银行管理学全套配套课件 ch20.ppt

《银行管理学全套配套课件 ch20.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、ACTIVEINVESTMENTSTRATEGIESChapter20BankManagement,5thedition.TimothyW.KochandS.ScottMacDonaldCopyright©2003bySouth-Western,adivisionofThomsonLearningUnlikeloansanddeposits,whichhavenegotiatedterms,bankinvestmentsgenerallyrepresentimpersonalfinancialinstruments.Assuch,portfoliomanagerscanbuyorse

2、llsecuritiesatthemargintoachieveaggregateriskandreturnobjectiveswithouttheworryofadverselyaffectinglong-termdepositororborrowerrelationships.Investmentstrategiescansubsequentlyplayanintegralroleinmeetingoverallassetandliabilitymanagementgoalsregardinginterestraterisk,liquidityrisk,creditrisk,the

3、bank’staxposition,expectednetincome,andcapitaladequacy.Unfortunately,notallbanksviewtheirsecuritiesportfolioinlightoftheseopportunities.Manysmallerbankspassivelymanagetheirportfoliosusingsimplebuyandholdstrategies.Thepurportedadvantagesarethatsuchapolicyrequireslimitedinvestmentexpertiseandvirtu

4、allynomanagementtime,lowerstransactioncosts,andprovidesforpredictableliquidity.Regulatorsreinforcethisapproachbyemphasizingtheriskfeaturesofinvestmentsandnotavailablereturns.Forexample,theComptroller’sHandbookstatesthat“theinvestmentaccountisprimarilyasecondaryreserveforliquidityratherthanavehic

5、letogeneratespeculativeprofits.Speculationinmarginalsecuritiestogeneratemorefavorableyieldsisanunsoundbankingpractice.”Thematurityordurationchoiceforlong-termsecuritiesTheoptimalmaturityordurationispossiblythemostdifficultchoicefacingportfoliomanagers.Itisverydifficulttooutperformthemarketwhenf

6、orecastinginterestrates.Somemanagersjustifypassivebuyandholdstrategiesbecauseofalackoftimeandexpertise.Othermanagersactivelytradesecuritiesinanattempttoearnaboveaveragereturns.PassivematuritystrategiesLaddered(orstaggered)maturitystrategymanagementinitiallyspecifiesamaximumacceptablematurityands

7、ecuritiesareevenlyspacedthroughoutmaturitysecuritiesarehelduntilmaturitytoearnthefixedreturnsBarbellmaturitystrategydifferentiatesinvestmentsbetweenthosepurchasedforliquidityandthoseforincomeshorttermsecuritiesareheldforliqu