CEO Risk‐taking Incentives and Bank Loan Syndicate Structure

This paper investigates the effects of a borrowing firm's CEO risk‐taking incentives on the structure of the firm's syndicated loans. When CEO risk‐taking incentives are high, syndicates are structured to facilitate better due diligence and monitoring efforts. These syndicates have a smaller number of total lenders and are more concentrated, and lead arrangers will retain a greater portion of the loan. Moreover, CEO risk‐taking incentives have a lesser effect on the syndicate structure when lead arrangers have a good reputation and a prior lending relationship with a borrowing firm, while they have a greater effect on the syndicate structure when borrowing firms have low information transparency, are financially distressed or have low growth prospects.     

Equity‐Based Incentives,Risk Aversion,and Merger‐Related Risk‐Taking Behavior

We find that post‐merger equity risk is negatively related to the sensitivity of CEO wealth to stock return volatility (vega), but is concentrated in CEOs with high proportions of options and options that are more in‐the‐money. The probability of industrial diversification also increases in vega. Additional tests show that the decline in post‐merger equity risk results in a significant decrease in shareholder wealth. This decrease is concentrated among firms with CEOs having the highest delta and the highest delta and vega. Our results suggest that the increased convexity provided by option‐based compensation does not necessarily increase risk‐taking behavior by CEOs.     

The Risk‐Taking Channel of Monetary Policy: Exploring All Avenues

The literature on the risk‐taking channel of monetary policy grew quickly, leading to scattered evidence. We examine this channel through different angles, exploring detailed information on loan origination and performance. Ex ante riskier borrowers receive more funding at the extensive margin when interest rates are lower. Ex post performance is independent of the level of interest rates at origination. Still, loans granted in periods of very low and stable interest rates show higher default rates once interest rates start to increase. Risk‐taking is stronger among banks with lower capital ratios, suggesting that this channel may be linked to managerial incentives for risk‐shifting.     

CEO Risk‐Taking Incentives and the Cost of Equity Capital

In this paper, we show that the sensitivities of an executive's wealth to changes in stock prices (deltas) decrease the implied cost of equity capital while the sensitivities of an executive's wealth to changes in stock volatility (vegas) increase the implied cost of equity capital. Our findings demonstrate that shareholders understand the risks of firms’ future projects as embedded in executive compensation and price these risks into the cost of equity capital accordingly. The findings have strong implications for optimal executive compensation contract design, project evaluation and cost of capital estimation.     

The Coordination Role of Stress Tests in Bank Risk‐Taking

We examine whether stress tests distort banks' risk‐taking decisions. We study a model in which a regulator may choose to rescue banks in the event of concurrent bank failures. Our analysis reveals a novel coordination role of stress tests. Disclosure of stress‐test results informs banks of the failure likelihood of other banks, which can reduce welfare by facilitating banks' coordination in risk‐taking. However, conducting stress tests also enables the regulator to more effectively intervene banks, coordinating them preemptively into taking lower risks. We find that, if the regulator has a strong incentive to bail out, stress tests improve welfare, whereas if the regulator's incentive to bail out is weak, stress tests impair welfare.     

Interest Rates in Trade Credit Markets

All things equal, interest rates should increase with the borrower's risk. And yet, Klapper, Laeven, and Rajan (2012) cannot find such a positive relation in a broad sample of trade credit contracts. We shed some light on this puzzle by arguing that competition between informed and uninformed suppliers weakens the link between the trade credit cost and the borrower's creditworthiness. Our model implies that trade credit rates are more likely to increase with the borrower's risk if suppliers are less profitable, have high cost of funds, or sell inputs to firms plagued by moral hazard and financial distress.     

Monetary Policy,Bank Lending,and the Risk‐Pricing Channel

This paper identifies a monetary policy channel through the risk pricing of bank debt in the market for jumbo certificates of deposit (jumbo CDs). Adverse policy shocks increase debt holder perceptions of bank default, increasing the risk premia for some banks, thereby decreasing their external funding of loans. The results show that contractionary policy increases the sensitivity of jumbo‐CD spreads to leverage and asset risk for small banks, and to leverage for large banks. The results also show a distributional and aggregate effect on banking system jumbo CDs and total loans, producing a risk‐pricing (or market discipline) channel. This channel has implications for monetary and regulatory policies, and financial stability.     

The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data

To study the presence of a risk‐taking channel in the U.S., we build a comprehensive data set from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk‐taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply‐side driven only when using Taylor residuals and an ex ante measure of bank risk‐taking. Our results highlight the sensitivity of the potency of the risk‐taking channel to the measures of monetary policy innovations.     

Trade Credit Management and the Decision to Use Factoring: An Empirical Study

This paper examines the firm's decision to use factoring amongst a cross-sectional sample of 655 manufacturing companies using a rich firm-level database. The paper develops and tests hypotheses that explain this particular choice of credit and financial management policy. We find strong evidence of a 'financing demand' explanation for the use of factoring, and also some support for theories which relate the decision to use a factor to the firm's product characteristics, to market characteristics and to the preferences of the factor (supply constraints). The motivation to use factoring, however, appears to be related more to a demand for asset-based finance from small companies than to firm-level choices about organisational structure.     

基于风险——收益均衡控制的信用风险管理研究

风险-收益均衡是风险和收益同时实现最优的一个状态。风险优化是风险-收益均衡控制的具体过程。我国商业银行正处于财务目标和风险目标约束同时增强的风险管理制度转型阶段，制度转型的方向是改革单向风险管理制度，建立风险-收益均衡控制的信用风险管理制度。本文以《巴塞尔新资本协议》框架下的信用风险计量、经济资本和风险优化理论为指导，探讨在缺乏有效资本管理制度条件下，如何建立基于风险-收益均衡控制的过渡，陆信用风险管理模式，重点研究了RAROC风险管理思想和风险控制技术，并展开了实证分析。RAROC修正模型与过渡方案具有可行性，并有很强的信贷政策指向意义。     

制度嵌入与文化嵌入:信用激励机制构建的新思路

随着我国社会信用体系建设不断推进,社会信用激励功能逐渐彰显,有必要从内部认知信用激励内涵、类型,引入并解构嵌入性理论,从制度嵌入和文化嵌入两方面建构我国信用激励机制.制度嵌入方面,通过嵌入事前信用信息供给机制以缓释信用市场对信用信息的紧张供求关系,重构信用评级制度,纠正社会信用激励偏差,强化信用激励力度,从而为信用激励...     

商业银行集团客户信贷风险管理研究

近年来,一系列集团客户先后爆发债务危机,给银行信贷资产带来重大损失和负面影响。本文针对集团客户的风险特征和我国商业银行的管理缺陷,指出集团客户信贷风险的成因。文中指出构建完善的集团客户风险管理体系主要在于:一是建立集中的信贷风险管理体制;二是建立集团客户风险管理长效机制,包括基础信贷风险管理制度、风险联动监督机制、风险信息预警提示制度、差别化的客户管理机制、有效的风险预警指标体系、双轨互动的风险管理机制、账户资金收支监测分析、内部风险评级体系建设等;三是构建社会监督机制,主要包括行际信息沟通机制、社会信息监督平台及完善银行同业协会功能等。     

商业银行集团客户信贷风险管理研究

近年来，一系列集团客户先后爆发债务危机，给银行信贷资产带来重大损失和负面影响。本文针对集团客户的风险特征和我国商业银行的管理缺陷，指出集团客户信贷风险的成因。文中指出构建完善的集团客户风险管理体系主要在于：一是建立集中的信贷风险管理体制；二是建立集团客户风险管理长效机制，包括基础信贷风险管理制度、风险联动监督机制、风险信息预警提示制度、差别化的客户管理机制、有效的风险预警指标体系、双轨互动的风险管理机制、账户资金收支监测分析、内部风险评级体系建设等；三是构建社会监督机制，主要包括行际信息沟通机制、社会信息监督平台及完善银行同业协会功能等．     

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.     

现代商业银行信贷资产风险管理研究

风险管理是商业银行管理的核心之一。我国商业银行风险管理的现状在职能厘定、管理机制以及队伍建设等方面都有改革的必要。因此,建立完善我国现代商业银行信贷资产风险管理体系,必须着力抓好制度、文化和人三个关键要素;同时,把握先进性原则,构建以风险控制为核心的信贷风险管理文化;把握层次性原则,探索健全风险管理机制;把握动态性原则,建立和强化信贷风险预警体系;把握渐进性原则,加强信贷风险管理信息系统建设;把握应变性原则,提高风险控制能力和信贷资产质量;把握人本性原则,带好一支高水平的信贷风险管理队伍。     

Equity‐based incentives and shareholder say‐on‐pay

We study the relationship between CEO pay‐performance sensitivity, pay‐risk sensitivity, and shareholder voting outcomes as part of the “say‐on‐pay” provision of the 2010 US Dodd‐Frank Act. Consistent with our hypothesis, we provide evidence that shareholders tend to approve of compensation packages that are more sensitive to changes in stock price (pay‐performance sensitivity). Our findings are consistent with theoretical predictions that outside owners approve of equity incentives as a means of aligning managers' interests with those of shareholders. We also document that future changes to equity‐based incentives are related to voting outcomes and that shareholders incorporate CFO incentives into their votes. Collectively, these results provide evidence of the importance of equity‐based incentives from the perspective of those most concerned with firm value and of the effectiveness of say‐on‐pay as a governance mechanism.     

Incentives of Stock Option Based Compensation

We introduce explicitly the effort as a choice variable in a continuous time utility maximisation framework of an executive who is partly compensated with stock options. We solve the model in the case where the executive is not allowed to trade in the company’s stock but is able to achieve a partial insurance through trading in a correlated market portfolio. We define the executive’s value of the options through a certainty equivalence approach both in the case of European call options and non-standard capped stock options and study the behaviour of the reservation price as relevant parameters change.JEL Classification: G13, G30, G32, J33, M12     

A Time to Scatter Stones,and a Time to Gather Them: The Annual Cycle in Hedge Fund Risk Taking

Analyzing a sample of hedge fund daily returns from Bloomberg, we find a seasonal pattern in their risk taking. During earlier months of a year, poorly performing funds reduce risk. The reduction is stronger for funds with higher management fees, shorter redemption periods, and recently deteriorating performance, consistent with a managerial aversion to early fund liquidation. Toward the end of a year, poorly performing funds gamble for resurrection by increasing risk. It is largely achieved by increasing exposure to market factors, and can be linked to stronger indirect managerial incentives during the second half of a year.     

Executive compensation in less regulated markets: the impact of debt monitoring

This paper shows that in the lightly regulated Alternative Investment Market (AIM) voluntary corporate board structures might not reduce agency costs between shareholder and executive directors. In this less regulated market, we find that the extent of debt affects executive pay. In addition, the theoretical determinants of executive pay affect CEO and other executives’ pay and incentives differently in this market. We find no evidence that debt levels affect CEO pay in a matched sample of Main Market firms. Our results suggest that debtholders could be better monitors of executive directors’ actions, in comparison to voluntary governance committees in less regulated markets.