金融市场与机构.ppt

Financial Markets and Institutions,教材：弗兰克J.法博齐，弗兰科.莫迪利亚尼，弗兰克J.琼斯 著 金融市场与金融机构基础(英文版 原书第四版)机械工业出版社考核方式：开卷考试考核比例：平时：10%，期中：20%，期末：70%,第一章(Chapter1,2),导论,Financial marketsFinancial assetsFinancial markets(development trend-globalization,innovation,securitization)Financial institutionsFinancial regulation,Financial marketsDebt vs.Equity,Debt InstrumentsFixed dollar paymentsExamples include loans,bondsEquity ClaimsDollar payment is based on earningsResidual claimsExamples include common stock,partnership share,Types of Financial Assets(Claim to future income),Bank loansGovernment bondsCorporate bondsMunicipal bondsForeign bond,Common stockPreferred stockForeign stock,Price of Financial Asset and Risk,The price or value of a financial asset is equal to the present value of all expected future cash flows.Expected rate of returnRisk of expected cash flow,Role of Financial Assets,Transfer funds from surplus units to deficit units.Transfer funds so as to redistribute unavoidable risk associated with cash flows generated from both tangible and intangible assets.,Role of Financial Markets,Determine price or required rate of return of asset.Provide liquidity.Reduce transactions costs,which consists of search costs and information costs.,Classification of Financial Markets,Debt vs.equity marketsMoney market vs.capital marketPrimary vs.secondary marketCash or spot vs.derivatives marketAuction vs.over-the-counter vs.intermediated market,Globalization of Financial Markets,Factors that have led to globalization of financial markets:Deregulation or liberalization of financial marketsTechnological advancesIncreased institutionalizationRole and influence of globalization of financial market,Innovation of Financial Markets:Derivatives,Futures/forward contracts are obligations that must be fulfilled at maturity.Options contracts are rights,not obligations,to either buy(call)or sell(put the underlying financial instrument.New development of financial derivatives,Role of Derivative Instruments,Protect against different types of investment risks,such as purchasing power risk,interest rate risk,exchange rate risk.Advantages:Lower transactions costsFaster to carry out transactionGreater liquidity,Innovation of Financial Markets:securitization,Securitization:borrower preference for issuing securities over borrowing directly from banks-broader senseSecuritization:asset securitization,the process of pooling loans and issuing securities backed by these loans-narrow senseSecuritization and financial crisis The securitization development in China,美国固定收入市场的构成（截至2004年底）,美国、中国债券市场产品结构对比（2008）,中国信贷资产证券化（CLO）年发行额,Financial institutions,Depository institutions Commercial banksSavings and loan associationsSavings banksCredit unionsNondepository institutionsInvestment companies Insurance companiesPension fundsHedge funds,Role of Financial Intermediaries,Transfer of funds from savers to investorsProviding Maturity IntermediationReducing Risk Through DiversificationReducing Costs of Contracting and Information ProcessingProviding a Payments Mechanism,Asset/Liability Management,Spread and Non-Spread BusinessesNature of LiabilitiesAmount of cash outlayTiming of cash outlayLiquidity ConcernsRegulations and Taxation,Nature of Liabilities of Financial Institutions,美国共同基金富可敌国,我国基金业发展状况及特点,Financial regulation,Types of Regulation Disclosure regulation Financial activity regulation Regulation of financial institution Regulation of foreign participation Reasons for regulation Stock market crash of 1929 Great Depression of 1930s Financial Crisis of 2008-2009,Purpose of Regulation of financial markets,Information disclosurePromote competition and fairnessPromote the stability of financial institutionsRestrict the activities of foreign concerns in domestic markets and institutionsControl the level of economic activity,Concerns of Regulators,Credit Risk Settlement Risk Counterparty Risk Liquidity Risk Market Liquidity Risk Funding Liquidity Risk Market Risk Operational Risk,金融危机后国际金融监管的新趋势,微观审慎监管(Micro-prudential Supervision)与宏观审慎监管（Macro-prudential Supervision）并举资本监管和流动性监管同等重要强化衍生品、信用评级机构及对冲基金的监管银行内部约束与外部监管有机结合,背景资料:美国金融监管改革法案：多德-弗兰克华尔街改革和消费者保护法(Dodd-Frank Wall Street Reform and Consumer Protection Act)(2010,7)巴塞尔委员会：增强银行体系稳健性、流动性风险计量、标准和监测的国际框架（2009，12）,金融危机后，人们普遍认为以微观审慎监管为主的金融监管方法对系统性风险的监管和预防无能为力。宏观审慎监管成为世界各国金融监管改革的核心理念。国际清算银行对宏观审慎监管（Macro-prudential Supervision)的定义：是微观监管的有益补充，不仅考虑单个金融机构的风险敞口，更是从金融体系的系统性角度出发对金融体系进行风险监测，从而实现金融体系的稳定。,微观监管与宏观审视监管并举,宏观审慎监管与微观审慎监管的区别,宏观审慎监管的必要,微观审慎监管不一定能够实现金融体系稳定的目标金融市场的同质性加剧了金融市场的不稳定性 金融的同质化风险:众多的市场微观主体基于同一制度规模要求、按照相同或相似的思维模式或认知模型预期而采取相同或近似的行为。金融体系的顺周期性扩展加剧了金融市场的不稳定性 金融稳定论坛（FSF）将金融体系的顺周期性定义为金融体系和经济周期波动的相互反馈机制（即相互增强效应）。金融全球化一体化发展促使风险在全球范围传递金融创新过度导致了系统性风险的加大,宏观审慎监管的措施,压力测试(Stress Test)；强化系统重要性大型金融机构的监管标准，降低“too big to fail”带来的道德风险；扩大资本覆盖风险的范围，提高系统性风险较大业务的资本要求；建立逆周期的监管政策工具和机制:如逆周期的资本要求和拨备要求、逆周期的信贷政策等，缓解银行体系的顺周期效应。,压力测试,中国银监会在商业银行压力测试指引中将其定义为：一种以定量分析为主的风险分析方法,通过测算银行在遇到假定的小概率事件等极端不利情况下可能发生的损失,分析这些损失对银行盈利能力和资本金带来的负面影响,进而对单家银行、银行集团和银行体系的脆弱性做出评估和判断，并采取必要措施。金融危机后，压力测试已成为宏观审慎监管应对系统性风险的关键。压力测试的主要方法：敏感性分析法、情景分析法、传染分析法、最大损失法、极值法等。,美国新法案试图终结“太大不能倒”带来的风险沃尔克规则(Volcher Rule):银行仅可将本身3%的一级资本投资于对冲基金或私募基金，投资占对冲基金或私募基金资本的比重也须低于3%，并禁止银行对所投资的基金提供救助，限制银行自营类交易业务。葬礼计划（Funeral Plan),即要求大型、复杂的金融机构定期提交如何快速有序地处理公司可能出现的紧急关闭事件。,资本监管和流动性监管同等重要,在巴塞尔委员会框架下，资本监管长期扮演重要角色，1988年资本协议和新资本协议已成为公认的资本监管国际标准，而流动性监管没有受到足够重视，目前巴塞尔委员会已公布了流动性监管的国际框架协议。现行资本监管制度存在的主要缺陷：资本覆盖风险的范围狭窄；资本工具的创新降低了资本工具吸收损失的能力；大型银行的资本充足率监管标准未能充分反映潜在的系统性风险；在银行资本监管方面忽视“质”的因素。流动性风险计量、标准和监测的国际框架将建立适用于国际活跃银行的全球流动性最低标准,包括覆盖30天的流动性覆盖率,以及一个长期结构化流动性比例,并于2012年底开始执行.,强化衍生品、信用评级机构及对冲基金的监管（美国）,加强对场外交易OTC的衍生品的监管.银行可保留利率、汇率、黄金、白银以及投资等级证券的衍生品业务（如CDS等）以对冲风险，但两年内将农产品、金属、能源商品的CDS等高风险衍生品剥离到特定的子公司。在证券交易委员会（SEC）下设立新的信用评级监管办公室（Office of the Credit Ratings)，必须对全国性统计评级机构每年至少进行一次检查。要求对冲基金和私人股票顾问作为投资顾问在SEC注册。,银行内部约束与外部监管有机结合,提高商业银行公司治理标准完善管理层薪酬改革，建立薪酬机制的监管机制强化并表风险管理能力,Main contents,IntroductionNondepository financial intermediaries(investment companies,pension funds,insurance companies)Price volatility of fixed income securitiesPortfolio management of fixed income securitiesMortgage and securitized asset marketsMarkets for derivatives(future,option,swap)Market for credit derivatives(CDS,CDO etc.),各章内容,第一章 导论（chapter 1,2)第二章 非存款金融机构：证券投资基金(chapter7,2)第三章 非存款金融机构：保险公司和养老金(chapter6,8)第四章 债券市场及其组合管理(chapter 9,10,11)第五章 住房抵押贷款及RMBS、CMBS市场(chapter22,23,24)第六章 资产支持证券市场(chapter 25)第七章 期权的定价及应用(chapter27,28,29)第八章 互换的定价及应用(chapter 30)第九章 信用衍生品市场(chapter31),第二章(chapter7,2),证券投资基金,Types of Investment CompaniesThe development of inv.Companies in USAThe fee structure of mutual fundsThe classification of mutual funds Exchange Traded Fund(ETF)Hedge fund,Structure of Funds,Types of Investment Companies,Open-End FundsVariable number of sharesLiquidation(not via external market)share price=NAVClosed-End FundsConstant number of sharesTraded on secondary marketshare price NAV(at discount or premium)Unit TrustsPassive managementInvestment in bonds,1924-1928 萌芽期1924：The first mutual fund introduced in U.S.A.Massachusetts Investors Trust1928：Vanguard Fund introduced1929-1940 萧条和监管阶段1929：Market Crash1933:Securities Acts of 1933 1934:Securities Exchange Acts of 19341940：Investment Company Act of 1940 Investment Advisers Act of 1940,美国基金业监管框架的四大法律支柱1933年证券法约束基金的发行与销售1934年证券交易法约束证券经纪交易商1940年投资公司法建立了对投资基金的注册及监管制度1940年投资顾问法建立了对投资管理人的注册和监管制度,1940年投资公司法建立了对投资基金的注册及监管制度 将“投资公司”定义为“主要从事、宣称主要从事投资、再投资或交易证券的业务的发行人”。发行人可以是自然人或公司（其定义包括基金）。因此本来绝大部分投资基金都会在投资公司法适用范围内，并受其约束和监管。然而，基于“保护小型投资者”的原则，投资公司法从“投资公司”定义中排除了两种投资基金，即仅包含特定或合格投资者并且不向公众发行基金权益的基金，这两类基金后来通常被称为“私募基金”。“私募基金”豁免适用投资公司法，但必须遵守禁止公开发行的规定。实践中SEC对非公开发行的规定的解释与证券法中私募发行豁免的规定是一致的，因此，私募股权基金，对冲基金，创业投资基金通常依据并遵守证券法下私募发行的条件和要求。,1940年投资顾问法建立了对投资管理人的注册和监管制度 该法将“投资顾问”定义为“为获取报酬，从事向他人提供关于证券的咨询业务的任何人（包括自然人或实体）”。上述“投资顾问”的定义广泛。一般来说，所有的投资基金管理人都被纳入这一广泛的定义（不管是向公募基金还是向私募基金提供投资顾问服务的投资管理人）。然而，基于“侧重保护小型投资者”的原则，投资顾问法为某些类型的投资管理人提供了豁免注册规定。金融危机后，多德弗兰克法中的2010年私募基金投资顾问注册法修改了现行的投资顾问法，要求许多目前免于注册的投资顾问向SEC注册。,19401980缓慢而稳定增长时期1973-1974:Two year severe bear market1974:Fidelity launches first money market mutual fund1975:Securities Act Amendments of 1975;Deregulation of Fixed Commission1976:First index fund introduced:Vanguard Index Trusttrack S&P 5001979:Tax-exempt money market fund introduced1980:12b-1 fees approved by the SEC,1980年至今 迅猛发展阶段1981:Tax Act of 1981 creates Individual Retirement Account(IRA)1982:The longest bull market begins1987:October 19th,market crash1988:Insider Trading and Securities Fraud Enforcement Act of 19881990-1995:Dramatic increase in mutual fund and cash inflow:Number of funds exceeds the number of stock listed in exchanges1992:Charles Schwab launches One Source:mutual fund supermarket2000:Magellan Fund expected to exceed$100 billion in total net assets-larger than all stock fund in 1984 and larger than the entire industry in 1979,富达麦哲伦基金报酬率与S&P500指数表現比較表(19781989),基金业已成为当今美国最大的金融产业之一,美国基金业发展现状及危机后的主要特点,美国共同基金资产规模全球第一,开放式基金成为证券投资基金的主流产品，产品种类繁多，创新活跃。,共同基金资产规模增长迅速，基本恢复至危机前水平并主导了投资基金的增长,基金数量增长放缓从2008年开始下降,行业集中度提高但竞争仍然激烈,美国开放式基金管理公司的分布情况,我国基金业发展状况及特点,Economic Motivations for Funds,Risk Reduction via DiversificationLower Costs of Contracting and Information ProcessingProfessional Portfolio ManagementLiquidityVarietyPayments Mechanism,The fee structure of Mutual Fund,Shareholder fee or sales chargeFront end loadBack end load(CDSC)Level loadOperating expense or expense ratioManagement fee12b-1 feeothers,Shareholder Fees,Operating Expenses,国内股票基金费用实例,易方达中小盘股票基金费用信息管理费1.50%托管费0.25%销售服务费前端收费 万元 1.50%万元 1.20%500.0-1,000.0万元 0.30%1,000.0万元以上 1,000.00元后端收费 年 0.50%年 0.25%2.0年以上 0.00%,华夏大盘精选费用信息管理费 1.50%托管费 0.25%销售服务费前端收费 万元 1.50%万元 1.20%500.0万元以上 1.00%后端收费 年 1.80%年 1.50%年 1.20%年 1.00%年 0.50%8.0年以上 0.00%,国内债券基金费用实例,易方达增强回报债券-A费用信息管理费 0.65%托管费 0.20%销售服务费前端收费 万元 0.80%万元 0.40%500.0-1,000.0万元 0.10%1,000.0万元以上 1,000.00元后端收费 年 0.10%年 0.05%2.0年以上 0.00,Hypothetical different share classes of a stock mutual fund,The classification of mutual funds,The meanings of classification of M.F.The classification system of M.F.based on prospectus language(ICI)Portfolio-based analysis(Morningstar,Lipper),Fund Investment Objectives,Equity Funds IncomeAggressive GrowthGrowthIncome and GrowthMoney Market Mutual Funds,Bond FundsU.S.Government BondsCorporate BondsConvertible SecuritiesMunicipal BondsOthers,国内基金投资目标实例,易方达中小盘股票基金：通过投资具有竞争优势和较高成长性的中小盘股票，力求在有效控制风险的前提下，谋求基金资产的长期增值。（中盘成长）华夏大盘精选：追求基金资产的长期增值。（中盘成长）博时特许价值：本基金的投资目标在于分享中国经济高速发展过程中那些具有政府壁垒优势、技术壁垒优势、市场与品牌壁垒优势的企业所带来的持续投资收益，为基金持有人获取长期持续稳定的投资回报。（大盘成长）嘉实服务增值行业混合基金：在力争资本本金安全和流动性前提下超过业绩基准，在追求长期稳定增长的同时不放弃短期收益（大盘成长）,美国共同基金构成,我国各类基金比重(2010),SEC制定的对基金名称的解释,美国投资公司协会(ICI)对基金的分类(33种),Morningstar公司对基金的分类(共49种),Style box of Morningstar,晨星中国开放式基金分类标准(1),晨星中国开放式基金分类标准(2),Innovation of mutual fund varietiesindex fundFund familyumbrella fundsegregated fundexchange traded fund,ETF,Family of Funds,Group of different fundsEach fund has different investment objectives Different investment team Managed by same investment company Economic BenefitsFlexibilityLower costsWider Choices,Occupying A NicheThe Amana Mutual FundsThe Catholic FundThe Womens Equity Mutual FundThe Meyers Pride Value FundThe Steinkoe Young Investor Fund,Recent SEC Priorities Concerning Mutual Funds,Reporting fund returns on after-tax basisMore complete reporting of fees chargedAccurate and consistent reporting of performanceGreater consistency between fund practices and investment objectiveDisclosure of portfolio practicesMore frequent listing of holdingsEffectiveness and independence of board,Alternatives to Mutual Funds-ETF,Exchange-Traded FundsSegregated AccountsInternet Executed“Folios”,Problems with Open-and Closed-End Funds,Open-end funds Transact only at close of day Withdrawals result in taxable event Closed-end funds Difference between NAV and price,Exchange-traded funds,ETF,Traded over an exchange Most are index funds Number of shares can change,Creation of ETFs,Sponsor Authorized participants Creation/redemption units,Sponsors of ETFs,Develop index Retain the authorized participants Provide seed capital Advertise and market Other activities,Creation of ETFs,Advantages,ETFsContinuous price and trading Tax benefits over mutual funds Lower fees,Mutual funds Families of funds Some have no commissions(no load),Advantages,Taxes,Hedge funds,Types of Funds Managed Regulated investment companies Insurance company funds Separately managed accounts Pension funds Hedge funds,Asset Management Firms,Ranked by assets under management,全球对冲基金数量及管理资产金额增长情况（1985-2006）,全球对冲基金管理地区分布情况,个人投资者 境外个人投资者 离岸机构投资者 捐赠基金 基金会 养老金基金 公司 保险公司,对冲基金的投资者类型,Hedge Fund Characteristics,No single definition of hedge fund,“Hedge”is misleading Wide range of trading strategies Leverage,short selling,arbitrage,risk control Operate in all financial markets Focus on absolute returns funds cater to sophisticated investors Performance-based fee,全球宏观对冲基金的特征（1999）,对冲基金的历史业绩（2001-2006）,Source:Bloomberg;Hedge Fund Research,Inc.,%Return,Types of Hedge Fund,market-neutral hedge fundslong/short equity hedge fundsconvertible arbitrage hedge fundsEvent driven hedge fundsGlobal macro hedge funds Dedicated short hedge funds,Concerns with Hedge Fund,Hedge funds provide market benefits Liquidity Market pricing efficiency However,there are concerns System risk Long-Term Capital Management Bear Stearns Market meltdown of 2008,全球对冲基金行业的最新发展,规模增长强劲 1990年对冲基金规模不足500亿美元，2006年达2.154万亿美元。美国占全球市场份额下降，从2002年的80%降至2006年的65%。行业集中度提高 2003年，100家最大对冲基金公司资产总额占行业总资产的比重位54%，而2006年达65%。对冲基金在固定收益特别是信用衍生品市场上居主导地位，已成为全球投资银行收入的主要来源。,对冲基金参与美国固定收益产品交易量统计（2005年，单位10亿美元）,全球对冲基金行业的最新发展,投资者机构化，fund of hedge funds 成为机构参与对冲基金的主要方式。逐步建立监管制度长期以来，1933年证券法、1934年证券交易法、1940年投资公司法、1940年投资顾问法为美国私募基金提供了豁免注册，但仍受限于反欺诈条款的规定。2010年的多德-弗兰克法案是美国自大萧条以来最大规模的金融监管变革，将保持金融体系的稳定作为整个金融监管制度的基石。,多德-弗兰克法案对对冲基金监管的主要规定,取消了私募基金投资顾问豁免注册待遇，要求对冲基金和私人股票顾问作为投资顾问在SEC注册，并且提交其交易和资产组合等信息以评估系统性风险。将投资顾问的联邦政府监管资金门槛从3000万美元提高至1亿美元，较小规模的管理人在各州注册并遵守州法律，取消了州内豁免注册待遇。该法案下的沃克尔规则对银行机构发起或投资于私募股权基金及对冲基金作出限制，银行仅可将本身3%的一级资本投资于对冲基金或私募基金，投资占对冲基金或私募基金资本的比重也必须低于3%，并禁止银行对所投资的基金提供救助。,第三章(chapter 6,8),保险公司与养老基金,一、Insurance companies,Fundamental Characteristics,Insurance Policies and PremiumsRisk bearersSources of ProfitsInvestment incomeUnderwriting incomeMajor expensesInsurance paymentsOperating expense,Fundamentals of Insurance,Relationship between revenues and costsPremiums are paid upfront Initial premium income is investedPayments to the insured are contingent on potential future eventsDifficulty in estimating profitabilityTiming and magnitude of payments are uncertainLong lag between receipts and payments,Types of Insurance,Life InsuranceHealth InsuranceProperty and Casualty InsuranceLiability InsuranceDisability Insurance and Long-Term CareStructured Settlements,Top Life Insurance Companies,Top P&C Companies,Structure of Insurance Companies,“Home Office”or Actual Insurance CompanyInvestment CompanySales ForceAgentsBrokersCommercial BanksInternet,Types of Insurance Companies,Stock Insurance CompanyOwned by independent shareholders and the stock is publicly tradedConstituencies:stockholders and policyhold