JOURNAL OF EMPIRICAL FINANCE, VOL44, DECEMBER 2017

系统性风险与内生性违约损失

作者：Pieter IJtsma (University of Groningen)

Laura Spierdijk (University of Groningen)

摘要：当许多金融机构同时破产时，系统中的其余机构不太可能有足够的流动性来收购所有破产机构。因此，一些资产必须被清算并以“甩卖价”卖给外部人员，这使得破产机构债权人潜在的高额违约损失（LGDs）上升。本文研究分析了这种甩卖机制对系统性风险的影响。我们的研究结果表明，当不考虑甩卖的潜在可能性以及带来的LGDs的内生性时，系统性风险很可能被严重低估。负偏差的大小也随资产收益率相关性、银行回报率波动性、银行贷款资产专用性程度以及银行业集中度等因素的增加而增加。分析表明，随时间变化的流动性要求是减少甩卖潜在风险，从而降低系统风险的有效途径。

关键词：金融稳定性，系统性风险，甩卖

Systemic Risk with Endogenous Loss Given Default

Pieter IJtsma (University of Groningen), Laura Spierdijk (University of Groningen)

ABSTRACT

When many financial institutions fail simultaneously, the remaining institutions in the system are unlikely to have sufficient liquidity to acquire all failed institutions. As a result, some assets will have to be liquidated and sold to outsiders at firesale prices, giving rise to a potentially high losses given default (LGDs) for creditors of failed institutions. This study analyzes the consequences of this firesale mechanism for systemic risk. Our findings suggest that systemic risk is likely to be heavily underestimated when the potential for firesales, and thereby the endogenous nature of LGDs, is not taken into account. The magnitude of the negative bias increases with asset return correlations, banks’ return variability, the degree of asset specificity of bank loans and the degree of concentration in the banking sector. The analysis suggests that time-varying liquidity requirements are an effective way to reduce the potential for firesales and thereby lower systemic risk.

Keywords: Financial Stability, Systemic Risk, Firesales

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927539817300877

翻译：王秭越