Portfolio valuation in banks

ADMINISTRAÇÃO CONTÁBIL E FINANCEIRA

Portfolio valuation in banks

David F. Hastings

Professor of the Accounting, Finance and Control Department at FGV/EAESP and Executive Coordinator of the Center for Excelence in Banking at FGV/EAESP. E-mail: [e-mail]

RESUMO

Encontram-se, com freqüência, referências ao uso de taxas de spread por carteira na gestão de riscos financeiros em bancos, mas são muito raras referências a procedimentos para determinar tais taxas. O propósito deste artigo é apresentar algumas idéias iniciais sobre o assunto: um sistema de Funding Padrão indica o quanto cada carteira deveria ter ganhado, enquanto um sistema de Funding Efetivo aponta o ganho efetivo de cada carteira; adicionalmente, a comparação entre os resultados dos dois sistemas de funding, para cada carteira, permite determinar o que cada carteira ganhou (ou perdeu) em termos de arbitragem.

Palavras-chave: Valoração de carteiras, gestão bancária, risco financeiro, taxas de spread, taxas de transferência.

ABSTRACT

Frequent references are made to the use of portfolio spread rates in managing financial risks in banks, but indications as to the procedures for determining such rates are very scant.The purpose of this article is to present some initial ideas on the subject: a Standard Funding system indicates what each portfolio should have earned, while an Actual Funding system points out what each portfolio did, in fact, earn; additionally, by comparing the outcomes of the two funding systems for each portfolio, it is possible to determine what each portfolio earned (or lost) in the way of arbitrage.

Key words: Portfolio valuation, bank management, financial risk, spread rates, transference rates.

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NOTES

1. Or, in other words, valuation in banks would be the same as in any other area, and the b factor (as in CAPM, for instance) would indicate the difference in rates, from deposits to loans, needed to offset such risks and generate profit.

2. KOCH, Timothy W. Bank management, Dryden, 1995, SAUNDERS, Anthony. Financial institutions management - a modern perspective. Irwin, 1997, and SINKEY JR., Joseph F. Commercial bank financial management. MacMillan, 1992, are outstanding examples of such references.

3. I must admit that, in using Demand Deposits as an illustration, I deliberately chose to “play with marked cards”. Despite this undeniable fact, I am confident that the illustration points out the equally undeniable fact that the WACF, WAYF, and Market Standard Rate procedures are subject to serious distortions.

Publication Dates

• Publication in this collection
  19 Sept 2011
• Date of issue
  Mar 2001