成果。缺乏这样的理论，研究人员只能采用大量措施、模型及不同的统计技术来反复做实验。
44、正如预期的那样， 这样不受控制的研究结果往往是不一致 的并且不能归纳总结。本文提出的模型避免了任意切断比率。并且 这个模型采用金融理论 和正式概率因素以提出可测验的银行风险理论并得到广泛的银行资本充足的数学公式。这个公式包括了金融市场的基本因素以及源自个别银行的资产、客户性质的特殊因素。 除了依赖某一特定的比率 ，判别分析法保持 其 本质静态。奥特曼曾写道“判别分析法（或其他一些先进模型）在本质上不是动态的，因此不能捕获任何时间序列的贡献与失败预测的相关性。 本文在模型中提出， 将尝试通过考虑 把 不同因素的趋势和变化作为在银行风险暴露中的关键性因素从而克服部分缺陷。本文重点关注银行资金来源的
45、灵敏度及作为资本充足主要决定 因素的 各种资金利用因素。 对 每一个因 素导致的资产负债表参数波动都 进行 单独研究。然后，综合分析得到银行资本的单一标准。 虽然我们的 方法只 是理论上 的 ，但是对于监管员来说他是具有实际导向作用的 且 明确灵活的工具。在第七节中，该模型将反映出各方面有可能的考虑因素，例如管理绩效考核、银行政策等。 二、 规范银行资本的必要性 银行资本充足一直是一个重要问题，然而，近几年变得异常如此。 银根紧缩条件下产生的 银行 贷款高需求和 要求资产 高回报的 期望 ， 创造了要求在负责中相同扩张的动机。自从 银行家们认为 ，股本变得非常昂贵，除了短期内，向美联储或其他银
46、行借款并不是可利用的资金 来源， 寻找新的负债都集中于 吸引更多的储蓄和发行存款单 。 此外， 近几年公众对 银行 逐渐增长的信心使银行资金 来源波动变 小。 融资的稳定性降低 了对 较昂贵 资本来源的依赖度。因此，银行业见证了资本 状况 中 持续恶化的 模式 。 由于这一趋势产生了不健全的银行体系 ， 所以 不应该随意的离开监管机构。 当银行资本 不受控制 时 ，其水平只放映了股东的最优。然而，圣多马罗和沃森写到，没有一个优先的理由来假设这个水平从社会角度出发是最优的。 相反，人们普遍认为 ，从社会福利角度看 无限制的银行业务会导致 资本处于一个次优的位置。 这是市场外部性的典型案例，在没
47、有抵消机制的情况下，要想消除银行资本不足的状况，就要通过加强资本充足监管来实现。当监管者实现了一个适当的资本约束限制后，我们可期望看到在约束力下银行资本水平将不同于在没有限制下的最优水平。 三、 维持银行的健全性 如果银行不能提供足够的资金来满足存款提取，那么银行将变的不健全。因此，如果一家银行遭受严重损失， 那么会使其资产价值水平低于其负债水平。然后，在大量提款后，银行将陷入困境。显然，存款提取不是问题的根源。 相反 ，银行破产 反映了经营亏损 ， 资产市场价值下降 。 虽然从理论上讲，存款提取 总可以有相应的银行借款，但 在不充分的资金流动情况下借款实际只是一个有限的来源。此外，借款通常是
48、短期负债大幅增加，因此，双方在到期日的资产负债表上是不平衡的。高风险就会被添加到银行资金流动环节上。 因此， 借款 不能用来作为一种以满足永久 需求 的 工具 ，除了意外的短期波动 外，也不是依赖存款退还 的来源。满足存款提取的适当来源是资产清算。监管员应该致力于防止银行资产价 值严重缩水或流动性不足的状况。换句话说，如果没有足够的资产清算 ，尤其是亏损 期间，银行可能无法承受存款提取带来的恶果。 为了避免破产，银行监管者更多的关注银行风险， 盈利能力 以及把资产流动性作为决定 银行资本需 求的关键性因素。银行的风险与其投资组合的构成有关。 银行资产的风险越大 其 资本水平越高 ，所以要 避免
49、由资产损失造成的潜在风险。 出于同样的原因，监管机构更愿意 银行持有 流动 性 资产 ， 而不是 流动性不足的资产，以此来满足意 外的资金需求。银行收入有两个重要的原因。首先，一个有利可图的操作显然是银行的第一道防线来对抗资产价值缩水。其次， 盈利能力 强的银行有更高的借款能力，从而 可以更好地应对高储蓄波动 。此外，他们可以更好 地筹集资金，以便能如愿地 采取有利可图的投资机会。 人们可能不知道银行的资本实际 上可以减少违约风险。如果一个银行预计上能做好（就是说 ，通过业务增加盈利，通过成功的投资增加资产价值）那么理论上，不需要 资本要求。另一方面，银行经营差强人意，即使有高水平的资本也不会解决其问题。 这 样就需要 认真改进银行管理方式 。 适当的措施可能包括 银行投资政策的变化，更有效的业务以及财务结构重组。 资本是必要的 ，
