Essays in bank risk management.

摘要

This paper considers two issues in bank risk management. The first chapter explores a game in which a bank faces a minimum deposit cost and uses a costly, private credit test to search for a loan (asset) of high quality. Search and limited liability create a moral hazard problem between the bank and its depositors. The ability of simple, fixed-rate deposit contracts to provide incentive for the bank to search appropriately (from a depositor's point of view) is analyzed. In addition, two contract refinements, a form of capital requirement and monitoring of the bank's loan after it has been made, are studied. The former cannot improve on the fixed-rate contract, while the latter's effectiveness is dependent on the cost of monitoring.;In essence, this first chapter demonstrates that the process by which information is produced affects its use. As a bank both produces and uses information, this result has implications for a bank's owners, regulators, and customers. If bank regulation is to be effective and efficient, then it must consider the particular technology that a bank uses to make credit decisions.;The second chapter involves measurement of interest-rate risk. It details a state-contingent claims technique for valuing bank assets and liabilities whose cashflows depend, in a variety of ways, on the level of interest-rates. Some of these securities, including floating-rate notes and swap agreements, contractually base cashflows on current and past interest-rates and contain caps, floors, and other, more complex features. Others, including mortgages and time deposits, are fixed-rate instruments that contain embedded options. The exercise of these options causes cashflows to vary as time proceeds and interest-rates rise or fall. The pricing technique is derived from the option-based model of Breeden and Litzenberger using the transition matrix approach of Banz and Miller. Particular attention is paid to valuing so called "path-dependent" securities whose cashflows depend on the historical path of interest-rates as well as their current level. Examples from both sides of the balance sheet are provided.