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List of Figures ix
List of Tables x
Preface xiii
Part I Overview 1
1 Basic Premises 3
1.1 Introduction 3
1.2 Risk-Return Tradeoffs 4
1.3 Why Financial Institutions Are Necessary 7
1.4 Competitive Markets and Impediments 8
1.5 Market Hierarchies 10
1.6 Uniqueness of a Bank 10
1.7 Risk Dimensions of the Banking Business 12
1.8 Conclusion 14
Part II Foundation 17
2 Globalization of Commercial Banking 19
2.1 Historical Background 19
2.2 Structure of an International Banking Organization 23
2.3 International Banking Activities 28
2.4 Globalization of Financial Markets 29
2.5 Conclusion 33
Appendix A: Foreign Exchange Rate Systems 34
Appendix B: European Union 37
Appendix C: Balance of Payment 40Appendix D: US Regulation for Foreign Banks 41
Appendix E: Deregulation, Globalization and Japanese Banking 42
3 Foreign Exchange Market Participation 47
3.1 Introduction 47
3.2 Institutional Background 48
3.3 Mechanics of Currency Quotes and Trading 49
3.4 Locational Arbitrage 56
3.5 Theories of the Foreign Exchange Market 59
3.6 Motivations of Participants in the Foreign Exchange Market 69
3.7 Risk-Return Tradeoffs in Foreign Exchange Transactions 76
3.8 Conclusion 76
4 Eurocurrency Market 80
4.1 Introduction 80
4.2 Development of the Eurocurrency Market 81
4.3 Eurocurrency Centers 87
4.4 Eurocurrency Interest Rates 88
4.5 Activities in the Eurocurrency Market 92
4.6 Eurocredits and Investments 97
4.7 Conclusion 106
5 Futures and Options in Currency and Interest Rate Markets 110
5.1 Introduction 110
5.2 Forward and Futures Contracts 111
5.3 Functions of Futures Contracts 114
5.4 Option Markets 124
5.5 Option on Futures/Forward Contracts 134
5.6 Conclusion 136
Appendix F: Derivation of the Futures Price Under Risk Neutrality 139
Appendix G: Derivation of the Optimal Hedge Ratio 141
Appendix H: Derivation of the Price Sensitivity Ratio 141
Part III Applications 143
6 Swaps and Other Derivative Instruments 145
6.1 Introduction 145
6.2 Swap Market 146
6.3 Other Derivative Instruments 162
6.4 Credit Derivatives 170
6.5 Conclusion7 International Credit Function for Private Business 176
7.1 Introduction 176
7.2 Cross-border Trade Transaction and its Financing 177
7.3 Trade-related Financing and Risk Insurance 182
7.4 Countertrade 187
7.5 Banking Services and Multinational Corporations 191
7.6 Special Financing Needs of Customers 192
7.7 Conclusion 199
Appendix I: Private Credit (Loan) Analysis 201
8 Sovereign Risk Analysis 206
8.1 Introduction 206
8.2 Traditional Country Risk Analysis 207
8.3 Portfolio Approach 212
8.4 Debt Crisis Management in the 1980s 214
8.5 The Debt Crisis of the 1980s 221
8.6 Recent Financial Crises since 1990 224
8.7 Conclusion 244
Appendix J: Chronology of the Asian Financial Crisis 246
9 Asset and Liability Management 249
9.1 Introduction 249
9.2 Interest Risk Measurement 250
9.3 Foreign Exchange and Gap Management 257
9.4 Convexity 259
9.5 Managing Interest Rate Risk 261
9.6 Conclusion 272
Appendix K: Hedging Rule for a Bank Facing a Parallel Shift in
Term Structure 275
Appendix L: Derivation of the Duration Immunization Rule for a
Bank Facing a Non-Parallel Shift in Term Structure 276
Part IV: Trends and Future Directions 279
10 Capital Adequacy 281
10.1 Introduction 281
10.2 The Key Role of Capital 283
10.3 Development of Capital-based Regulation: Background 284
10.4 Development of Capital Requirement in the USA 285
10.5 Modifications in the Basel Standards 297
10.6 Conclusion 301
CONTENTS vii11 Toward Investment Banking Activities 305
11.1 Introduction 305
11.2 Historical Background 306
11.3 Major Investment Banking Activities 310
11.4 Scope of Activities by Commercial and Investment Banks 316
11.5 Mergers of Commercial and Investment Banks 322
11.6 Capital Adequacy Regulations for Investment Banks 328
11.7 Challenges and Opportunities 329
11.8 Conclusion 330
12 Bank Strategy 333
12.1 Introduction 333
12.2 Changes in External Environments:The International Dimension 334
12.3 Changes in External Environments:The Internet 340
12.4 Strategic Considerations: Activities and Resources 343
12.5 Conclusion 346
Appendix M: Cost Analysis for Internet Transactions 347
Glossary 350
References and Further Reading 367
Index
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