Forecasting systemic impact in financial networks

We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for the timely systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal impact of individual downside risks on systemic distress. So-called systemic risk betas account for a company’s position within the network of financial interdependencies, in addition to its balance sheet characteristics and its exposure to general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk networks, and forecast the systemic relevance on a quarterly basis. Our empirical findings reveal time-varying risk channels and firms’ specific roles as risk transmitters and/or risk recipients.     

Adverse event-related costs for systemic metastatic breast cancer treatment among female Medicaid beneficiaries

Objective: This retrospective study compared the real-world incidence and costs of systemic treatment-related adverse events (AEs) in patients with metastatic breast cancer in a Medicaid population.

Methods: Insurance claims data for adult women who received biologic or chemotherapy (± hormonal therapy) for metastatic breast cancer between 2006–2013 were extracted from the Truven Health MarketScan^® Multi-State Medicaid database. Incidence of AEs (per 100 person years) and average monthly AE-related healthcare costs (per-patient-per-month) during each line of therapy (first or later lines) were estimated. The association between AEs and total all-cause healthcare costs was estimated using multivariable regression.

Results: A total of 729 metastatic breast cancer patients were analyzed. Hematological (202.3 per 100 person years) and constitutional AEs (289.6 per 100 person years) were the most common class of AEs reported. Unadjusted per-patient-per-month AE-related expenditure by class were highest for hematological AEs ($1524), followed by gastrointestinal ($839) and constitutional AEs ($795), with anemia ($942), nausea/vomiting ($699), and leukopenia/neutropenia ($550) having incurred the highest total AE-related costs. Adjusted total all-cause monthly costs increased with the number of AEs ($19,701 for >7 AEs, $16,264 for 4???6 AEs, and $13,731 for 1???3 AEs) compared to no AEs ($5908) (all p?Conclusions: Among metastatic breast cancer patients treated with systemic therapy in a Medicaid population, AEs were associated with significant increases in costs, which increased with the number of AEs experienced. Therapies associated with a lower incidence of AEs may reduce cost burden and improve patient outcomes.     

Systemic risk in the European sovereign and banking system

We investigate the systemic risk of the European sovereign and banking system during 2008–2013. We utilize a conditional measure of systemic risk that reflects market perceptions and can be intuitively interpreted as an entity’s conditional joint probability of default, given the hypothetical default of other entities. The measure of systemic risk is applicable to high dimensions and not only incorporates individual default risk characteristics but also captures the underlying interdependent relations between sovereigns and banks in a multivariate setting. In empirical applications, our results reveal significant time variation in systemic risk spillover effects for the sovereign and banking system. We find that systemic risk is mainly driven by risk premiums coupled with a steady increase in physical default risk.     

中国银行业的系统性风险研究——从隐性担保到优胜劣汰

文章通过构建一个同时涵盖银行间同业拆借市场与回购市场的矩阵法模型,对2006-2014年我国银行业系统性风险进行研究,主要考虑隐性担保与优胜劣汰机制对系统性风险的影响。研究发现,总体上我国银行业系统性风险在近年来稳定在低位,从隐性担保转变到优胜劣汰并不会大幅提高我国银行业的系统性风险水平,优胜劣汰机制有可能增强市场纪律性,从而降低其系统性风险。     

中国银行业系统性风险监测研究——基于SCCA技术的实现与优化

金融危机以来,随着国际金融监管组织、各国监管当局和学术界加强系统性风险监测技术的开发和应用,新方法、新技术不断涌现,SCCA是其中具有代表性的方法之一。本文结合我国银行业实际情况,设计了针对SCCA技术关键环节的优化算法,并采用非参数统计方法估计时变相依函数,提出了新的系统性风险监测指标J-VaR。在此基础上,本文动态监测了后危机时代我国银行业系统性风险的演变过程。研究表明,优化后的SCCA技术具有较好的适用性,时变风险相依结构对系统性风险理论和实证研究至关重要。     

论我国金融业宏观审慎管理制度研究的基本框架

为了防范系统性风险,我国金融业有必要建立宏观审慎管理制度。我国金融业宏观审慎管理制度框架体系应由逆周期的宏观调控机制、宏观审慎管理与微观审慎管理相结合的金融机构监管机制、系统性金融风险的动态预警机制三个方面构成,还应包括推行金融业宏观审慎管理制度的相关政策。     

International entrepreneurship beyond individuals and firms: On the systemic nature of international opportunities

The present study approaches opportunities in international entrepreneurship from a systemic perspective. Based on research on the collectiveness of opportunities in international entrepreneurship and the concepts of activity and object from activity theory, we develop a systemic conceptualization of opportunity-oriented international entrepreneurship. Through an empirical study in Finland and Israel, we depict six collective opportunity beliefs, considered from the viewpoints of society, international venture, and outcome expectations. Furthermore, we induce three modalities for international opportunity as the object of collective activity and model systemic opportunity shaping as the core activity of international entrepreneurship.     

What Explains Herd Behavior in the Chinese Stock Market?

This article examines the causes of herd behavior in the Chinese stock market. Using the nonlinear model of Chang, Cheng, and Khorana [2000 Chang, E. C., J. W. Cheng, and A. Khorana. “An Examination of Herd Behavior in Equity Markets: An International Perspective.” Journal of Banking and Finance, 24, (2000), pp. 1651–1679.[Crossref], [Web of Science ®] , [Google Scholar]], the authors of this article find robust evidence of herding in both the up and down markets. They contribute to the existing literature by exploring the underlying reasons for herding in China. It is shown that analyst recommendation, short-term investor horizon, and risk are the principal causes of herding. However, the authors cannot find evidence that relates herding to firm size, nor can they detect significant differences in herding between state-owned enterprises and non–state-owned enterprises.     

A model of a systemic bank run

This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focussing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: in distress, these can potentially be sold to a large pool of outside investors at steep discounts. I consider two different motives for outside investors and their interaction with banks trading asset-backed securities: uncertainty aversion versus adverse selection. I shall argue that the version with uncertainty averse investors is more consistent with the stylized facts than the adverse selection perspective: in the former, the crisis deepens, the larger the market share of distressed core banks, while a run becomes less likely instead as a result in the adverse selection version. Therefore, the outright purchase of troubled assets by the government at prices above current market prices may both alleviate the financial crises as well as provide tax payers with returns above those for safe securities.     

美国金融体系的利率风险分析——以次贷危机的引发和扩散为例

本文通过实证方法探讨次贷危机引发和扩散中的利率风险问题。主要结论是:从长期利率角度看,对房市的"松"货币政策从2001年降息一直持续到2005年6月;过低的长期利率会过度挤压金融机构放贷的长期收益,进而增大金融体系的利率风险。次贷危机的直接原因是,高利率、强美元导致的大量外资流入与混合调息抵押初始低利率相结合,共同推动了高风险次贷的发放;在高息和房价下跌条件下,大量混合调息抵押集中进入初次利率重置期,导致次贷违约状况的急速恶化。次贷危机扩散中,尽管联邦基金利率快速下降,但高风险的金融环境导致低利率对增加金融市场流动性的刺激作用失效。