Other reserves 6894 Revenue reserves 19840 SHAREHOLDERS

Other reserves 6894 revenue reserves 19840

This preview shows page 54 - 70 out of 76 pages.

Other reserves 6,894 6,492 1.6% 1.6% Revenue reserves 19,840 17,262 4.5% 4.3% SHAREHOLDERS’ FUNDS 37,708 34,233 8.6% 8.5% Non-controlling interests 2,498 3,453 0.6% 0.9% TOTAL EQUITY 40,206 37,686 9.1% 9.4% Anand Srinivasan, Department of Finance 54
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ROE 10.75% ROA 0.99% Expense Ratio 1.81% Interest expense Ratio 0.62% Non-interest expense ratio 1.03% Provision for loan losses 0.16% Tax Ratio 0.17% Asset Utilization 2.97% Interest Income Ratio 2.12% Non Interest Income ratio 0.85% EM 10.82 Anand Srinivasan, Department of Finance 55
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Maximizing the Market Value of Bank Equity Effective Management of: Assets Liabilities Off-Balance Sheet Activities Interest Rate Margin Credit risk Liquidity Non-Interest Expense Taxes Anand Srinivasan, Department of Finance 56
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Maximizing the Market Value of Bank Equity CAMELS Ratings Capital Adequacy Asset Quality Management Quality Earnings Liquidity Sensitivity to Market Risk Anand Srinivasan, Department of Finance 57
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Maximizing the Market Value of Bank Equity CAMELS Ratings Ratings from 1 (best) to 5 (worst) 1 & 2 Sound banks 3 Some underlying problems 4 & 5 Problem banks Anand Srinivasan, Department of Finance 58
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Managing Risks and Returns Risk Management Credit Risk Liquidity Risk Market Risk Operational Risk Reputation Risk Legal Risk Anand Srinivasan, Department of Finance 59
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Anand Srinivasan, Department of Finance 60 Credit Risk
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Anand Srinivasan, Department of Finance 61 Credit Risk
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Anand Srinivasan, Department of Finance 62 Credit Risk
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Anand Srinivasan, Department of Finance 63 Credit Risk
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Anand Srinivasan, Department of Finance 64 Credit Risk
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Anand Srinivasan, Department of Finance 65 Credit Risk Maximum exposure to Credit Risk not taking in account collateral, netting and credit enhancements.
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Anand Srinivasan, Department of Finance 66 Market Risk Measures used: VAR (Value at Risk) and Tail VAR VAR: Value at Risk (VaR) is a measure of the risk of investments. It estimates how much a set of investments might lose, given normal market conditions, in a set time period such as a day. if a portfolio of assets has a one-day 5% VaR of $1 million, that means that there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one day period. Source: Wikipedia
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Anand Srinivasan, Department of Finance 67 Market Risk Tail value at risk ( TVaR ), also known as tail conditional expectation ( TCE ) or conditional tail expectation ( CTE ), is a risk measure associated with the more general value at risk . It quantifies the expected value of the loss given that an event outside a given probability level has occurred. In the previous example, Tail VAR is a measure of expected losses when the market has moved such that the bank has losses over $ 1 million Source: Wikipedia
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Anand Srinivasan, Department of Finance 68
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Anand Srinivasan, Department of Finance 69 Market risk DBS: Market risk measured using VAR and Tail VAR over 1 day horizon, and with a 95% confidence interval.
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