مدیریت ریسک، ساختار سرمایه و اعطای وام در بانک ها

We test how active management of bank credit risk exposure through the loan sales market affects capital structure, lending, profits, and risk. We find that banks that rebalance their loan portfolio exposures by both buying and selling loans – that is, banks that use the loan sales market for risk management purposes rather than to alter their holdings of loans – hold less capital than other banks; they also make more risky loans (loans to businesses) as a percentage of total assets than other banks. Holding size, leverage and lending activities constant, banks active in the loan sales market have lower risk and higher profits than other banks. Our results suggest that banks that improve their ability to manage credit risk may operate with greater leverage and may lend more of their assets to risky borrowers. Thus, the benefits of advances in risk management in banking may be greater credit availability, rather than reduced risk in the banking system.

It is difficult to imagine another sector of the economy where as many risks are managed jointly as in banking. By its very nature, banking is an attempt to manage multiple and seemingly opposing needs. Banks stand ready to provide liquidity on demand to depositors through the checking account and to extend credit as well as liquidity to their borrowers through lines of credit (Kashyap et al., 2002). Because of these fundamental roles, banks have always been concerned with both solvency and liquidity. Traditionally, banks held capital as a buffer against insolvency, and they held liquid assets – cash and securities – to guard against unexpected withdrawals by depositors or draw downs by borrowers (Saidenberg and Strahan, 1999). In recent years, risk management at banks has come under increasing scrutiny. Banks and bank consultants have attempted to sell sophisticated credit risk management systems that can account for borrower risk (e.g. rating), and, perhaps more important, the risk-reducing benefits of diversification across borrowers in a large portfolio. Regulators have even begun to consider using banks’ internal credit models to devise capital adequacy standards. Why do banks bother? In a Modigliani–Miller world, firms generally should not waste resources managing risks because shareholders can do so more efficiently by holding a well-diversified portfolio. Banks (intermediaries) would not exist in such a world, however. Financial market frictions such as moral hazard and adverse selection problems require banks to invest in private information that makes bank loans illiquid (Diamond, 1984). Because these loans are illiquid and thus costly to trade, and because bank failure itself is costly when their loans incorporate private information, banks have an incentive to avoid failure through a variety of means, including holding a capital buffer of sufficient size, holding enough liquid assets, and engaging in risk management. Froot et al. (1993) and Froot and Stein (1998) present a rigorous theoretical analysis of how these frictions can affect non-financial firms’ investment as well as banks’ lending and risk-taking decisions. According to their model, active risk management can allow banks to hold less capital and to invest more aggressively in risky and illiquid loans. In this paper, we test how access to the loan sales market affects bank capital structure and lending decisions. Hedging activities in the form of derivatives trading and swap activities – activities that allow firms to manage their market risks – have been shown to influence firm performance and risk (e.g. Brewer et al., 2000). Our approach is to test whether banks that are better able to trade credit risks in the loan sales market experience significant benefits. We find clear evidence that they do. In particular, banks that purchase and sell their loans – our proxy for banks that use the loan sales market to engage in credit-risk management – hold a lower level of capital per dollar of risky assets than banks not engaged in loan buying or selling. Moreover, banks that are on both sides of the loan sales market also hold less capital than either banks that only sell loans but do not buy them, or banks that only buy loans but do not sell them. This difference is important because it suggests that active rebalancing of credit risk – buying and selling rather than just selling (or buying) – allows banks to alter their capital structure. Our key results are therefore not driven by reverse causality whereby banks looking to increase their capital ratios go out and sell loans. We also find that banks that rebalance through loan sales and purchases hold lower levels of liquid assets (as a percentage of the whole balance sheet) relative to most other banks, although there is no statistically significant difference in the liquidity ratios between the buy-and-sell banks and the banks that just sell loans. These same findings are also evident within the set of buy-and-sell banks – among these banks, a greater gross flow of loan sales and purchase activity is negatively related to capital and liquid assets. Consistent with Froot and Stein (1998), we also find that credit risk management through active loan purchase and sales activity affects banks’ investments in risky loans. Banks that purchase and sell loans hold more risky loans (C&I loans and commercial real estate loans) as a percentage of the balance sheet than other banks.2 Again, these results are especially striking because banks that manage their credit risk (buy-and-sell loans) hold more risky loans than banks that merely sell loans (but do not buy them) or banks that merely buy loans (but do not sell them). In our last set of results, we test whether loan sales activity leads to lower risk and higher profits and risk-adjusted profits. We find that the buy-and-sell banks do display significantly lower risk and higher profit than banks doing similar activities that do not use loan sales to manage their credit risk. However, while risk-managing banks do have less risk and more profit than banks engaged in similar activities that do not manage credit risk via the loan sales market, the risk managing banks do not have lower risk than other banks unconditionally. That is, when compared to banks overall, the buy–sell banks appear no safer and, perhaps, somewhat riskier; but when compared to their peers, banks with similar operating and financial ratios, the buy–sell banks exhibit significantly lower risk. Together with the results on capital structure and lending, these results suggest that banks take advantage of the risk-reducing benefits of risk management through loan sales by adopting more profitable, but higher risk, activities and by operating with greater financial leverage. While our results are based on data from the late 1980s and early 1990s, they may have implications not only for how banks have managed their credit risk in the past, but also for how policy makers ought to view these efforts in designing regulations. In particular, one of the aims of the recently proposed revisions to the 1988 Basel Capital Accord is to create incentives for banks to engage in more active and sophisticated risk management by offering a range of risk-based capital adequacy rules. The proposal states that “For credit risk, this range (of capital adequacy rules) begins with the standardized approach and extends to the “foundation” and “advanced” internal-ratings based approaches … This evolutionary approach will motivate banks to continuously improve their risk management and measurement capabilities so as to avail themselves of the more risk-sensitive methodologies and thus more accurate capital requirements” (Bank of International Settlement, 2001). While we agree with the idea of creating incentives for banks to improve their risk management systems, our results suggest that regulators should not expect better risk management to lead automatically to less risk. Instead, our results suggest that banks that enhance their ability to manage credit risk may operate with greater leverage and may lend more of their assets to risky borrowers. Thus, the benefits of advances in risk management in banking may be greater credit availability rather than reduced risk in the banking system. In Section 2, we discuss previous studies of risk management and firm investment. We then explain our empirical methods and results in Section 3. We conclude in Section 4 with implications for the likely effects of recent innovations in bank risk management for the availability of bank credit.

We have long been intrigued by the mechanisms through which banks seem to cater to many and opposing needs. Liquidity, profitability, and solvency goals seem to cross paths and by and large contradict one another. The extant empirical literature for non-financial firms indicates that active risk management through both internal capital markets (e.g. scale and diversification) and through active engagement in the external capital markets (e.g. active use of derivatives) provide ways to manage liquidity and cash flow and achieve higher investment. We have considered the case of the loan sales market as one tool (that we can measure empirically) which banks use to align their risk management, lending and capital structure goals. The focus in the banking literature has been on how banks use their internal capital markets. Our results support these studies, since we find that bigger banks affiliated with multi-bank BHCs enjoy lower capital ratios and higher lending. We extend these results by showing that access to and aggressive use of an external loan sales market to manage credit risk leads to the same effects. Loan sales activity allows a bank to hold less capital, invest less in low-yield, high-liquidity assets, while at the same time increase its holdings of higher-risk, higher-return assets. The relationship between risk and loan sales activity suggests that these moves toward higher risk activities do not, in fact, result in higher risk. It seems that the risk-reducing benefits of engagement in the loan sales market are, in effect, spent by banks on higher risk activities. The motivation for these changes in capital structure and lending practices is profit – we find that profits are higher at banks that buy-and-sell loans. We conclude that the banks that engage in both buying and selling of loans may be better able to take advantage of positive net-present-value investment opportunities, as they are able to increase their C&I and commercial real estate loans and are better able to manage with less liquidity and less capital. The buying and selling of loans at the same time seems to allow banks to be more flexible and more aggressive. The flexibility reduces the burden of carrying more capital, and lower yield higher liquidity assets; and the aggressiveness allows them to increase their higher risk and higher yield assets. In recent years, we have seen banks trade credit risks using credit derivatives, and we have seen the emergence of sophisticated credit risk measurement systems that take account of correlations across borrowers in different industries, countries and market segments. Regulators have decided that such innovations ought to be encouraged and even used to help determine capital adequacy standards. Our look at how banks have used the loan sales market in the past suggests that developments in risk management are healthy ones that may increase the availability of bank credit, although we caution that our results suggest that regulators ought not expect banks to use these technologies to reduce risk.