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中國資產管理研究中心論文推送-508-系統性風險與內生性違約損失

中國資產管理研究中心2020-02-03 08:22:07

系統性風險與內生性違約損失

JOURNAL OF EMPIRICAL FINANCE, VOL44, DECEMBER 2017



作者:Pieter IJtsma (University of Groningen), Laura Spierdijk (University of Groningen)

摘要:當許多金融機構同時破產時,系統中的其余機構不太可能有足夠的流動性來收購所有破產機構。因此,一些資產必須被清算并以“甩賣價”賣給外部人員,這使得破產機構債權人潛在的高額違約損失(LGDs)上升。本文研究分析了這種甩賣機制對系統性風險的影響。我們的研究結果表明,當不考慮甩賣的潛在可能性以及帶來的LGDs的內生性時,系統性風險很可能被嚴重低估。負偏差的大小也隨資產收益率相關性、銀行回報率波動性、銀行貸款資產專用性程度以及銀行業集中度等因素的增加而增加。分析表明,隨時間變化的流動性要求是減少甩賣潛在風險,從而降低系統風險的有效途徑。

關鍵詞:金融穩定性,系統性風險,甩賣

Systemic Risk with Endogenous Loss Given Default

Pieter IJtsma (University of Groningen), Laura Spierdijk (University of Groningen)

ABSTRACT

When many financial institutions fail simultaneously, the remaining institutions in the system are unlikely to have sufficient liquidity to acquire all failed institutions. As a result, some assets will have to be liquidated and sold to outsiders at firesale prices, giving rise to a potentially high losses given default (LGDs) for creditors of failed institutions. This study analyzes the consequences of this firesale mechanism for systemic risk. Our findings suggest that systemic risk is likely to be heavily underestimated when the potential for firesales, and thereby the endogenous nature of LGDs, is not taken into account. The magnitude of the negative bias increases with asset return correlations, banks’ return variability, the degree of asset specificity of bank loans and the degree of concentration in the banking sector. The analysis suggests that time-varying liquidity requirements are an effective way to reduce the potential for firesales and thereby lower systemic risk.

Keywords:?Financial Stability, Systemic Risk, Firesales


翻譯:王秭越



中央財經大學中國資產管理研究中心
????????中央財經大學中國資產管理研究中心依托于中央財經大學金融學院成立,中心致力于針對中國資產管理市場實踐的獨立學術研究,為中國資產市場發展提供基于學術研究的政策建議,為中國資產管理機構提供咨詢服務。“以學術服務市場,以市場檢驗學術”,努力打造成在中國資產管理市場中具有一定影響力的智庫。









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