压力测试与反向压力测试在银行风险管理中的运用

压力测试作为一般风险计量工具的重要补充,越来越受到金融监管部门和银行业的重视。文章从压力测试和反向压力测试的原理与方法出发,比较分析压力测试与在险价值(VaR)的特征性与互补性,通过示例阐明压力情景的设置方法和压力测试的操作过程,并探讨压力测试和反向压力测试在银行风险管理中的实务问题。     

Corruption and bank risk-taking: Evidence from emerging economies

This paper addresses the impact of corruption on banks' risk-taking behavior, using bank-level data from more than 1200 banks in 35 emerging economies during the period 2000–2012. We find consistent evidence that higher levels of corruption increase the risk-taking behavior of banks, in favor of the “sand the wheel” view in the corruption-development nexus. In addition, we examine the indirect effects of corruption on bank risks, and find evidence that the impact of monetary policy on banks' risk-taking behavior is more pronounced with the increasing severity of corruption.     

Impact investments,evil investments,and something in between: Comparing social banks' investment criteria and strategies with depositors' investment preferences

Since the global financial crisis in 2007, social banks have been flooded with deposits. Previous studies have indicated that customers hold deposits with social banks due to social banks' special placement of assets. However, to date it has been far from clear how social banks select their investments, and consequently to what extent the placement of assets meets depositors' preferences. The purpose of this paper is, therefore, to investigate whether the characteristics of social banks’ placement of assets are relevant to depositors’ choice of social banks. A two-stage study is conducted, using data collected via a document analysis of social banks' investment criteria, a survey of social banks, and an online survey of 609 depositors. The results imply that the characteristics of social banks' placement of assets are indeed relevant to depositors' choice of social banks, but do not explain customer behaviour entirely. Furthermore, the findings indicate that a relevant proportion of customers hold deposits with social banks to avoid “evil” rather than necessarily creating “good.” Based on the findings, a theoretical framework of depositors' choice of social banks is presented that goes far beyond previous explanations by considering various types of social depositors, banks, and borrowers.     

Monetary policy and bank risk-taking: Evidence from emerging economies

This paper addresses the impact of monetary policy on banks' risk-taking by using bank-level panel data from more than 1000 banks in 29 emerging economies during 2000–2012. We find that, consistent with the proposition of the “bank risk-taking channel” of monetary policy transmission, banks' riskiness increases when monetary policy is eased. This result is robust when we adopt alternative measures of monetary policy and bank risk, and use different econometric methodologies. In addition, we find that bank risk-taking amid expansionary monetary policy is less conspicuous in a more consolidated banking sector and when monetary policy is more transparent.     

Bank Loan Announcements and Borrower Stock Returns: Does Bank Origin Matter?

Banks play a special role as providers of informative signals about the quality and value of their borrowers. Such signals, however, may have a quality of their own as the banks' selection and monitoring abilities may differ. Using an event study methodology, we study the importance of the geographical origin and organization of the banks for the investors' assessments of firms' credit quality and economic worth following loan announcements. Our sample comprises 986 announcements of bank loans to US firms over the period of 1980–2003. We find that investors react positively to such announcements if the loans are made by foreign or local banks, but not if the loans are made by banks that are located outside the firm's headquarters state. Investor reaction is, in fact, the largest when the bank is foreign. Our evidence suggest that investors value relationships with more competitive and skilled banks rather than banks that have easier access to private information about the firms. These results are applicable also to the European markets where regulatory and economic borders do not coincide and bank identities and reputation seem to matter a great deal.     

The effect of stimulus policy on lending behavior and bank risk: Evidence from the Chinese banking sector

Considering China's stimulus policy in 2008 as a quasi-natural experiment, our study attempts to provide evidence to understand how expansionary monetary policy is likely to influence bank risk-taking in emerging markets, specifically in China. Using data on Chinese counties from 2006 to 2011, we theoretically discuss and empirically observe a positive relationship between the stimulus policy and bank risk-taking, as measured by nonperforming loans. Such a nexus stems from the negative effect of the stimulus policy on banks' lending standards and the positive effect on banks' credit support to small and medium sized enterprises. In addition, our study is enriched by estimating the moderating effects of bank capitalization based on the “risk-shifting” effect and “search for yield” effect caused by the stimulus policy. Specifically, we find important differences across banking groups, such that small and medium-sized banks with low capitalization increase their exposure to risk, while large state-owned banks with high capitalization notably reduce their risk tolerance. The results of this study may help to characterize monetary policy and macro prudential regulation, especially for emerging economies.     

ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES

In this paper, we introduce a new approach for finding robust portfolios when there is model uncertainty. It differs from the usual worst‐case approach in that a (dynamic) portfolio is evaluated not only by its performance when there is an adversarial opponent (“nature”), but also by its performance relative to a stochastic benchmark. The benchmark corresponds to the wealth of a fictitious benchmark investor who invests optimally given knowledge of the model chosen by nature, so in this regard, our objective has the flavor of min–max regret. This relative performance approach has several important properties: (i) optimal portfolios seek to perform well over the entire range of models and not just the worst case, and hence are less pessimistic than those obtained from the usual worst‐case approach; (ii) the dynamic problem reduces to a convex static optimization problem under reasonable choices of the benchmark portfolio for important classes of models including ambiguous jump‐diffusions; and (iii) this static problem is dual to a Bayesian version of a single period asset allocation problem where the prior on the unknown parameters (for the dual problem) correspond to the Lagrange multipliers in this duality relationship. This dual static problem can be interpreted as a less pessimistic alternative to the single period worst‐case Markowitz problem. More generally, this duality suggests that learning and robustness are closely related when benchmarked objectives are used.     

Effects of short-sale restrictions

A recently developed simplified portfolio construction scheme is used here to compare empirically the characteristics of optimal equity holdings with and without restrictions on the sale of borrowed securities. Among other results, unrestricted portfolios are found to have less overall risk, and more return per unit of portfolio risk, than positions restricted to long-only holdings.     

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.     

Does it Really Hurt to be Responsible?

Prior literature on socially responsible investment has contended that excluding “sin stocks” from a portfolio (negative screening) will reduce performance and increase risk. Further, incorporating stocks of firms with positive social responsibility scores (positive screening) will improve performance and reduce risk. We simulate portfolios designed to mimic typical equity mutual funds’ holdings and investigate these propositions. We remove the potentially confounding influences of differences in manager skill, transaction costs and fees, and conduct a clean experiment on the effect of positive and negative portfolio screening. We find no difference in the return or risk of screened and unscreened portfolios. We conclude that a typical socially responsible fund will neither gain nor lose from screening its portfolio.     

Europe’s agricultural policy facing new alternatives

“If the right decisions are not now taken, the Common Agricultural Policy of the European Community may collapse. The hour of truth has struck for agriculture.” So the Commissioner for Agriculture, Gundelach, in the spring of 1980 when appealing to the Members of the European Parliament “to support the Commission’s moderate proposals for price increases and the proposed measures for reducing the agricultural surpluses”¹. This scenario gives great topical value to findings set out in a publication, “Europe’s Agricultural Policy Facing New Alternatives”², of which we present here a summary. Its wellknown authors have tried to map out routes to a less contentious agricultural policy for the future.     

Liberalisation,privatisation and the productivity of Egyptian banks: a non-parametric approach

This paper evaluates the performance of Egyptian banks during a period characterised by changes in economic policies. The Egyptian government's liberalisation policies in the early 1990s have had a positive or negative impact on the performance of the Egyptian banks. In addition, whether the liberalisation impact has influenced different forms of banks' ownership and sizes with consistent magnitude is examined. Another objective of this paper is to examine the impact of the privatisation process at the end of 1995 on the efficiency and productivity performance of the overall banking sector and on joint-venture banks in particular. The data envelopment analysis Malmquist methodology is employed to estimate the productivity of Egyptian banks.     

Debt as a source of financial stress in Australian households

This paper examines the role of demographic, socio‐economic and debt portfolio characteristics as contributors to financial stress in Australian households. The data are drawn from the most recent Household Expenditure Survey and relate to 3268 probability‐weighted households. Financial stress is defined, among other things, in terms of financial reasons for being unable to have a holiday, to have meals with family and friends, to engage in hobbies and other leisure activities, and general money management. Characteristics examined include family structure and composition, source and level of household income, age, gender and marital status, ethnic background, housing value, debt repayment of various types and credit card usage. Binary logit models are used to identify the source and magnitude of factors associated with financial stress. The evidence provided suggests that financial stress is higher in families with more children and those from ethnic minorities, especially when reliant on government pensions and benefits, and lower in families with higher disposable incomes and housing values. There is weak evidence that Australia's historically high levels of household debt cause financial stress.     

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12

We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs of) probability measures under which the “wealth process” is a supermartingale. Next, we prove the existence of an optimal solution to the portfolio optimization problem of maximizing utility from terminal wealth in the same model, we also characterize this solution via a transformation to a hedging problem: the optimal portfolio is the one that hedges the inverse of marginal utility evaluated at the shadow state-price density solving the corresponding dual problem, if such exists. We can then use the optimal shadow state-price density for pricing contingent claims in this market. the mathematical tools are those of continuous-time martingales, convex analysis, functional analysis, and duality theory.     

Avoiding toxic assets and ensuring bank stability: English commercial bank investments, 1880–1910

New estimates are made of the relative importance of investments within the banks' assets structure, of the significance of bank investments in the market as a whole, of the composition of those investments, and of how those changed in a period that experienced a significant increase in the scale, liquidity and diversity in Britain's organised secondary capital markets. Investment holdings in the total market and amongst insurance companies are used as benchmarks. One main finding is that there was a great deal of variation in the size of bank investments relative to total assets, with no evidence of a ‘norm’ investments ratio. Another finding is that although there is some evidence of greater diversity over time, conservatism – and especially the continued heavy reliance on public sector securities – is more evident. Overall, there was a commitment to a high liquidity, risk-averse approach to portfolio management which contributed to bank stability and limited the financing of the private sector.     

The color revolution

Our text does not intend to develop a history of French banks' Europeanisation, but instead to scrutinise the mentalities of French bankers, in order to determine whether they were confined to relationships with French business or embedded within networks of personal relations with their European colleagues. Did some French bankers follow a career more oriented\ towards international activities and were they involved in international travels? Were some bankers committed to designing European strategies and thereafter to implement them through a direct presence in those foreign countries? Did some bankers emerge as key managers of Europeanised strategies and what was their influence within their banking firms? Of course, answers will be relevant to the chronological stages, to assess, for example, whether the decline of the Haute Banque houses was unfavourable to Europeanisation, to analyse how the new joint stock banks adopted a Europeanised business model, and whether deposits banks and investment banks (banques d'affaires) reacted differently in response to Europeanised strategies and a new way of life.     

Impact of Stressful Situations on Salespersons' Gestures

Interest: This research analyses the influence of situations on salespersons’ gestures and behaviors. This research contributes to this underresearched field by exploring the impact of stressful versus nonstressful situations on salespersons’ personal behavior.

Methods: This research is based on 1,205 gestures observed during 382 sales calls that averaged 11 minutes with 382 salespersons. Half were in stressful situations, and half were in nonstressful situations. This study focuses on pharmaceutical products (drugs) in the medical field, with 95 doctors, 6 judges, 304 average performing salespersons, 39 high performers, and 39 low performers. This study shows how salespersons’ behaviors vary depending on stressful and nonstressful situations. This research also articulates a new field of sales research that is understudied by researchers and suggests new training trends in sales management.

Objective: The objective is to answer questions such as “Does stress influence salespersons’ behavior, and what are the gestures most affected by such situations?” To examine the effects of training on gestures, an experiment with 97 salespersons was conducted during a sales training session. This experiment measured whether salespersons trained on gestures behaved differently than those who were untrained.

Results: In general, stressful or nonstressful situations caused real differences in gestural behavior. In particular, the best salespersons performed the largest number of gestures during stressful situations. For example, stressful situations increased the mechanical or emotional gestures in leg movements or the number of glances.     

Distress and default contagion in financial networks

We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial networks. In contrast to many existing models, it allows for the spread of contagion already before the point of default and hence can account for contagion due to distress and mark‐to‐market losses. We derive general ordering results for outcome measures of stress tests that enable us to compare different contagion mechanisms. We use these results to study the sensitivity of the new contagion mechanism with respect to its model parameters and to compare it to existing models in the literature. When applying the new model to data from the European Banking Authority, we find that the risk from distress contagion is strongly dependent on the anticipated recovery rate. For low recovery rates, the high additional losses caused by bankruptcy dominate the overall stress test results. For high recovery rates, however, we observe a strong sensitivity of the stress test outcomes with respect to the model parameters determining the magnitude of distress contagion.     

CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS

We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in financial modeling. For the special cases of jointly normally and t‐distributed asset returns we derive closed formulas for the correlation under stress. For the NVM distribution, we calculate the asymptotic limit of the correlation under stress, which depends on whether the variables are in the maximum domain of attraction of the Fréchet or Gumbel distribution. It turns out that correlations in heavy‐tailed NVM models are less sensitive to stress than in medium‐ or light‐tailed models. Our analysis sheds light on the suitability of this model class to serve as a quantitative framework for stress testing, and as such provides valuable information for risk and capital management in financial institutions, where NVM models are frequently used for assessing capital adequacy. We also demonstrate how our results can be applied for more prudent stress testing.     

Corporate environmental responsibility and bank loans

Drawing on both qualitative analyses of banks' sustainability reports and quantitative analyses of 11,538 bank loans from 1993 to 2018, we explore interactions between corporate environmental responsibility (CER) and bank loan contracting. We find CER dominates how corporate social responsibility (CSR) affects bank loans. We propose a two-way relationship between CER and bank loans. Firms with strong CER performance receive cheaper bank loans due to banks' environmental risk management efforts. These banks provide services to corporate borrowers that have a positive influence on borrowers' ongoing environmental performance.