共查询到20条相似文献，搜索用时 15 毫秒
1.
We propose a new measure of systemic financial distress that incorporates idiosyncratic and systemic risks in the financial system network. Using this measure, we develop an integrated stress test of bank liquidity and solvency risks based on the dynamics of financial distress within the banking system network. We apply this stress test framework to the US banking system and identify systemic vulnerability of individual banks as well as the resilience of the system as a whole to an economic shock. The framework helps us identify and monitor systemic interdependencies between banks. The proposed stress testing framework is useful for practical macroprudential monitoring and is informative for policy making. 相似文献
2.
Wenwei Li Shenglin Ben Ulrich Hommel Sandra Paterlini Jiefang Yu 《Accounting & Finance》2019,59(Z2):1923-1946
This paper studies systemic risk in the Chinese debt market stemming from inter‐corporate loan guarantees using field data from Zhejiang Province. We apply a weighted and directed network model to analyse the implications for default contagion and systemic risk under different stress testing scenarios. The empirical results indicate that the topology of the loan guarantee network is close to a ‘scale‐free’ structure, which is known to be robust against accidental failures but vulnerable to coordinated attacks. Hence, the network is able to cope with idiosyncratic shocks resulting from single company failures, but can easily suffer from more widespread contagion if a group of systemically important companies are hit by a targeted shock. We further demonstrate that within our sample of small and medium‐sized enterprise (SME) companies, increasing leverage reduces network stability and exacerbates the effects of contagion. More lenient bank lending policies increase the survival rate of sample companies and thereby reduce the losses from default contagion. 相似文献
4.
L. Franklin Fant 《Journal of Financial Markets》1999,2(4):423
The relationship of stock market returns with components of aggregate equity mutual fund flows (new sales, redemptions, exchanges-in, and exchanges-out) is examined. Vector autoregressions and tests of linear feedback show that the flow-return relationship exists solely between returns and exchanges-in and -out. Further, only exchanges-out are responsible for the contrarian flow behavior noted by Warther (1995). The evidence suggests that the various components reflect different investor objectives and information. 相似文献
5.
We analyze a model where investors (e.g., hedge funds) need to borrow from lenders with heterogeneous risk-exposures and risk-management motives. Investors may obtain advantageous terms of borrowing by disclosing their investment strategy, thereby revealing its correlation to the lender's existing risk exposure. Investors risk being “front-run” by their lender if they disclose, however. We show that in the presence of front-running, the “unraveling” result of full disclosure may not hold. In addition, disclosure regulation results in a loss of welfare since investors compelled to disclose will mitigate front-running by choosing a lender with sufficiently high correlation, thus exacerbating concentrations of risk. 相似文献
6.
Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks 总被引：1，自引：0，他引：1
We review key characteristics of the hedge fund industry, and identify conditions under which this sector can pose a threat to financial stability. Direct regulation of hedge funds that increases transparency does not appear feasible, may create a moral-hazard problem, and may reduce market liquidity. Indirect regulation by prime brokers and market discipline by creditors, counterparties, and investors have been effective in limiting the risks from the hedge fund sector. To reduce systemic risks, more regulation of prime brokers is warranted to avoid competitive dynamics from undermining counterparty risk management practices. 相似文献
7.
尹钊 《中央财经大学学报》2008,(8)
本文提出风险价值法和压力测试法的企业风险管理方法,克服了传统方法只给出风险相对严重程度的不足。建立风险量化评估、预警和控制体系,采用优化组合方法,实施一体化风险管理,规避重大风险事件的发生。 相似文献
8.
Until recently, the lack of appropriate harmonized micro data covering both income and wealth has been the major obstacle in analyzing financial vulnerability of the household sector in the euro area. This data problem has been partially circumvented by the dissemination of the Household Finance and Consumption Survey (HFCS). Based on this unique data set, we put forward a stress testing method of household balance sheets in a consistent manner across euro area countries. To this end, we put forward a metric of distress which takes into account both the solvency and liquidity position of the household and demonstrate that this metric outperforms the most common metrics used in the literature, which do not take into account the households’ asset holdings. We calibrate this metric using the country level data on non-performing loan ratios and estimate stress-test elasticities in response to an interest rate shock, an income shock and a house price shock. We find that, albeit euro-area households are relatively resilient as a whole, there are large discrepancies in the impact of macroeconomic shocks across countries. Finally, we demonstrate that our framework could be used to assess some measures mitigating losses to the banks, such as engaging in the restructurings of loans that are at risk of defaulting. 相似文献
9.
We compare the capital shortfall measured by regulatory stress tests, to that of a benchmark methodology — the “V-Lab stress test” — that employs only publicly available market data. We find that when capital shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is not well correlated to the ranking of the V-Lab stress test, whereas rank correlations increase when required capitalization is a function of total assets. We show that the risk measures used in risk-weighted assets are cross-sectionally uncorrelated with market measures of risk, as they do not account for the “risk that risk will change.” Furthermore, the banks that appeared to be best capitalized relative to risk-weighted assets were no better than the rest when the European economy deteriorated into the sovereign debt crisis in 2011. 相似文献
10.
高全胜 《中央财经大学学报》2006,(9):50-56
压力测试方法是考察市场潜在风险和进行风险管理的重要方法,也可以用来研究宏观经济市场的稳定性问题。相容风险测度CVaR作为风险计量方法在经济逻辑和数理逻辑上具有一定的合理性,实验结果表明,同时利用混合分布来模拟股票收益的厚尾性质,可以比较恰当地刻画市场风险特征。在对我国股票市场投资风险进行稳定性研究时,同样使用混合正态分布作为压力测试背景,通过股票市场风险对股价涨跌变量、市场不确定性变量和市场间协同变量的变化敏感程度的实证分析表明,我国股票市场对宏观经济环境的变化反应比较迟钝,股市价格的运行方式主要受市场内部投机因素的影响较大。 相似文献
11.
This paper examines whether investors chase hedge fund investment styles. We find that better-performing and more popular styles are rewarded with higher inflows in subsequent periods. This indicates that investors compare hedge fund styles in terms of recent performance and popularity, and they subsequently reallocate funds from less successful to more successful styles. Furthermore, we find evidence of competition between individual hedge funds of the same style. Funds outperforming the other funds in their styles and funds whose inflows exceed the average flows in their styles experience higher inflows in subsequent periods. One of the reasons for competition among same-style funds is investors’ search for the best managers. The high minimum investment required to invest in a hedge fund limits investors’ diversification opportunities and makes this search particularly important. Finally, we show that hedge fund investors’ implementation of style chasing in combination with intra-style fund selection represents a smart strategy. 相似文献
12.
There are increasing calls for the regulation of hedge funds, both for consumer protection and systemic reasons. We argue that the consumer protection arguments for direct regulation are not convincing, but find that the systemic concerns are sufficiently serious to warrant some forms of regulation. Existing regulatory methods, disclosure and activity restrictions, are unsuitable for hedge funds. Any future regulation must reduce the likelihood and potential costs of the failure of systemically important hedge funds while at the same time preserving the wider market benefits of hedge funds’ ongoing activities. 相似文献
13.
This paper presents the first comprehensive study on the determinants of public pension fund investment risk and reports several new important findings. Unlike private pension plans, public funds undertake more risk if they are underfunded and have lower investment returns in the previous years, consistent with the risk transfer hypothesis. Furthermore, pension funds in states facing fiscal constraints allocate more assets to equity and have higher betas. There also appears to be a herding effect in that CalPERS equity allocation or beta is mimicked by other pension funds. Finally, our results suggest that government accounting standards strongly affect pension fund risk, as higher return assumptions (used to discount pension liabilities) are associated with higher equity allocation and portfolio beta. 相似文献
14.
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside the banking system. Using data extracted from the European Banking Authority, we present the interdependency network composed of 48 banks and 21 asset classes. For the robustness, we employ three methods, called Anan, Hała and Maxe, to reconstruct the asset/liability cross-holding network. Then we combine the external portfolio holdings of each bank to compute the interdependency matrix. The interdependency network is much denser than the direct cross-holding network, showing the complex latent interaction among banks. Finally, we perform macroprudential stress tests for the European banking system, using the adverse scenario in EBA stress test as the initial shock. For different reconstructed networks, we illustrate the hierarchical cascades and show that the failure hierarchies are roughly the same except for a few banks, reflecting the overlapping portfolio holding accounts for the majority of defaults. We also calculate systemic vulnerability and individual vulnerability, which provide important information for supervision and relevant management actions. 相似文献
15.
This study contributes to the literature by making a first step toward implementing a comprehensive internally coherent measurement of systemic risk in a country. It measures systemic risk and the ensuing conditional contingent liabilities of the sovereign stemming from Luxembourg’s Other Systemically Important Institutions (OSIIs), the Global Systemically Important Banks (G-SIBs) to which they belong, the investment funds sponsored by the OSIIs, the household and the non-financial corporate sectors. The ensuing estimated systemic contingent claims are included in a stochastic version of the general government’s balance sheet to gauge their impact on the country’s sovereign risk. Results indicate that time-varying conditional implicit guarantees from OSSIs are larger than those from G-SIBs and investment funds, while systemic risk stemming from the household and non-financial corporate sectors is moderate. The robustness of the sovereign is not drastically affected by systemic risk stemming from the rest of the economy. However, illustrating the so-called “deadly embrace”, sovereign risk would significantly rise as a result of a historically plausible increase in sovereign assets’ value volatility combined with an economy-wide shock. The main policy implication is that financial stability stands on two columns, a resilient financial sector and a sustainable fiscal position. 相似文献
16.
Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990–2008, and we test the role of each factor in explaining their returns. Our results shed new light on pension funds’ sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results significantly. Although active management plays a minor role in global asset allocation, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active management as a source of performance for pension funds, at least at the asset class level. 相似文献
17.
The combination of rising home prices, declining interest rates, and near-frictionless refinancing opportunities can create unintentional synchronization of homeowner leverage, leading to a “ratchet” effect on leverage because homes are indivisible and owner-occupants cannot raise equity to reduce leverage when home prices fall. Our simulation of the U.S. housing market yields potential losses of $1.7 trillion from June 2006 to December 2008 with cash-out refinancing vs. only $330 billion in the absence of cash-out refinancing. The refinancing ratchet effect is a new type of systemic risk in the financial system and does not rely on any dysfunctional behaviors. 相似文献
18.
We present evidence on the trading and performance impact of buy-side analysts. Using data provided by a large global asset manager, we relate buy-side analysts’ recommendations to fund transactions on a daily basis. We show that buy-side analysts significantly influence trading decisions: Fund managers strongly follow recent recommendation revisions, even after controlling for other trading determinants. Positive abnormal returns to buy-side analysts’ revisions are also reflected in the performance of mutual fund trades: Trades triggered by buy-side recommendations have higher returns than other trades. Overall, the impact of buy-side analysts is more pronounced than that of sell-side analysts. 相似文献
19.
作为我国商业银行最重要的非信贷资产业务,债券投资如何影响银行系统性风险?理论分析表明,债券投资对系统性风险的综合影响取决于其个体风险分散效应和系统关联性提升效应孰强孰弱。在此基础上,本文应用2008-2018年25家上市银行季度数据,实证检验债券投资对系统性风险的影响。结果发现,债券投资同时具有降低银行个体风险和增加银行个体与系统关联性的效果。进一步分析表明,一方面,对于规模较小的商业银行而言,债券投资的个体风险分散效应较弱、系统关联性提升效应较强;另一方面,商业银行持有较多以公允价值计量的债券时,债券投资的系统关联性提升效应较强。本文研究对于监管部门协调微观审慎和宏观审慎监管、防范债券投资业务引致系统性风险具有重要的启示意义。 相似文献
20.
We examine the impact of the financial crisis on the stock market valuation of large and systemic U.S. bank holding companies (BHCs). Using the Bertsatos and Sakellaris (2016) model of fundamental valuation of bank equity, we provide evidence that the financial crisis has not altered investors’ attitudes towards bank characteristics. In particular, before, during, and after the crisis, investors in large and systemic U.S. BHCs seemed to penalize leverage, albeit temporarily. Both before and after the crisis, they reward size in the short run. This pattern is appearing only briefly during the crisis. We also show that bank opacity plays no role in market valuation either in the short run or in the long run. Last but not least, we find evidence that stress testing has been informative to the market and that those BHCs that failed at the post-crisis stress tests were not subsequently valued differently by the market. 相似文献