银行违约风险是否系统化?外文翻译资料

 2022-11-19 14:36:45

Journal of Banking amp; Finance 37 (2013) 2000–2010

Contents lists available at SciVerse ScienceDirect

Journal of Banking amp; Finance

j o u r n a l h o m e p a g e : w w w . e l s ev i e r . c o m / l o c a t e / j b f

Is bank default risk systematic?

Franco Fiordelisi a, , David Marqueacute;s-Ibantilde;ez b

  • Department of Business Studies, University of Rome III, Via S. Drsquo;Amico 77, 00145 Rome, Italy b European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

a r t i c l e i n f o

Article history:

Available online 26 January 2013

JEL classification:

G12

G21

G32

Keywords:

Systematic risk

Default risk

Banking

a b s t r a c t

We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of inter-connectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire system. Using several measures of individual bank risk our results show that these measures have a direct impact on European banking (i.e. systemic) stock market risk. We also provide strong evidence suggesting that, for listed banks, default risk tends to be systematic (i.e. non-diversifiable).

2013 Published by Elsevier B.V.

1. Introduction

A firm defaults when it is unable to meet its financial obliga-tions. To account for the impact of default risk, equity investors implicitly charge a spread, in the form of expected dividends or stock market appreciation, over the risk-free interest rate that cor-responds to its estimated default risk. The higher the risk, the high-er the required return and vice versa. Classic modern portfolio theory shows that investors can diversify their investments and, in equilibrium, the spread required to invest in a company is, in principle, not influenced by idiosyncratic but rather by systematic factors. As a result, the risk undertaken by investors is given by the covariance (or sensitivity) of returns to economy-wide factors (Ross, 1989).

There are two cases in which the equity premium is influenced by idiosyncratic default risk. First, if investors do no hold perfectly diversified portfolios (Fu, 2009),1 and, second, if default risk is sys-tematic (i.e. non-diversifiable). In the banking industry, the default risk can also become systematic when the failure of a single bank does not only affect that single company but can spill over to other (i.e. financial and non-financial) institutions. This increase in overall financial risk that cannot be diversified away is expected to corre-

Corresponding author. Tel.: 39 065 733 5672; fax: 39 065 733 5797.

E-mail addresses: fiordelisi@uniroma3.it (F. Fiordelisi), David.Marques@ecb.int (D. Marqueacute;s-Ibantilde;ez).

0378-4266/$ - see front matter 2013 Published by Elsevier B.V.

http://dx.doi.org/10.1016/j.jbankfin.2013.01.004

spond to a higher premium charged by investors for bearing such a risk (Campbell et al., 2008). Compared to other sectors, there are theoretical reasons to expect that this second factor (i.e. the system-atic component of default) plays a particularly important role in the banking industry. The first reason relates to the systemic nature of banking. That is, within the financial system there are banks whose default can potentially generate a cascade of failures. In such cases, the failure of one of these banks does not affect just its own stock market prices but also those of a large percentage of other banks. In contrast, there are other banks whose default is highly unlikely to generate a cascading failure. In the latter case, default risk is mostly idiosyncratic and investors can diversify it away. Tradition-ally, the incidence of systemic risk by banks was mostly associated to size but the recent financial crisis has shown that there are other factors having an impact on systemic risk (Schwaab et al., 2011).

The second reason default risk can be systemic in banking is re-lated to contagion2 or risk diversification practices among banks due, for instance, to securitization. As shown by Wagner (2010), by facilitating the distribution of risk among banks more easily, securi-tization can also increase the chances of joint failure.3

Thirdly, an individual bank default can also have adverse effects on non-financial companies. For instance, due to its impact on the

Babus, 2009; Gai and Kapadia, 2010).

3 If the systemic risk is introduced in the Wagner (2010) model, this would further increase the adverse effect of diversification since a b

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银行违约风险是否系统化?

Franco Fiordelisi ,DavidMarqueacute;s-Ibantilde;ez

Department of Business Studies, University of Rome III, Via S. Drsquo;Amico 77, 00145 Rome, Italy European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

1.介绍

一家公司在无法履行其财务义务时违约。为了解释违约风险的影响,股本投资者以预期股息或股票市场升值的形式隐含地将利差与相应于其预计违约风险的无风险利率相比较。风险越高,所需回报越高,反之亦然。传统的现代投资组合理论表明,投资者可以使投资多样化,并且在均衡情况下,投资于公司的价差原则上不受特质因素影响,而是受系统因素影响。因此,投资者承担的风险由经济因素收益的协方差(或敏感性)给出(Ross,1989)。有两种情况是股权溢价受到特殊违约风险的影响。首先,如果投资者没有持有完全多样化的投资组合(Fu,2009),其次,如果违约风险是系统性的(即不可分散的)。在银行业中,如果单一银行的失败不仅影响单一公司,而且可能蔓延至其他(即金融和非金融)机构,则违约风险也可能变得系统化。预计这种无法多样化的整体金融风险增加与投资者承担这种风险所收取的较高溢价相符(Campbell et al。,2008)。与其他部门相比,有理论上的理由可以预计,第二个因素(即违约的系统组成部分)在银行业中起着特别重要的作用。第一个原因与银行的系统性有关。也就是说,在金融体系内,有些银行的违约可能会导致一连串的失败。在这种情况下,这些银行之一的失败不仅影响其自身的股票市场价格,还影响其他银行的大部分股票价格。相比之下,还有其他银行的违约不太可能导致级联失败。在后一种情况下,违约风险主要是特殊的,投资者可以将其分散。传统上,银行系统性风险的发生主要与规模相关,但最近的金融危机表明,还有其他因素会影响系统性风险(Schwaab et al。,2011)。

银行业违约风险可以是系统性的第二个原因与银行间的传染或风险多样化做法有关,例如,由于证券化。如Wagner(2010)所示,通过更容易地促进银行间风险分配,证券化还可能增加关节失败的机会.第三,个别的银行违约也会对非金融公司产生不利影响。例如,如果银行部门与整体金融市场之间存在更密切的关系,由于其对借款人信贷供应的影响,或者通过金融市场融资成本的感知增加(Boot和Thakor, 2010)。因此,有些银行的失败不仅影响到自己的股票市场持有者或其他银行的股东,而且影响到所有股票。在这些情况下,银行违约风险的增加也会增加整体金融市场的风险(被称为“系统性风险”)。由于后者不能多元化,投资者要承担这种风险的溢价。由此产生的一个自然的实证问题是银行违约风险是否系统化?因此,我们的论文考察了个别银行违约风险对系统性和系统性风险的常用测度的影响。虽然各种研究探讨了违约风险是否有系统性(Lang和Stulz,1992; Denis和Denis,1995; Opler和Titman,1994; Asquith等,1994; Altman 1993; Dichev,1998; Vassalou和Xing,2004; Campbell 2008年),大部分早期的工作没有区分银行和非银行公司。据我们所知,Bijlsma和Muns(2011)以及Buhler和Prokopczuk(2010)这两个例外将使用极值理论来分析包括金融和非金融两个部门在内的多个部门的系统性风险。他们都发现银行业的系统性风险更强。

我们发现,对于上市银行而言,个别违约风险指标有助于增加银行业(即系统性)和整体(即系统性)风险。本文的第二个贡献是我们提供了行业和公司层面上特质波动演变的证据。我们的论文也阐明了资产多样化和宏观经济条件等其他因素如何影响系统性和系统性风险。

我们的结果对上市银行具有谨慎的监管影响。传统上,监管者依赖微观监管方法,假设银行体系的稳定性是通过控制其每个组成部分的稳定性来实现的。例如,银行监管已根据独立资本要求应用于系统中的所有银行,这些独立资本要求是根据各银行的风险头寸计算的。这种“独立”的方法也被嵌入到全球绝大多数潜在保险计划和银行监管体系中。最近的金融危机挑战了这种逻辑,强调了将当前框架与宏观审慎监管方法相结合的好处。例如,通过识别那些构成较强系统性风险的银行(即对系统稳定性至关重要的机构),并对这些机构施加更严格的监管要求。

本文的其余部分安排如下:第2部分提供文献回顾。研究假设在第3节中阐述。模型和数据出现在第4节中,而第5节则描述了在不同模型中使用的变量。第6节讨论了实证结果,第7节介绍了鲁棒性检查,第8节结束。

2、文献综述

我们的工作涉及到几个文献。首先,也是最重要的是研究探究违约风险是系统的还是特殊的(Lang和Stulz,1992; Denis和Denis,1995; Opler和Titman,1994; Asquith等,1994; Altman 1993; Dichev,1998; Vassalou和Xing,2004; Campbell等,2008)。

Lang和Stulz(1992),Denis和De-nis(1995)以及Vassalou和Xing(2004)发现破产风险主要与总体因素有关,但破产与系统风险之间关系的现有证据大多混杂在一起。这反过来又意味着破产风险可能与系统性风险正相关。在相反,奥普勒和蒂特曼(1994),阿斯奎斯等人。 (1994)和Dichev(1998)认为,行业的破产风险主要是由特质因素造成的。

这种混合的证据可能是由于用来衡量违约风险的各种指标。也就是说,使用会计模型(Dichev,1998; Griffin和Lem-mon,2002)以及来自债券的信息(Holthausen和Leftwich,1986; Hand等人,1992; Dichev和Piotroski, 2001)和股权(Vassalou和Xing,2004; Campbell等,2008)。Bijlsma和Muns(2011)发现,与保险,建设和食品部门相比,银行业的系统性风险显着较大。根据Bijlsma和Muns(2011)的观点,银行业的依存性主要受共同因素驱动,而在其他部门,它们通常受特质因素驱动。此外,布勒和Pro-kopczuk(2010)使用极值理论分析了多个部门的系统性风险。他们发现银行业的行业风险远远大于其他行业,尤其​​是在不利的市场条件下。

我们的论文也与一些研究有关,这些研究基于股票市场回报分析了银行业绩的决定因素和银行风险度量。其中一些研究关注股票市场收益与资本水平之间的联系(Demirguuml;ccedil;-Kunt et al。,2010),股票收益与银行治理之间的联系(Beltratti and Stultz,2009; Laeven and Levine,2009)或非利率收入和银行风险之间(Baele等,2007)。我们的工作也与探讨银行体系风险的文献有关。受近期金融危机的驱动,不同的巴拿马人已经提出了新的用于衡量系统风险的实证方法,如边际预期缺口(Acharya等,2010),有条件价值风险(Adrian and Brunenermeier,2008) )和期权价格信息(Knaup和Wagner,2010)。与以往的研究不同,我们关注个体银行指标与银行业系统性风险之间的联系,从而认识到这一行业的具体特点.4我们还分析了各国银行的大量样本,并选择了各种各样的违约风险指标为银行。

具体而言,我们构建了一个独特的数据集,其中包括基于会计信息(Z-分数)以及债券(基于评级的违约概率)和权益(预期违约频率)市场信息的银行风险度量。我们也旨在解决银行风险的系统性,系统性和特殊性组成部分。这使我们能够更直接地检验个别违约风险和广泛风险之间的联系,而不是暗示这种股票收益的关系

因此,我们探索个人违约和系统风险之间的联系,为上市银行提供经验证据。我们的结论表明,银行违约风险有一个强有力的系统组成部分定期运行在其他因素之上。我们表明,对于上市银行而言,银行风险的不同组成部分往往会一起移动,使多元化更加复杂。我们还在以前的工作基础上分析了可能导致个人风险在银行体系中变得系统化的因素(包括资本水平,商业模式,运营效率和市场势力)。

表1

示例说明

年份

AUS

BEL

DEN

FIN

FRA

GER

GRE

IRE

ITA

NET

POR

SPA

SWE

UK

Total

A组

1997

0

0

7

3

6

6

1

2

14

1

5

8

1

1

55

1998

1

0

7

3

7

8

5

2

18

2

8

11

2

2

76

1999

1

1

7

3

9

9

3

2

13

2

8

7

2

4

71

2000

1

2

8

3

9

9

5

3

14

2

2

8

1

5

72

2001

1

2

8

3

10

9

5lt;

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