Currency Risk and Country Risk in International Banking

This paper focuses on the conditions under which banks are subject to currency and country risks on their dollar-denominated loans to foreign firms and governments. We conclude that currency risk is a function of the rates of domestic and foreign inflation, deviations from purchasing power parity, and the effect of these deviations on the firm's and the nation's dollar-equivalent cash flows. Country risk is largely determined by the variability of the nation's terms of trade and the government's willingness to allow the national economy to adjust rapidly to changing economic fortunes.     

次贷危机中重新审视银行风险管理

次贷危机发轫于美国的次级房屋贷款,正演变为一场全球性的金融风暴,在这场危机中,越来越多的国家、金融机构以及大型企业遭受重创.危机给了我们许多的教训,本文试图对银行风险管理所存在的问题予以审视.     

Systemic Risk in the Chinese Shadow Banking System: A Sector-Level Perspective

We propose to measure the systemic risk in the shadow banking sector. Instead of testing how many institutions will fail due to the initial breakdown of one institution as extant network models do, we associate the systemic risk of one shadow banking sector with the total amount of unexpected losses it might generate both directly and indirectly. Our model focuses on balance sheet contagion and applies a loop algorithm to risk transfer. The result shows that trust companies were the main culprit of financial instability and commercial banks assumed the main risks over 2007–12 in the Chinese shadow banking system.     

银行业管制与银行风险承担的理论与实践回顾

银行业管制的目的在于降低银行风险承担,控制系统性银行危机.但是20世纪90年代以来银行危机不断,不仅发展中国家,发达国家也经历了大萧条以来最为严厉的银行危机.本研究从银行业管制的实践出发,对银行业管制的基本措施与商业银行风险承担的关系进行了详尽的理论回顾与总结.研究表明监管者构建安全网络以控制系统性银行危机的实践提高了银行的风险承担,而旨在降低银行风险承担的特许权价值、巴塞尔协议提倡的资本要求、监督检查和信息披露等措施也只在某些特定情况下、一定程度上达到效果.     

预期管理对防范系统性银行危机的启示

当前,非金融企业过高的债务压力已成为制约企业发展、威胁经济金融安全稳定的重大因素。恐慌性心理理论强调政府通过财政政策来保障市场信用状态,稳定市场信心;货币非中性理论分析了利率和预期的资本边际收益在风险爆发和最终走出危机过程中的作用,强调运用货币数量工具,加强市场的预期管理,从而实现对"预期的资本之边际收益"的有效管理。     

利率市场化背景下银行系统性危机的实证研究

从利率市场化的国际经验来看,无论是在发达国家还是发展中国家,其实施过程都容易导致不同程度的银行业危机。采用1973~2012年42个国家的面板数据,对利率市场化背景下的银行业危机进行的实证研究表明：利率市场化的推进将增加银行系统性危机发生的机率,特别是在存款利率市场化阶段,而严格的银行监管是抑制银行系统危机发生的有效方法;显性存款保险制度的设立无助于利率市场化后银行系统性风险的防范,甚至有可能会增加危机发生的机率;资本账户开放下进行利率市场化会增加银行系统危机发生的机率。利率市场化进程中允许开设民营银行不会增加银行系统危机的发生机率。     

Systemic Risk,Financial Crisis,and Credit Risk Insurance

Differing from conventional insurance firms whose underwriting business does not contribute to systemic risk, credit risk insurance companies providing credit protections for debt obligations are exposed to systemic risk. We show that credit risk insurers (CRIs) underperformed conventional insurance companies during the 2007–2009 financial crisis, and such underperformance is attributed to the greater systemic risk of CRIs. We also find that the credit spreads of insured bonds increase significantly after their insurers are downgraded or put in the negative watch list. We control for alternative factors affecting bond credit spreads and the result is robust.     

关联度与系统性风险研究——一个文献综述

2008年金融危机爆发后,对系统性风险的认识从"大而不倒"转向到"关联度太广而不能倒"。基于关联度视角研究系统性风险成为金融危机爆发后研究系统性风险的主流方向。本文详细梳理了金融危机前后有关"关联度与系统性风险"之间相关性的文献,总结关联度视角下测度系统性风险的挑战,并为未来的研究指出方向。     

金融危机下的商业银行风险管理

美国次贷危机源于银行对房地产业的过度信贷以及金融衍生工具的滥用,背后透露的是监管者、金融机构和个人对金融风险的忽视.金融危机不可避免会影响中国经济,加上国内经济自身存在下行调整要求,这些将增加我国商业银行的信用风险、市场风险、流动性风险、操作风险和业务创新风险.对此,我国监管部门和商业银行应予以高度重视,加强风险意识,完善内控体制机制,防患金融风险于未然.     

系统性金融风险文献综述:现状、发展与展望

防范风险是我国金融业的永恒主题。如何有效应对金融系统的异常波动、缓释国际市场的外部冲击、精准处置重点领域风险,仍将是我国“十四五”期间的重要任务。本文分别基于系统性金融风险的有效测度、传染溢出、驱动因素、前瞻预测,以及其与宏观经济的相互作用关系、风险调控政策与政策的有效性、监管理念发展等不同视角,对272篇国内外顶级(权威)文献进行了全面、深入的梳理与总结,并展望该领域的重点研究方向,从而为我国构建金融风险防控长效机制、完善“双循环”新格局下的金融监管体系提供参考,以牢牢守住不发生系统性金融风险的底线,推动经济社会高质量发展。     

Discretionary Loan Loss Provisions and Systemic Risk in the Banking Industry

This study examines the relation between earnings management through discretionary loan loss provisions (LLPs) and systemic risk in the U. S. banking sector using a large sample of commercial banks from 1996 to 2009. We find that earnings management increases a bank's contribution to systemic crash risk and systemic distress risk, consistent with the notion that earnings management increases information opacity, facilitates bad news hoarding, co‐moves with macroeconomic conditions, and exhibits cross‐sectional correlation and herding in earnings management. However, the effect of earnings management through discretionary LLPs on systemic risk disappears during the crisis period, consistent with weakened earnings management in crisis times. We also find that the same effect strengthens with bank uncertainty and homogenous loans, and weakens in the post‐SOX period, and when banks are audited by Big 4 auditors.     

经济波动、不良贷款与银行业系统性风险

在全球经济变动及宏观经济不确定性增强的背景下,中国经济波动的信贷周期及银行亲周期性的双重特征极易触发银行业的系统性风险。本文以经济波动与不良贷款的关系为切入点,采用时间序列分析方法系统地研究了上述问题并证明了二者之间的因果关系。基于研究结论,本文提出了研究、评估经济波动对银行业的潜在影响、审慎使用信用风险模型、实施差别化的调控政策、推进银行战略转型等政策建议,以有效预防银行业的系统性风险。     

流动性剩余、流动性风险与银行业系统性风险测量

全球性金融危机过后,世界范围内的政策制定者、经济学家以及时评人士对加强金融市场监管、防范系统性风险基本达成共识。本文从流动性角度出发,对我国商业银行部门系统性风险进行了度量,同时衡量了我国上市银行的系统重要性程度。通过对商业银行个体的资产负债表数据分析,本文提出一种基于系统相对流动性剩余的概率分布来度量流动性风险,以及基于绝对流动性剩余的方差贡献度来衡量银行系统重要性程度的方法,并对我国上市银行系统性风险进行了实证分析。本文的研究结果表明,从流动性风险视角来看,部分银行对我国商业银行体系的系统风险贡献程度较高。     

系统性风险转移、金融危机与公允价值披露

金融创新过程中系统性风险的转移突破了证券投资中收益与风险的传统对应关系,使衍生工具成为一种能有效规避系统性风险的投资载体。公允价值按市值计价的会计处理方法存在着一定的不足,即反映收益的同时忽视了对风险的应有监督;而同时披露收益的相关性和风险的相关性这两方面的信息是提升公允价值信息决策有用性的重要一环。这就需要从披露的视角研究公允价值的具体应用,探讨公允价值披露的改进。     

Cointegration and Exogeneity in Eurobanking and Latin American Banking: Does Systemic Risk Linger?

This paper examines financial integration, interdependence and exogeneity within and between Latin American banking and Eurobanking systems during a period of relative stability after the oil and debt crises of the 1980s. Significant evidence of cointegration in both long‐ and short‐term relationships is reported. Within Latin America, exogeneity lies mainly with the Brazilian system. Within Eurobanking, the U.S. system is the dominant influence. Between Eurobanking and Latin American banking systems, the U.S. system is the major driving force. With continued interdependence of these banking systems, systemic risk lingers, and vigilance is required in banking supervision.     

Systemic Risk in the Insurance Sector: A Review and Directions for Future Research

This article reviews the extant research on systemic risk in the insurance sector and outlines new areas of research in this field. We summarize and classify 48 theoretical and empirical research papers from both academia and practitioner organizations. The survey reveals that traditional insurance activity in the life, nonlife, and reinsurance sectors neither contributes to systemic risk nor increases insurers’ vulnerability to impairments of the financial system. However, nontraditional activities (e.g., credit default swap underwriting) might increase vulnerability, and life insurers might be more vulnerable than nonlife insurers due to higher leverage. Whether nontraditional activities also contribute to systemic risk is not entirely clear; however, the activities with the potential to contribute to systemic risk include underwriting financial derivatives and providing financial guarantees. This article is not only likely of interest to academics but also highly relevant for the industry, regulators, and policymakers.     

公允价值会计能否放大银行体系的系统性风险

宏观审慎监管框架下公允价值会计被认为是顺周期机制,放大了银行体系的系统性风险而广受诟病。本文尝试从正向冲击和逆向冲击角度研究公允价值是否存在放大作用。研究发现两类冲击下系统性风险均存在;公允价值会计作用不对称,逆向冲击下放大了系统性风险,正向冲击下作用不明显;进一步分析逆向冲击的作用渠道时发现,市场流动性不足是放大作用的显著原因,银行以公允价值计价的风险敞口和资本充足率对放大作用没有显著影响。     

影子银行与系统性风险溢出——基于理财产品视角

本文从影子银行资金的重要来源——银行理财产品切入,基于2006-2016年我国上市银行理财数据,使用条件在险值(CoVaR)和边际期望损失(MES)模型对商业银行系统性风险进行测度,基于固定效应面板模型实证检验了理财产品的风险溢出情况及其发行量对系统性风险的影响。结果发现商业银行开展理财业务确实会带来银行系统性风险溢出效应,该效应主要来自于银行业务规模及自身风险,并主要通过理财产品业务的期限错配和刚性兑付进行传导。     

保险业与系统性风险：研究进程与争议回顾

以2000-2019年6月发表的118篇中外文献为基础,对2007-2009年金融危机前后的保险业系统性风险研究进行回顾和总结。研究发现：学界对保险业系统性风险的研究在金融危机后开始快速增长,研究内容最初集中在系统性风险的存在性与实证检验,随后转向对影响因素和成因机制的关注,同时,监管制度研究具有持续性。现有文献已经取得初步成果,今后可以从风险衡量手段比较、影响因素探析和监管制度等方面开展和深化研究。