Credit risk transfer activities and systemic risk: How banks became less risky individually but posed greater risks to the financial system at the same time

A main cause of the crisis of 2007-2009 is the various ways through which banks have transferred credit risk in the financial system. We study the systematic risk of banks before the crisis, using two samples of banks respectively trading Credit Default Swaps (CDS) and issuing Collateralized Loan Obligations (CLOs). After their first usage of either risk transfer method, the share price beta of these banks increases significantly. This suggests the market anticipated the risks arising from these methods, long before the crisis. We additionally separate this beta effect into a volatility and a market correlation component. Quite strikingly, this decomposition shows that the increase in the beta is solely due to an increase in banks’ correlations. Thus, while banks may have shed their individual credit risk, they actually posed greater systemic risk. This creates a challenge for financial regulation, which has typically focused on individual institutions.     

KMV模型在我国商业银行信用风险管理中的适用性分析及实证检验

在介绍 KMV 模型、Credit Metrics 模型、Credit Risk+模型和 Credit Portfolio View 模型这四种国际流行的信用风险管理方法的基础上,基于定性和定量分析相结合,对这四种信用风险管理方法进行比较分析,认为 KMV 模型最适合我国目前的国情。以2013年45家 ST 公司和与之配对的45家非 ST 公司以及2014年20家 ST 公司和与之配对的20家非 ST 公司为样本,对样本的违约距离进行实证检验。实证结果表明 KMV 模型基本上能够识别上市公司的信用状况,但是也有一些企业的违约距离不符合实际情况,这也说明该模型在我国商业银行信用风险度量中的识别能力有限,究其原因可能与该模型所要求的一些假设条件在我国尚不能得到有效满足等因素有关。因此,我国商业银行在对债务企业进行信用评价时,综合利用KMV 模型与债务公司的财务数据会使信用风险的度量结果更加可靠。     

How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR

Value at Risk (VaR) and stressed value at Risk (SVaR) or expected shortfall are important risk measures widely used in the financial services industry for risk management and market risk capital computation. Fundamental to any (S)VaR model is the choice of the return type model for each risk factor. Because the resulting SVaR numbers are highly sensitive to the chosen return type model it is important to make a prudent choice on the return type modelling. We propose to estimate the return type model from historic data without making an a priori model assumption on the return model. We explain the fundamentals of return type modelling and how it impacts the magnitude of SVaR. We further show how to obtain a global return type model from a set of similar return type models by using geometric calculus. Numerical simulations and illustrations are provided. In this paper, we consider interest rate data, but the proposed methodology is general and can be applied to any other asset class such as inflation, credit spread, equity or fx.     

VaR与CVaR在商业银行风险度量中的比较分析及应用

本文系统地阐述了时下银行流行的VaR(ValueatRisk)风险度量技术,并分析了该理论存在的缺陷和使用上的局限性,从而提出以CVaR(ConditionalValueatRisk)模型作为风险度量的替代方法,详细分析了CVaR的原理、特长以及在银行业应用前景,包括风险度量、绩效分析和行为指引等方面的突出作用。最后研究了CVaR在我国商业银行的具体应用。     

Contagion risk in the Australian banking and property sectors

The Australian banking system emerged from the global crisis virtually unhurt, with most banks still profitable, adequately capitalized, and with AA credit ratings. Are there any risks or vulnerabilities in this success story? This paper analyzes Australia’s systemic banking risk and attempts to determine if this risk increased with the recent global crisis and whether this risk is related to the downturn experienced in the real estate market. We use extreme value theory to measure banks’ and property firms’ univariate Value at Risk, as well as multivariate intra-sector and inter-sector contagion risks. Of the 13 sectors analyzed, we find that the property sector exhibits the highest level of extremal dependence with the banking sector. The credit crisis significantly increased the probability of a bank or property firm crashing. Moreover, contagion risks significantly increased not only within the banking and property sectors, but also between those sectors.     

发展信用衍生产品 完善风险分担机制

完善信用风险分担机制,发展信用衍生产品,对增强我国商业银行经营的稳健性和促进直接融资市场发展部具有积极意义。当前我国发展信用衍生产品的基础性条件已基本具备,应逐步建立和完善市场的信用风险分担机制,更好地满足市场对于信用风险分散和转移的需求。     

Economic value,competition and financial distress in the European banking system

In this paper we examine the impact of a large number of factors at the bank level (liquidity and credit risks, asset size, income diversification and market power), at the industry level (banking concentration) and macro-level (real GDP growth) on bank financial distress using an unbalanced panel of 308 European commercial banks between 1996 and 2009. The observations falling below a given threshold of the empirical distribution of the Shareholder Value Ratio proxy bank financial distress. We employ a panel probit regression and, given the presence of overlapping data giving rise to residual autocorrelation, we use the Bertschek and Lechner (1998) robust estimator of the covariance matrix of parameters. We show that credit risk, liquidity risk and bank market power are the most influential determinants of distressed Shareholder Value Ratio. Finally we evaluate the model out-sample forecasting performance over the 2008–2009 crisis period.     

基于RBF网络的商业银行信用风险控制研究

对信用风险的有效控制与管理,在现代商业银行日常运行过程中具有举足轻重的地位。基于信用风险系统是一个高度复杂的非线性动态系统,利用神经网络的自适应学习、并行分布处理和较强的鲁棒性及容错性等特性,建立基于RBF神经网络的信用风险预测控制模型,从理论上探寻信用风险非线性智能控制。仿真试验表明,信用风险度能被控制在以最佳风险度为中心的一定范围内。因此,该预测控制系统适合于商业银行信用风险的控制。     

构建工商银行先进信贷风险文化研究

风险管理是商业银行经营管理的核心,先进的信贷风险文化是成功管理信贷风险的基础。目前工商银行正处于风险管理革命与产权革命并存的关键时期,提升工商银行的核心竞争力,构建有效兼顾业务发展与风险控制的先进信贷风险文化显得尤为重要。本文运用现代管理学和金融工程学理论,从打造工商银行核心竞争力的现实要求出发,借鉴国内外银行经验,结合工商银行信贷经营实践,阐述了信贷文化与风险管理的辩证关系,并从精神、制度、行为和物质等四个层面勾画了构建工商银行先进信贷风险文化的路线图。     

发展我国信用衍生品市场有待解决的几个问题

《银行间市场信用风险缓释工具试点业务指引》的发布,标志着中国版的信用违约互换——信用风险缓释工具试点业务的正式启动,彰显我国坚持金融创新和继续发展资本市场的决心。下一步,需通过创造良好的监管环境、引导市场参与者正确认识信用衍生品、建立和完善社会信用机制、促进市场参与者多样化等途径,推进我国信用衍生品市场的健康有序发展。     

Do Federal Home Loan Bank membership and advances increase bank risk-taking?

Since the early 1990s, commercial banks have turned to Federal Home Loan Bank (FHLBank) advances to plug the gap between loan and deposit growth. Is this trend worrisome? On the one hand, advances implicitly encourage risk by insulating borrowers from market discipline. On the other, advances give borrowers greater flexibility to managing interest rate and liquidity risk. And access to FHLBank funding encourages members to reshape their balance sheets in ways that could lower credit risk. Using quarterly financial and supervisory data for banks from 1992 to 2005, we assess the effect of FHLBank membership and advances on risk. The evidence suggests liquidity and leverage risks rose modestly, but interest-rate risk declined somewhat. Credit risk and overall failure risk were largely unaffected. Although the evidence suggest FHLBank membership and advances have had, at best, only a modest impact on bank risk, we caution that our sample period constitutes one observation and that moral hazard could be pronounced if leverage ratios revert to historical norms.     

A simulation study of Basel II expected loss distributions for a portfolio of credit cards

Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups. Based on estimates of probability of default (PD), the risk groups may seem well separated. However, by considering distributions on risk elements such as model estimation uncertainty, exposure at default and loss given default, a simulation approach is used to compute Basel II expected loss distributions for a portfolio of credit cards. These show that discrimination between risk groups is not as clear as is immediately suggested simply by PD estimates. Based on these distributions, we also show that measuring extreme credit risk with Value at Risk can lead to considerable underestimation if distributions on these risk elements are not entered into the computation.     

我国信用衍生产品创新的必要性

信用衍生产品一度被认为是加剧危机的罪魁祸首,然而作为一种中性的金融工具,其本身并不具有负面效力。在当前经济发展阶段,在合规监管基础上基于合理避险需求推动国内信用衍生产品的创新和发展,有助于优化我国金融市场的风险配置,提高商业银行综合经营管理效率。     

The Effects of Formal and Informal Contracting in Credit Availability

This paper investigates how the use of collateral (formal contracting), along with the market power of banks (which facilitates relational contracts), affects the availability of credit for business firms. Using loan data from the Spanish Credit Register, we show that the average credit quality of borrowers in a provincial market decreases with market concentration and the availability of collateral. Additionally, the marginal effect of each variable decreases with the higher values of the other variable. We also find that credit line interest rates increase with the availability of collateral, although the increase is lower for banks operating in more concentrated credit markets. Therefore, market power (relations) and collateral (formal contracting) act as substitutes to increase the availability of bank finance under asymmetric information.     

Credit risk and financial integration: An application of network analysis

Credit plays a significant role in the performance of the banking sector. This research relates financial integration to the credit risk of banks. We compute a measure of financial connectivity based on network statistics using syndicated loans. Using instrumental variable techniques for a panel of 39 countries over the periods of 1988 to 2014, we analyse the link between credit risk and financial integration. Our findings suggest that borrowing banks do not alleviate credit risk. Also, borrowing banks that are more active in the network also help to compound credit risk. However, the closeness centrality reveals a significant reduction in the credit risk of the borrowing banks. Our findings from individual countries reflect the significance of the country of operation of these banks in the international market.     

国有商业银行信贷评级模型的构建及实证检验

信贷评级是信贷风险管理的前提,目前我国国有商业银行都采用这一方式管理信贷风险.本文在对国有商业银行当前信用评级方法存在问题和国内外相关研究成果进行分析的基础上,提出了构建国有商业银行内部信用评级模型,提高信贷风险管理水平的建议.作者利用贷款历史数据,通过因子分析和聚类分析等方法构建内部信用评级模型;通过因子分析方法构建的模型使评级指标体系更加科学、合理,避免了反映风险信息的冗余与遗漏;聚类分析使评级模型直接与违约概率挂钩,度量风险的准确性进一步提高.论文最后对模型进行了实证分析,使其有效性得到了检验.     

信息技术在商业银行信用风险管理中的应用

信用风险是我国商业银行长期以来面临的主要风险,近年来我国银行业在推进信用风险管理的历程中,整体上面临着方法论和实现路径两大课题.信息技术的应用在我国银行业信用风险管理演进中发挥了重要的支撑作用,并最终成为新型信用风险管理技术的普遍实施路径.当前商业银行的信用风险管理处在向模型化转型的关键时期,信息技术体系也正处于重构的重要阶段,在同步升级信用风险管理与重新构建信息技术体系的过程中,信用风险管理技术的应用范围要从传统产品扩充到衍生产品、形成具有可操作性的资产组合风险管理功能、实现信用风险管理在资本层面应用,最终完成新型管理技术的内化.     

新巴塞尔协议框架下的信用风险缓释技术

信用风险缓释技术(Credit Risk Mitigation Techniques,CRMT)在新巴塞尔协议中占有相当重要地位,是新巴塞尔协议降低资本要求的主要方法。本文对新巴塞尔协议有关信用风险缓释技术的核心内容进行了梳理、归纳和概括,在此基础上探讨了当前国内商业银行加强担保抵押管理应该采取的几点措施:一是要建立严格的担保抵押管理程序和操作要求;二是要强化对担保抵押的全过程动态连续监管;三是要控制风险缓释技术本身所带来的剩余风险;四是要在风险缓释工具和借款人之间建立有效的隔离。     

信息缺乏条件下的信用风险度量问题研究

信用风险度量技术离不开其应用的信息环境,本文从这个角度出发研究,指出信用风险度量技术所依赖的信息资源在国内存在严重缺失的情况,并提出了在这一现实情况下度量信用风险的一种较为现实的解决思路。要从根本上解决这些问题,必须从市场环境、制度环境、信用环境等不同角度入手,健全整个社会的模型应用环境,在这个前提下才可能通过长时间积累起有效的市场数据和财务数据、非财务数据,为信用风险度量方法的探索提供一个坚实的基础。     

股票价格波动对银行稳定影响的理论及经验分析

商业银行直接或间接地参与股票市场,就会因股票价格的波动影响银行资产质量进而影响银行资产负债表和银行稳定。理论和实践证明股票价格的急剧波动和银行部门不稳定性扩散之间存在紧密的联系;同时,银行信贷的扩张对股票价格的波动有很大影响。对我国的经验分析表明:银行间信贷市场与股票市场的资金连通存在较强的相关性;上市银行脆弱度与上证综合指数的相关性在5%水平上显著。在综合经营的大背景下,应加强对我国金融脆弱性的识别和监管,疏通货币市场与股票市场正常的资金联系,加强对商业银行的审慎管理,银行自身也要加强风险管理。