Год выпуска: 2009
Язык книги: Английский
Формат: PDF
Издательство: Cambridge University Press
ISBN: 978-0-511-59040-5
Качество: eBook (изначально компьютерное)
Количество страниц: 382
Как могло так случиться, что проблемы в одном относительно небольшом секторе мировой финансовой системы - американском ипотечном рынке сегмента "sub-prime" - привели к наиболее серьезному экономическому кризису в истории? Алистер Милн распутывает нити сложного мира современного банковского дела и рассматривает возможные пути решения кризиса. Он показывает, как банки злоупотребляли своей возможностью секьюритизировать кредиты путем заимствований на короткий срок и кредитования на длинный (borrowing short and lending long), что подвергло их необычайному риску, когда стоимость активов начала падать. Но прежде всего утрата взаимодоверия и уверенности, а не плохие кредитные решения, разжигала кризисные явления. Несмотря на все разговоры о "токсичных" активах, в книге приводятся доводы, что большинство активов являются доброкачественными и подлежат восстановлению. Но сперва совместными действиями нужно восстановить уверенность/взаимодоверие (включая покупку активов, предоставление гарантий и рекапитализацию). В противном случае, налогоплательщики будут нести критическое налоговое бремя еще много поколений.
Отзывы о книге:
"The Fall of the House of Credit is a horror story, worthy of Poe, about the origins and impact of our ongoing financial and economic nightmare. A very easy and highly insightful read, for both layman and professional, the House of Credit offers a way out of our deep financial pit that's novel and that may actually work!" - Laurence J. Kotlikoff, Boston University
"This book is most welcome: among the crowd of Cassandras, it gives an optimistic, contrarian view of the crisis. Maybe after all the financial system is not so corrupt and dysfunctional. Alistair Milne gives very precise arguments to sustain his views that unreasonable pessimism has followed a long period of 'irrational exuberance'. One may disagree with some of the views defended in this excellent book, but the conclusion that public authorities have a fundamental role to play in restoring confidence should be unanimously accepted." - Jean-Charles Rochet, Toulouse School of Economics
"An important alternative perspective on the subject, and an excellent explanation of the issue too. Very good indeed." - Evan Davis, broadcaster and economics commentator
"This book explains in clear terms how and why the banking crisis that is dragging the World's economy happened. Milne's argument that psychology, culture and herd behaviour contributed first to the bubble, then to the bust is a powerful one, rooted in the tradition of Kindleberger and Minsky. The author proposes a return to the basics of credit - rooted in the latin word 'credere' - which implies a restoration of trust in banks and confidence in credit instruments. The book is written for a general audience, and the straightforward language and reasoning are a refreshing change from the complexity in the design of structured credit instruments and the models upon which they were constructed, that proved so ill suited to indentifying and managing systemic risk." - Professor Rosa María Lastra, Professor of International and Monetary Law, Centre for Commercial Law Studies, Queen Mary University of London
"Alistair Milne's take on the US credit crunch is a haunting twenty-first century saga of silent bank runs on shadow banks. There may be no great villains or heroes in this tale, where securities markets go into deep freeze and a reluctant Lender of Last Resort has to carry the whole inter-bank market on its shoulders! But it offers a persuasive account of how innovative banking can go off the rails." - Marcus Miller, University of Warwick
"If you want a serious, clear and authoritative guide to the crisis, this book is as good as it gets. Milne writes extremely well, both in his prose style and in his clarity of exposition of complex issues [...]. The author not only knows his CDO from his ABS but can ensure that you will too. He moves comfortably between macroeconomic issues of global imbalance and the microeconomics of securitisation, regulation and risk management within the financial system." - John Kay, Management Today  

Contents

List of figures x

List of tables xi

List of boxes xii

Acknowledgements xiii

Introduction 1

1 Where did all the money go? An analysis of the causes

and cure of the current global banking crisis 24

Presents the argument of the book, that a policy of holding safe but illiquid long-term structured credit securities, financed using short-term borrowing, created a bank funding crisis that was the principal mechanism creating the credit crisis. Presents a key Figure 1.1, which illustrates this new feedback loop in wholesale funding markets that makes this crisis different from any others. Compares other analyses of the crisis and argues that it can be addressed through a policy of taxpayers providing insurance against extreme systemic credit losses. Considers some practical details.

2 Build-up, meltdown and intervention 50

The macroeconomics of the story and the role of banks in recycling global savings. The threat of a massive global economic downturn if this recycling is not maintained. An overview of bank involvement in the structured credit markets. An estimate of the amount of exposure and some projections of prospective losses, distinguishing permanent credit impairment from short-term liquidity losses. An overview of actions taken by policymakers.

3 We have been here before, haven't we? 83

A brief comparison of this crisis with Scandinavia, Japan and the Asian crises of 1997, Latin American lending and some other examples of financial panics.

4 A basic funding tool - the tranched mortgage-backed security 118

Explains the mechanics of the tranched mortgage-backed security and similar instruments. Compares them with corporate bonds. Shows how tranching is used to concentrate the risk, creating a large amount of default-risk-free paper. Looks at how Countrywide used these securities to fund its lending and at one particular sub-prime securitization in detail.

5 Using tranching to make short-term transaction profits 143

Examines how the basic structure was used for very different purposes, for short-term transaction deals backed by high-yield but high-risk portfolios. How these deals work well in an upturn but are no longer attractive in a downturn. Explains CDO, CLO and so on, including more suspect complex deals. Looks at one particular CLO. Quantifies both where the money went and discusses who was holding it.

6 Borrowing short and lending long: the illusion of

liquidity in structured credit 170

Describes the fundamental failing of the new credit markets, the failure to sell the new credit instruments to long-term investors and the decision instead by banks to hold them as 'trading instruments' financed with short-term borrowing. Looks at the use of off balance sheet vehicles such as conduits and SIVs, noting that they provided only a proportion of the short-term financing, repo being much more widely used.

7 The levees break 195

A narrative of the first phases, from late 2006 until the rescue of Northern Rock. Documents the worldwide

impact of the initial losses on US sub-prime. Structured credit markets became illiquid, resulting in write-offs of many bank portfolios. The disruption of money markets and global impact.

8 The flood of losses 220

The narrative continued, up to the failure of AIG. A series of case studies both discusses the major losses experienced by many individual institutions (UBS, Merrill, Citigroup, Fannie and Freddie, AIG) and provides an overview of losses across the banking sector. Discusses also many of the knock-on effects on monolines and municipal bond markets.

9 Central banks and money markets 257

Goes into the details of central bank monetary and liquidity operations, pointing out the limitations of central bank liquidity provision. Explains how banks use money markets to raise short-term funding. Compares orthodox and unorthodox approaches to monetary policy. Notes that there are substantial limits on the ability of central banks to provide commercial banks with new funds for lending.

10  The run on the world's banks 285

The failure of Lehman and the four-week run on the global banking system and government rescues that followed. An assessment of the policy measures taken, showing how they are moving in the direction of taxpayer provision of long-term systemic risk insurance.

Conclusions: repairing the house of credit 314

Explains how a global slump can be avoided and briefly considers longer-term measures to restore global prosperity.

Glossary 341 Index 357