銀行業(yè)資產(chǎn)多樣化，企業(yè)風(fēng)險(xiǎn)，風(fēng)險(xiǎn)資本標(biāo)準(zhǔn)資本需求【外文翻譯】

1、<p><b>　　外文翻譯</b></p><p><b>　　原文</b></p><p>　　Asset Diversification, Firm Risk, and Risk-Based Capital Requirements in Banking</p><p>　　Material Source:

2、http://springer.lib.tsinghua.edu.cn/content/h352kj30111p7553/ Author: J. NELLIE LIANG and STEPHEN A. RHOADES</p><p>　　1. Introduction</p><p>　　A predicted benefit of mergers, particularly cong

3、lomerate mergers, is that diversification across different markets will reduce a firm’s risk. Diversification theory shows that the variability in returns of a portfolio of different assets may be lower than the variabil

4、ity in returns of a single asset if returns across the assets are not correlated perfectly. Whether this predicted effect materializes, however, depends importantly on management’s inclination to invest large amounts of

5、capital in </p><p>　　In this paper, we examine whether asset diversification by individual banks affects risk. Because of data availability for a large number of banks, the relative homogeneity of these firm

6、s, 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

7、risk is relevant to a recently implemented policy - risk-based capital guidelines.These guidel</p><p>　　Secondly, actual diversification experiences by banking firms may be relevant to diversification by ind

8、ustrial firms, even though banks probably can more easily shift financial assets among different categories than industrial firms can acquire and/or divest lines of business. For banks or industrial firms, an examination

9、 of actual diversification allows for the effects of management’s ability to manage different products and management’s risk preferences on firm performance. In addition, simila</p><p>　　Empirical results ar

10、e reported for a sample of 4751 banking firms over the period 1979-86. The effects of diversification across broad asset categories, as well as diversification across loan categories and geographic markets, on risk are e

11、xamined. 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.</p><p>　　2. Sample, Variables</p>

12、;<p>　　Banking firms can achieve diversification 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 divers

13、ify their assets by, in addition to making loans (that are in all likelihood tied to the local market), investing in government securities, and participating in the Fed funds and other securities markets. Loans may also

14、be diversified across different types,for example, commercial and industri</p><p>　　We examine empirically the relationship between firm risk and firm diversification recognizing the various diversification

15、strategies that the firm can pursue.Two different samples of banking firms are constructed to allow for the possibility that a bank’s asset diversification may depend on the extent to which it expands geographically. Bot

16、h samples include insured commercial banks that existed over the period 1979-86. The first sample includes only unit (single office) banking organizations, i</p><p>　　sample, plus those with multiple offices

17、 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 definition as of 1979. The unit bank, single office samp

18、le includes 2826 banking organizations and the more general sample includes 4751 banking organizations.</p><p>　　Firm diversification is measured by several variables. Primarily, bank asset diversification(A

19、D) is measured as the inverse of the sum of the squares of the percentage of a bank’s assets in each of five asset categories, which encompass all of a bank’s assets. These categories are (a) securities and cash, (b) net

20、 loans, (c) fixed assets, (d) investments in unconsolidated subsidiaries, and (e) other assets including Fed funds, securities repurchased, securities held in trading accounts, and custo</p><p>　　Geographic

21、diversification (GD) and average number of offices per market(OFFM) variables are also included as measures of diversification in the risk equations for the more general sample of unit, multi-office, and multi-market ban

22、ks. The geographic diversification variable is measured as the inverse of the sum of the squares of the percentage of a bank’s deposits in each market in which it operates.” Offices include either branches or separate ba

23、nks within a bank holding company.</p><p>　　3. Summary and Conclusions </p><p>　　The federal bank regulators have recently issued risk-based capital guidelines based on the premise that banks ho

24、lding more risky assets should hold more capital than those banks with less risky assets. In this paper, we propose that the diversification of a bank’s assets is likely to affect insolvency risk and thus asset diversifi

25、cation might be a.useful addition to the guidelines. We conduct an empirical investigation of the relationship between bank insolvency risk and asset diversification f</p><p>　　The bank risk measures (indica

26、tors 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 risk equations are estimated for two ba

27、nk 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 i

28、nsolvency risk, holding consta</p><p>　　These results suggest that an asset diversification measure might be a useful complement to the assessment of risk of individual assets that is built into the recently

29、 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 port

30、folio effect associated with diversifying into different asset categories outweighs possible management diseconom</p><p><b>　　譯文</b></p><p>　　銀行業(yè)資產(chǎn)多樣化，企業(yè)風(fēng)險(xiǎn)，風(fēng)險(xiǎn)資本標(biāo)準(zhǔn)資本需求</p><

31、p>　　資料來源:http://springer.lib.tsinghua.edu.cn/content/h352kj30111p7553/ 作者：羅迪斯斯蒂芬-浪和尼爾森</p><p><b>　　1介紹</b></p><p>　　分散在不同的市場(chǎng)會(huì)減少公司的風(fēng)險(xiǎn)，特別是集團(tuán)并購合并，有著可預(yù)測(cè)的好處。多樣化的理論表明,如果與資產(chǎn)收益不完

32、全相關(guān)的話，那么投資組合中不同的資產(chǎn)回報(bào)率變化可能會(huì)比單一資產(chǎn)投資回報(bào)率變化要小。這次預(yù)測(cè)是否體現(xiàn)效果，不管怎么說，都重要地取決于管理的趨勢(shì)就是在相對(duì)高風(fēng)險(xiǎn)的活動(dòng)中去大量投資資本，那么它的管理能力就越強(qiáng)，組織就更多元化。</p><p>　　在本文中，我們研究個(gè)別銀行的資產(chǎn)多樣化是否會(huì)影響風(fēng)險(xiǎn)。由于銀行可用性數(shù)據(jù)的數(shù)量相對(duì)龐大，這些公司性質(zhì)，以及當(dāng)?shù)厥袌?chǎng)的行業(yè)性質(zhì)，銀行業(yè)考慮到建立一個(gè)強(qiáng)有力的實(shí)證去調(diào)查這個(gè)問題。

33、結(jié)果是對(duì)兩個(gè)原因很感興趣。首先，資產(chǎn)多樣化在風(fēng)險(xiǎn)方面的影響與最近實(shí)施的政策——基于風(fēng)險(xiǎn)的資本指導(dǎo)方針有關(guān)。這些指導(dǎo)方針強(qiáng)制性建立金融機(jī)構(gòu)資本資產(chǎn)比，并且需要更大量的資金使得它對(duì)有較高風(fēng)險(xiǎn)的資產(chǎn)產(chǎn)生影響。至少在概念層次，一個(gè)很好的例子可以說明，基于風(fēng)險(xiǎn)資本的需求，會(huì)計(jì)師事務(wù)所能夠明顯提高資本資產(chǎn)多樣化，除了與單一資產(chǎn)類別風(fēng)險(xiǎn)相關(guān)的。這個(gè)觀點(diǎn)被觀察所支持就是近年來許多銀行倒閉，很顯然是由于相對(duì)高濃度地持有某些種類的資產(chǎn)，.最值得注意的是農(nóng)業(yè)

34、，石油，以及最近房地產(chǎn)的貸款。</p><p>　　其次，金融機(jī)構(gòu)實(shí)際多元化的經(jīng)驗(yàn)可能是與工業(yè)企業(yè)的多元化相關(guān)，盡管銀行可能比工業(yè)企業(yè)獲得或者拋棄業(yè)務(wù)更容易在不同類別中改變金融資產(chǎn)。對(duì)于銀行或工業(yè)企業(yè)，一個(gè)實(shí)際多樣化的考核會(huì)考慮到在公司表現(xiàn)上有能力去經(jīng)營管理不同產(chǎn)品和企業(yè)績(jī)效管理的風(fēng)險(xiǎn)偏好的管理者的影響。此外，類似于工業(yè)企業(yè)的收購兼并，銀行通過新的辦事處和分支機(jī)構(gòu)設(shè)置來達(dá)到地理區(qū)位上的分散。</p>

35、<p>　　在1979-86年時(shí)期，一個(gè)樣本在4751家金融機(jī)構(gòu)的例子的實(shí)證結(jié)果被報(bào)導(dǎo)。資產(chǎn)類別以及貸款種類和區(qū)域市場(chǎng)的多樣化在風(fēng)險(xiǎn)方面的影響被檢測(cè)。風(fēng)險(xiǎn)被衡量的指標(biāo)是破產(chǎn)的概率，風(fēng)險(xiǎn)衡量也取決于資產(chǎn)收益率以及資本對(duì)企業(yè)和對(duì)銀行資產(chǎn)比率的變化水平。</p><p><b>　　2樣品，變量</b></p><p>　　金融機(jī)構(gòu)能夠根據(jù)所處市場(chǎng)的規(guī)模和產(chǎn)品的

36、多樣性來實(shí)現(xiàn)在多個(gè)方面的多元化。大部分銀行是在一個(gè)單一的市場(chǎng)里運(yùn)作。這些銀行可以分散他們的資產(chǎn)，除了提供貸款（即在連接到本地市場(chǎng)的所有可能性），和政府有價(jià)證券投資，以及參與聯(lián)邦基金和其他證券市場(chǎng)。貸款也可以有不同的多樣化的類型， 舉個(gè)例子，商業(yè)和工業(yè)，房地產(chǎn)以及消費(fèi)者分期付款，它們都有迥然不同的到期日和主要數(shù)量。正式設(shè)立分支機(jī)構(gòu)的許可證，金融機(jī)構(gòu)也可以做到地理區(qū)域上的分散。</p><p>　　我們以經(jīng)驗(yàn)檢測(cè)那些

37、企業(yè)追求的風(fēng)險(xiǎn)和公司各種各樣多元化策略認(rèn)識(shí)之間的關(guān)系。兩種金融機(jī)構(gòu)不同的樣品被建立允許，銀行的資產(chǎn)多樣化的程度可能取決于它的地域擴(kuò)大。兩個(gè)樣本均包括商業(yè)銀行保險(xiǎn)，超過1979年至1986年期間存在的商業(yè)銀行。第一個(gè)樣本單位僅包括（辦公）銀行業(yè)組織，包括只在單一市場(chǎng)的，由單一銀行操作的控股公司。第二個(gè)樣本比較一般，包括在樣本中的所有企業(yè)單位，加上那些在一個(gè)單一市場(chǎng)有多個(gè)辦事處的和在多個(gè)市場(chǎng)設(shè)立多個(gè)分公司和辦事處的公司。根據(jù)他們1979年的

38、定義，市場(chǎng)被定義為都市統(tǒng)計(jì)地區(qū)和非都市統(tǒng)計(jì)縣。單位銀行、辦公樣品包括2826家銀行組織以及更廣泛的樣品包括4751銀行組織。</p><p>　　公司的多元化是用多個(gè)變量衡量的。首先，銀行資產(chǎn)多樣化（AD）以五種銀行資產(chǎn)類別中的每一種所測(cè)量出的所有銀行資產(chǎn)總和的百分比來衡量。這些類別包括：（1）證券和現(xiàn)金，（2）凈貸款，（3）固定資產(chǎn)，（4）對(duì)附屬公司的投資，(5)以及其他資產(chǎn)包括聯(lián)邦基金，證券回購，證券交易賬戶

39、持有的其他資產(chǎn)，對(duì)銀行承兌匯票客戶的責(zé)任。在交替的規(guī)格，貸款多樣化（LD）也包括在風(fēng)險(xiǎn)方程中。對(duì)于資產(chǎn)在貸款和其他資產(chǎn)種類多樣化給予的程度，銀行風(fēng)險(xiǎn)可能會(huì)影響在不同類型的貸款和明顯不同的到期日及主要數(shù)量這些方面的管理多樣化。貸款多樣化衡量與資產(chǎn)多元化衡量，他們都以每種銀行貸款在6種詳盡的貸款類別中的相對(duì)應(yīng)百分比的平方和來衡量確定。要考慮在不同類別貸款中不同的風(fēng)險(xiǎn)所占比例，各種各樣的貸款比例也包括在有多樣化變量的貸款方程中。</p&

40、gt;<p>　　地理多樣化（GD）和每個(gè)市場(chǎng)辦事處（OFFM）變量平均數(shù)亦包括在風(fēng)險(xiǎn)多樣化的更大的方程樣本單位，多局，多市場(chǎng)銀行中。地理多樣化變量測(cè)量是以銀行存款在每一個(gè)市場(chǎng)運(yùn)作相對(duì)應(yīng)的方塊總數(shù)中所占的百分比來衡量的。辦公室無論是分支機(jī)構(gòu)或者是獨(dú)立運(yùn)作的銀行機(jī)構(gòu)都包括在一家銀行控股公司。</p><p><b>　　3總結(jié)和結(jié)論</b></p><p>

41、;　　聯(lián)邦銀行監(jiān)管機(jī)構(gòu)最近根據(jù)那些持有較多風(fēng)險(xiǎn)資產(chǎn)的銀行應(yīng)該比那些持有較少風(fēng)險(xiǎn)資產(chǎn)的銀行儲(chǔ)存更多的資本這一前提下發(fā)布風(fēng)險(xiǎn)的資本指南。在這篇文章中，我們指出銀行資產(chǎn)的多樣化很可能會(huì)影響破產(chǎn)風(fēng)險(xiǎn)因此資產(chǎn)多樣化除了是指南很可能是一種有用的方針。在研究銀行破產(chǎn)的風(fēng)險(xiǎn)和資產(chǎn)多樣化的關(guān)系中，我們?cè)?979-86年使用了4751家銀行組織的數(shù)據(jù)，做了一個(gè)實(shí)證研究。</p><p>　　銀行風(fēng)險(xiǎn)度量（銀行破產(chǎn)概率的指標(biāo)）將被認(rèn)為

42、是銀行風(fēng)險(xiǎn)的主要因素，即利潤(rùn)水平和標(biāo)準(zhǔn)差和資本。銀行風(fēng)險(xiǎn)方程對(duì)兩個(gè)銀行破產(chǎn)的風(fēng)險(xiǎn)度量模型和對(duì)個(gè)人組成的銀行風(fēng)險(xiǎn)的措施進(jìn)行了估計(jì)。兩種樣本銀行的結(jié)果表明，在廣泛的資產(chǎn)類別中資產(chǎn)多樣化對(duì)減少銀行破產(chǎn)的風(fēng)險(xiǎn)，不斷持有各種不同種類資產(chǎn)的股票都是有效果的。當(dāng)一個(gè)多元化的貸款變量包括在風(fēng)險(xiǎn)方程中，那么它在銀行風(fēng)險(xiǎn)方面并無影響。最后，單個(gè)元件的風(fēng)險(xiǎn)措施測(cè)試表明反對(duì)力量正在發(fā)揮作用。資產(chǎn)多元化降低了利潤(rùn)的偏差標(biāo)準(zhǔn)，提高了利潤(rùn)水平，降低風(fēng)險(xiǎn)，但是另一方面

43、與降低資本資產(chǎn)相關(guān)聯(lián)，增加了風(fēng)險(xiǎn)。</p><p>　　這些結(jié)果表明，資產(chǎn)多樣化的措施可能對(duì)個(gè)別資產(chǎn)的風(fēng)險(xiǎn)評(píng)估是一種有益的補(bǔ)充，即最近頒布的以風(fēng)險(xiǎn)為基礎(chǔ)的資本準(zhǔn)則。更一般地說，一個(gè)公司參與熟悉的多樣化的投資活動(dòng)可以降低投資風(fēng)險(xiǎn)。至少對(duì)于傳統(tǒng)銀行的資產(chǎn)，現(xiàn)在看來，投資組合的效果與兼營不同的資產(chǎn)類別可能比規(guī)模管理相對(duì)不經(jīng)濟(jì)有關(guān)，與有效管理不同類型的資產(chǎn)是有困難的也有關(guān)。更深一層次的，金融機(jī)構(gòu)的地理區(qū)域多元化，可能比類