資金流與金融風險管理.ppt

1、International Finance:Managing Capital Flows and Financial Risks,天馬行空官方博客： ；QQ:1318241189；QQ群：175569632,Capital Flow Volatility and Financial Risks:Overview,天馬行空官方博客： ；QQ:1318241189；QQ群：175569632,3,Capital Flow Volatility and the lowest portfolio value at the given confidence level c as W*=W0(1+R*).

2、 VAR is defined as the dollar loss relative to the mean, Value at Risk (mean)=E(W)-W*= - W0(R*- )(1) J.P. Morgans distribution of daily revenue in 1994: Mean revenue is $5.1m, n=254. Select c=95%, 254x5%=12.7. In the chart, we find the 5% of occurrences (15 obs) below -$9m. After interpolating, we f

3、ind W*= -$9.6m The VAR of daily revenues, relative to the mean is VAR = E(W) W*= $5.1m- (-$9.6m) = $14.7m (2) Absolute VAR=$9.6m,19,Short Term Capital Flows are Linked to Financial Fragility: Short term debt/reserve ratios peaked before crises,Source: GDF, 1999,20,Short Term Debt /Reserve Ratios are

4、 good warning indicators of financial fragility: It peaked before the Peso crisis,Source: GDF, 1999,21,Short-term Debt as percent of international reserves: a liquidity index,22,Short-term Debt as percent of international reserves: a good warning indicator,23,GDP growth and growth of short-term debt

5、:Pro-cyclical to growth and exacerbate boom/bust,24,GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate crises,25,III. Policy options to manage fiscal and financial risks,A spectrum of capital flow interventions Chile: reserve requirements for short term inflows: pros and

6、cons Prudential fiscal policy and disciplines Do not provide implicit guarantees Sound banking system and regulations: regulate foreign currency exposure Competition and corporate governance crucial for market discipline Summary,26,Policy Options: A Spectrum of Capital Flow Interventions,1. Financia

7、l Autarky 2. Quantity Controls (All Capital Inflows) 3. Tax/Non-Remunerated Reserve Requirement (All Capital Inflows) 4. Quantity Control on “Risky” Inflows 5. Tax on “Risky” Inflow 6. Remunerated Liquidity Requirements 7. Purchase Insurance (e.g:- Contingent Liquidity Facility) 8. Other Risk Manage

8、ment Techniques (Asset/Liability Management) 9. No Intervention,Reduce Capital Inflows Change Inflow Composition Self-Insurance Risk Management,1st. Best World,Nth. Best World,Increasingly Severe Intervention: Reduction in Benefits of Foreign Capital & Reduction in Risks,Source: Powell, On Liquidity

9、 Requirements, Capital Controls and Risk Management: Some Theoretical Considerations and Practice from the Argentine Banking Sector, 1999,27,Policy Options: Market Based Capital Control for Short Term Inflows in Chile,Source: Schmidt-Hebbel & Hernandez, Capital Controls in Chile: Effective? Efficien

10、t? Endurable?, 1999,28,Chile and Malaysia: Two cases of Temporary Capital Controls for Short Term Inflows,Source: GDF 1999,29,Chile: Short term capital inflows have been declining: URR is effective,Source: GDF 1999,30,Malaysia: Short Term Capital Inflow declined temporarily,Source: GDF 1999,31,Pros

11、and cons of Chiles URR,Pros Provide more room for the use of independent monetary policy led to a fall in short term inflows, reducing Chiles indebtedness changed the composition of capital inflows toward longer maturities, making Chile more resilient to shocks,Cons did not affect the real exchange

12、rate led to an inefficient allocation of resources led to higher short term interest rates, reducing investment and LT growth provided incentive for tax evasion.,32,Summary,Information asymmetry and market imperfection prevail in financial markets-roles for government Capital flow is volatile in nature and volatility hurts the poor most-rationale for public policy Tight fiscal discipline good, guarantees are bad Sequencing in financial ope