金融市场与机构.pptx

,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,#,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 markets,Financial assets,Financial markets(development trend-globalization,innovation,securitization),Financial institutions,Financial regulation,Financial markets,Debt vs.Equity,Debt Instruments,Fixed dollar payments,Examples include loans,bonds,Equity Claims,Dollar payment is based on earnings,Residual claims,Examples include common stock,partnership share,Types of Financial Assets (,Claim to future income),Bank loans,Government bonds,Corporate bonds,Municipal bonds,Foreign bond,Common stock,Preferred stock,Foreign 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 return,Risk 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 markets,Money market vs.,capital market,Primary vs.secondary market,Cash or spot vs.,derivatives market,Auction 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 markets,Technological advances,Increased institutionalization,Role 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 costs,Faster to carry out transaction,Greater liquidity,Innovation of Financial Markets:securitization,Securitization:borrower preference for issuing securities over borrowing directly from banks-broader sense,Securitization:,asset securitization,the process of pooling loans and issuing securities backed by these loans-narrow sense,Securitization and financial crisis,The securitization development in China,美国固定收入市场的构成（,截至2004年底,）,分类,规模（,10,亿美元）,市场份额（,%,）,国债,3944,17,联邦机构债券,2745,12,公司债券,4705,20,市政债券,2019,9,MBS/ABS,7301,（5473+1828）,31,货币市场工具,2872,12,总计,23584,100,国家,债券发行规模（亿美元）,资产支持证券发行规模（亿美元）,资产支持证券在债券发行规模中占比,美国,335000,116000,35%,中国,214,0.44,0.21%,年份,2005,2006,2007,2008,2009,发行规模（亿元）,71.96,115.80,179.07,254.00,未发行,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 banks,Savings and loan associations,Savings banks,Credit unions,Nondepository institutions,Investment companies,Insurance companies,Pension funds,Hedge funds,Role of Financial Intermediaries,Transfer of funds from savers to investors,Providing Maturity Intermediation,Reducing Risk Through Diversification,Reducing Costs of Contracting and Information Processing,Providing a Payments Mechanism,Asset/Liability Management,Spread and Non-Spread Businesses,Nature of Liabilities,Amount of cash outlay,Timing of cash outlay,Liquidity Concerns,Regulations and Taxation,Nature of Liabilities of Financial Institutions,数额（亿美元）,比例,美国共同基金资产规模,111000.00,100%,中国证券投资基金资产总额,3650.00,3.3%,中国,A,股总市值,39770.14,36%,中国外汇储备,28473.38,26%,中国居民储蓄总额,47941.86,43%,中国,GDP,60575.80,55%,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 disclosure,Promote competition and fairness,Promote the stability of financial institutions,Restrict the activities of foreign concerns in domestic markets and institutions,Control 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,微观审慎监管,初始目标,防范金融体系的风险,防范单个机构的风险,最终目标,避免宏观经济波动,保护投资者或存款人利益,风险模式,内生,外生,金融机构之间的风险关联性,密切相关,不相关,校准目标及方式,金融体系：自上而下,单个机构：自下而上,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,Introduction,Nondepository financial intermediaries,(investment companies,pension funds,insurance companies),Price volatility of fixed income securities,Portfolio management of fixed income securities,Mortgage and securitized asset markets,Markets 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 Companies,The development of inv.Companies in USA,The fee structure of mutual funds,The classification of mutual funds,Exchange Traded Fund(ETF),Hedge fund,Structure of Funds,Types of Investment Companies,Open-End Funds,Variable number of shares,Liquidation(not via external market),share price=NAV,Closed-End Funds,Constant number of shares,Traded on secondary market,share price,NAV(at discount or premium),Unit Trusts,Passive management,Investment in bonds,The development of Inv.Companies in U.S.A,1924-1928,萌芽期,1924,：,The first mutual fund introduced in U.S.A.Massachusetts Investors Trust,1928,：,Vanguard Fund introduced,1929-1940,萧条和监管阶段,1929,：,Market Crash,1933:Securities Acts of 1933,1934:Securities Exchange Acts of 1934,1940,：,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 market,1974:Fidelity launches first money market mutual fund,1975:Securities Act Amendments of 1975;Deregulation of Fixed Commission,1976:First index fund introduced:Vanguard Index Trusttrack S&P 500,1979:Tax-exempt money market fund introduced,1980:12b-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 begins,1987:October 19,th,market crash,1988:Insider Trading and Securities Fraud Enforcement Act of 1988,1990-1995:Dramatic increase in mutual fund and cash inflow:Number of funds exceeds the number of stock listed in exchanges,1992:Charles Schwab launches One Source:mutual fund supermarket,2000: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,年度,富达麦哲伦基金,(a),S&P500,指數,(b),差異,(a-b),1978,20.0,6.4,13.6,1979,41.0,18.2,22.8,1980,49.9,32.3,17.6,1981,64.7,-5.0,69.7,1982,28.2,21.4,6.8,1983,23.2,22.4,0.8,1984,3.0,6.1,-3.1,1985,43.2,31.6,11.6,1986,23.8,18.6,5.2,1987,1.0,5.1,-4.1,1988,22.8,16.6,6.2,1989,34.6,31.7,2.9,19781989,年平均报酬率,28.42,16.54,11.88,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,最大的共同基金族群的资产份额,1985,1990,1995,2000,2005,2009,2010,前,5,37,34,34,32,37,39,40,前,10,54,53,48,44,48,53,53,前,25,78,75,71,68,70,74,74,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 Diversification,Lower Costs of Contracting and Information Processing,Professional Portfolio Management,Liquidity,Variety,Payments Mechanism,The fee structure of Mutual Fund,Shareholder fee or sales charge,Front end load,Back end load(CDSC),Level load,Operating expense or expense ratio,Management fee,12b-1 fee,others,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,0.0-100.0,万元,1.50%,100.0-500.0,万元,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,0.0-1.0,年,0.50%,1.0-2.0,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,0.0-100.0,万元,1.50%,100.0-500.0,万元,1.20%,500.0,万元以上,1.00%,后端收费,0.0-1.0,年,1.80%,1.0-2.0,年,1.50%,2.0-3.0,年,1.20%,3.0-4.0,年,1.00%,4.0-8.0,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,0.0-100.0,万元,0.80%,100.0-500.0,万元,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,0.0-1.0,年,0.10%,1.0-2.0,年,0.05%,2.0,年以上,0.00,Sales charge,Annual operating expenses,Front,back,level,Management fee,Distribution,(12b-1fee),Other expenses,Expense ratio,A,4.5%,0,0%,0.9%,0.25%,0.15%,1.3%,B,0,*,0,0.9,1.0,0.15,2.05,C,0,0,1,0.9,1.0,0.15,2.05,*3%,3%,2%,2%,1%,0%.,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,Income,Aggressive Growth,Growth,Income and Growth,Money Market Mutual Funds,Bond Funds,U.S.Government Bonds,Corporate Bonds,Convertible Securities,Municipal Bonds,Others,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,Value,Core,Growth,Large-cap,Mid-cap,Small-cap,大类,基金类型,说 明,股票型基金,股票型基金,主要投资于股票类资产的基金。一般地，其股票类投资占资产净值的比例,70%,；且其股票投资占资产比例的下限不低于,60%,。,混合型基金,激进配置型基金,投资于股票、债券以及货币市场工具的基金，且不符合股票型基金和债券型基金的分类标准；其股票类资产占资产净值的比例,70%,。,标准混合型基金,投资于股票、债券以及货币市场工具的基金，且不符合股票型基金和债券型基金的分类标准；其股票类投资占资产净值的比例,70%,。其固定收益类资产占资产净值的比例,50%,。,保守混合型基金,投资于股票、债券以及货币市场工具的基金，且不符合股票型基金和债券型基金的分类标准；其固定收益类资产占资产净值的比例,50%,。,晨星中国开放式基金分类标准,(1),债券型基金,激进债券型基金,主要投资于债券的基金，其债券投资占资产净值的比例,70%,，纯股票投资占资产净值的比例不超过,20%,；,其股票类资产占资产净值的比例,5%,。,普通债券型基金,主要投资于债券的基金，其债券投资占资产净值的比例,70%,，纯股票投资占资产净值的比例不超过,20%,；其,股票类资产占资产净值的比例,r)F P,Negative(y P,Zero(y=r)F=P,Principle of Convergence,At the delivery date,the futures price must equal the cash price,As the delivery date approaches,the futures price converges to the cash price,The financing cost approaches zero,The yield approaches zero,The cost of carry approaches zero,Assumptions Underlying the Arbitrage Arguments,Interim cash flows,Differences between lending and borrowing rates,Transaction costs,Short selling,Known deliverable asset and settlement date,Deliverable is a basket of securities,Different tax treatment of cash and futures transactions,Treasury bond futures,美国长期国债期货的特点,:,合约面值,标价方法,交割时间,标准等级,CBOT 30 Year U.S.Treasury Bonds Futures,Contract Size,:One U.S.Treasury bond having a face value at maturity of,$100,000,or multiple thereof.,Tick Size,:Minimum price fluctuations shall be in multiples of one thirty-second,(1/32)point per 100 points,($31.25 per contract),Price Quote,:,Points($1,000)and thirty-seconds of a point;for example,80-16 equals 80 16/32,Contract Months,:Mar,Jun,Sep,Dec,Daily Price Limit,:None,CBOT 30 Year U.S.Treasury Bonds Futures,Deliverable Grades,:,U.S.Treasury bonds that,if callable,are not callable for,at least 15 years,from the first day of the delivery month or,if not callable,have a maturity of,at least 15 years,from the first day of the delivery month.,Note:,Beginning with the March 2011 expiry,the deliverable grade for T-Bond futures will be bonds with remaining maturity of at least 15 years,but,less than 25 years,from the first day of the delivery month.,The invoice price,equals the futures settlement price times a conversion factor plus accrued interest.The conversion factor is the price of the delivered bond($1 par value)to yield,6 percent,.,Bond,Maturity,Coupon rate,Market price,1,15,5%,90.86,2,16.25,5.5%,95.43,3,18.50,8.5%,115.35,4,17.75,6%,105.13,5,20,9.5%,130.15,6,18.75,10%,124.38,7,17.25,6.5%,106.23,8,19.25,7.5%,110.56,Delive