我国银行同业拆借市场“传染”风险的实证研究

本文使用矩阵法模型模拟我国银行同业风险头寸分布状况,估计了银行体系内的“传染”风险。结果表明:(1)银行同业资产和负债都与银行的类型和规模相关,国有银行的同业头寸占全部同业头寸的70%以上,但其同业资产占比有逐年下降趋势;(2)银行体系内风险传染的概率非常低,同时风险传染的概率及其导致的损失在逐年下降;(3)如果考虑银行预期和银行安全网对传染风险的降低作用,危机传染的风险甚至会降至零;(4)对“传染”风险的估计也存在低估的可能,同时银行同业拆借市场的“传染”风险正在从银行同业之间向银行与其他金融机构尤其是证券公司之间扩散。     

The components of interest rate swap spreads: Theory and international evidence

This article contains both a theoretical and an empirical analysis of the components of interest rate swap spreads defined as the difference between the fixed swap rate and the risk‐free rate of equal maturity. The components are determined by expected LIBOR spreads, default risk, and market structure. A model of the swap market incorporating debt market imperfections and corporate financing choices is used to explain participation by both swap buyers and sellers. The model also motivates an empirical relationship between swap spreads and the slope of the risk‐free term structure. The article then provides empirical evidence on the cross‐sectional and time‐series variation of swap spreads in seven international markets. The evidence is consistent with the suggested components across both markets and swap maturities as well as over time. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:347–387, 2003     

Official bailouts,moral hazard and the ‘speciality’ of the international interbank market

We analyse the evolution of emerging market loan spreads at a more disaggregated level than other studies on the subject, providing statistical support to the assumption of the ‘speciality’ of the international interbank market, to the extent that the pricing of interbank credit is insensitive to the nature (public or private) of the borrower. In sharp contrast, the public or private nature of other borrowers, such as corporates or financial firms, causes significant differences in spreads. These results could be interpreted as evidence of the possible role played by implicit government guarantees in the international interbank market, which lower the incentives for participants to monitor counterpart risk very closely. Furthermore, the specificity of banks is witnessed by the fact that only spreads on loans to emerging market banks have clearly declined following the 1995 Mexican bailout, whereas evidence on the pricing of lending to corporates and financial firms is more ambiguous. Although, on the one hand, this might support the view that financial assistance from the IMF gives rise to moral hazard, on the other hand, contrary to expectations, spreads on loans to Asian banks, among the major candidates in the current policy debate on moral hazard, have been unaffected by the IMF's response to Mexico's crisis.     

同业业务发展、货币政策传导与银行风险承担

商业银行同业业务逐渐从传统信用拆借演变为类信贷业务,一些银行通过同业业务实施监管套利、风险资产出表,同业业务的快速发展对原有货币政策传导体系形成干扰,甚至改变了商业银行的风险承担渠道。使用25家A股上市银行2008-2018年数据,在理论和实证两个方面分析了同业业务发展对银行风险承担的影响。理论上,同业业务能够提高银行风险承担水平和强化货币政策风险承担渠道,上述影响并同时对于不同银行伴有异质性。实证结论验证了理论推演的假设:同业业务发展与银行风险承担水平正相关,并对货币政策银行风险承担渠道具有强化作用;同业业务对大型银行的风险承担水平影响有限,但对股份制银行和中小银行的风险承担水平表现了较强的正相关性。分析货币政策风险承担渠道,中小银行对货币宽松与否更为敏感,其同业业务发展程度与货币宽松情况表现出较强的相关性。根据上述研究结论,监管政策应当更加关注银行体系分层结构下的同业业务发展引导,尤其是对于股份制银行和中小银行,应当逐步引导同业业务占比较高银行压缩同业资产,鼓励商业银行业务回归本源,支持实体经济发展。     

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

We propose a two-sided jump model for credit risk by extending the Leland–Toft endogenous default model based on the geometric Brownian motion. The model shows that jump risk and endogenous default can have significant impacts on credit spreads, optimal capital structure, and implied volatility of equity options: (1) Jumps and endogenous default can produce a variety of non-zero credit spreads, including upward, humped, and downward shapes; interesting enough, the model can even produce, consistent with empirical findings, upward credit spreads for speculative grade bonds. (2) The jump risk leads to much lower optimal debt/equity ratio; in fact, with jump risk, highly risky firms tend to have very little debt. (3) The two-sided jumps lead to a variety of shapes for the implied volatility of equity options, even for long maturity options; although in general credit spreads and implied volatility tend to move in the same direction under exogenous default models, this may not be true in presence of endogenous default and jumps. Pricing formulae of credit default swaps and equity default swaps are also given. In terms of mathematical contribution, we give a proof of a version of the "smooth fitting" principle under the jump model, justifying a conjecture first suggested by Leland and Toft under the Brownian model.     

Can Islamic banks have their own benchmark?

This paper attempts to answer whether Islamic banks can have their own benchmark rate. In so doing, the paper investigates the nature of the relationship Islamic interbank benchmark rate (IIBR) and its comparable conventional counterpart, London interbank offer rate (LIBOR). The dynamics of the two series are investigated to examine the stability of the spread between IIBR and LIBOR, referred to as ‘Islamic premium’ or ‘piety premium’. The findings suggest that there are both long-term and short-term dynamic relationships between the two rates providing significant evidence of their convergence and co-movement. Our results also show that the existence of the IIBR-LIBOR spread is a reflection of the cost of funding and profit potential of the participating IIBR rate-setters. We find that, in addition to the determinants of the credit spreads, fundamental news of the panel banks are dominant factors driving the ‘piety premium’. We argue that the Islamic banking industry is operating in a global context, where it is highly improbable that its rates can decouple from the global benchmarks. Given that Islamic banking products and their risk return profile are similar to conventional products, arbitrage activities force Islamic rates to converge with the global benchmark rates.     

Market response to policy initiatives during the global financial crisis

This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan on interbank credit and liquidity risk premia during the recent crisis. Overall, policy interventions were associated with a reduction in interbank risk premia, most significantly for recapitalization programs. By contrast, decisions to bail out individual banks in an ad hoc manner or let them fail were accompanied by a significant rise in interbank risk premia. Most policy announcements had international spillovers. These results are broadly robust to using alternative measures of financial distress and varying the size of the event window.     

Network structure analysis of the Brazilian interbank market

In this paper, we provide a detailed analysis of the roles financial institutions play within the Brazilian interbank market using a network-based approach. We present a novel methodology to assess how compliant networks are to being perfect core-periphery structures. The approach is flexible, allowing for the identification of multiple cores in networks. We verify that the interbank network presents a high disassortative mixing pattern, suggesting preferential attachment of highly connected financial institutions to others with few connections. We use the clustering coefficient to assess the substitutability of financial institutions. We find that large banking institutions are counterparties that are easily substitutable in normal times. We uncover that the rich-club effect is strongly present in the community comprising the large banking institutions, as they normally form near-clique structures. Since they play the role of liquidity providers in the interbank market, this interconnectedness effectively endows the network with robustness, as participants that are with liquidity issues can easily substitute counterparties that are liquidity suppliers. This substitutability will likely vanish during periods of stress, increasing systemic risk and the likelihood of cascade failures.     

银行间债券市场收益率曲线税收效应实证研究

文章利用品种相对较多、交易相对较活跃的银行间债券市场中的无风险债券来构建收益率曲线.由于投资者面临不同的税收待遇,税收因素是否显著影响投资者对债券的定价与市场收益率曲线的形状是个重要的研究课题.通过实证比较分析,发现我国银行间债券市场收益率曲线存在税收效应.也就是说,考虑了税收影响的Svensson模型具有更好的拟合能力.     

LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

We study shortfall risk minimization for American options with path‐dependent payoffs under proportional transaction costs in the Black–Scholes (BS) model. We show that for this case the shortfall risk is a limit of similar terms in an appropriate sequence of binomial models. We also prove that in the continuous time BS model, for a given initial capital, there exists a portfolio strategy which minimizes the shortfall risk. In the absence of transactions costs (complete markets) similar limit theorems were obtained by Dolinsky and Kifer for game options. In the presence of transaction costs the markets are no longer complete and additional machinery is required. Shortfall risk minimization for American options under transaction costs was not studied before.     

Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk

In recent years, it has become common to use a Markov chain model to describe the dynamics of a firm's credit rating as an indicator of the likelihood of default. Such a model can be used not only for describing the dynamics but also for valuing risky discount bonds. The aim of this paper is to explain how the Markov chain model leads to the known empirical findings such that prior rating changes carry predictive power for the direction of future rating changes and a firm with low (high, respectively) credit rating is more likely to be upgraded (downgraded) conditional on survival as the time horizon lengthens. The model will also explain practically plausible statements such as that bond prices as well as credit risk spreads would be ordered according to their credit qualities. Stochastic monotonicities of absorbing Markov chains play a prominent role in these issues.     

Service,investment, and risk management performance in commercial banks

This article characterizes the production process of commercial banks as three components: service activities, investment-related activities, and risk management activities, and assesses performance for these components, including service efficiency, investment efficiency, and risk management efficiency. With data from 36 Taiwanese commercial banks in the fiscal year 2009, we demonstrated how all the efficiency indices can be estimated. The major empirical findings are that the correlation coefficients between each pair of efficiency indices are positive, so the banks that make an effort in one activity for efficiency improvement could also inspire other activities to improve performance. The non-performing loan ratio can adversely influence efficiency. The establishment of financial holding companies can push the Taiwanese banking system to be more efficient than the privatization reform.     

A Dynamic Analysis of Exchange Rate Exposure: The impact of China's Renminbi

This study examines the impacts of unexpected exchange rate movements of Chinese renminbi (CNY/USD) on stock returns of Standard & Poor's 500 corporations. To gain better insight into the long‐standing exposure puzzle concerning the divergence between theoretical and empirical investigation and the critical issue regarding the determinants of exposure, the time variation and asymmetry property associated with foreign exchange exposure are further taking into account. We also broaden the scope of analysis to investigate unexpected risk exposure at 10 economic sectors in compliance with Global Industry Classification Standard. Unlike those from the static analysis or dynamic ones with the ordinary least squares model, the empirical findings provide additional concrete evidence that unexpected exchange rate exposure varies substantially across time and market circumstances when using the quantile regression with a rolling method. Furthermore, our dynamic analysis not only supports the existence of industrial effects across different economic sectors, but also provides strong evidence that financial factors, such as size, debt ratio and book to market ratio, have a significant impact on exposure.     

Are credit spreads too low or too high? A hybrid barrier option approach for financial distress

Based on the works of Brockman, P. and Turtle, H. J. (2003) and Giesecke, K. (2004), we propose in this study a hybrid barrier option model to explain observed credit spreads. It is free of problems with the structural model, which underprescribed credit spreads for investment grade corporate bonds and overprescribed the high‐yield issues. Unlike the standard barrier option approach, our hybrid model does not imply, for high‐yield issues with firms under financial stress, a reduction of credit spreads while firm value actually falls. Our empirical analysis supports that when credit spreads are quoted abnormally higher or rising faster than expected, unexpected changes tend to persist. Otherwise a significant and prompt reversion to long‐term equilibrium takes place. This asymmetric pricing phenomenon is validated with a method introduced by Enders, W. and Granger, C. W. J. (1998) and Enders, W. and Siklos, P. L. (2001). The pricing asymmetry could not have been produced by a structural model employing only standard option. But it is consistent with a hybrid barrier option model. Our model characterizes the valuation of debt under financial stress and the asymmetric price pattern better than both the classical structural and the standard barrier option approaches. It can be extended to the study of individual CDS for its better liquidity than individual corporate bonds. This study provides helpful implications especially for the medium and high‐yield issues in pricing as well as portfolio diversification. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1161–1189, 2009     

Sovereign default, interest rates and political uncertainty in emerging markets

A large body of the empirical literature shows that high turnover rates/length of tenure of policymakers and the degree of conflict within a country affects sovereign spreads, debt and default rates. We help to rationalize such claims by including these political features in a dynamic stochastic small open economy model of sovereign debt and default. In this way we offer a complementary approach to the econometric analyses in the literature. Consistent with the data, the quantitative analysis shows that politically unstable and more polarized economies experience higher default rates and larger level and volatility of sovereign interest rate spreads.     

Network valuation in financial systems

We introduce a general model for the balance‐sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximizes individual and total equity values for all banks. We apply our model to the assessment of systemic risk and in particular for the case of stress testing. Further, we provide a fixed‐point algorithm to carry out the network valuation and the conditions for its convergence.     

宏观经济变量冲击与我国银行间市场风险传染

虽然宏观经济变量对我国银行同业拆借市场的影响比较小,但随着时间的推移,风险传染规模呈扩大趋势,同时银行风险的溢出效应比较明显。本文模型结构和模拟结果显示的四个特征表明,监管当局在防范我国银行风险传染方面不仅要关注宏观经济变量冲击的负面影响和银行在同业拆借市场中的具体交易情况,还需要关注银行风险的传染源和风险溢出效应。监管机构可以通过建立银行偿付水平对应于不同宏观经济变量的敏感系数,时刻关注宏观经济的异常波动对银行偿付能力的影响。     

Sovereign default and debt renegotiation

This paper develops a small open economy model to study sovereign default and debt renegotiation for emerging economies. The model features both endogenous default and endogenous debt recovery rates. Sovereign bonds are priced to compensate creditors for the risk of default and the risk of debt restructuring. The model captures the interaction between sovereign default and ex post debt renegotiation. We find that both debt recovery rates and sovereign bond prices decrease with the level of debt. In a quantitative analysis, the model accounts for the debt reduction, volatile and countercyclical bond spreads, countercyclical trade balance, and other empirical regularities of the Argentine economy. The model also replicates the dynamics of bond spreads during the debt crisis in Argentina.     

A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints

This paper proposes a concrete theoretical foundation and a new modelling framework that attempts to tackle the issue of market/liquidity risk and economic-capital estimation at a portfolio level by combining two mutual asset market/liquidity risk models. In essence, this study extends research literature related to the assessment of the asset market/liquidity risk by providing a generalized theoretical modelling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements and is modelled based on the concept of liquidity-adjusted value-at-risk framework, while the second component focuses on the risk of variation in transactions costs due to the bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk. The modelling framework can be constructive for financial service industries in emerging-economies and particularly in reinforcing rational economic-capital allocation in light of the aftermaths of the sub-prime financial crisis.     

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of "diversifiable default risk." The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999) . We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage-backed securities.