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Systemic Risk Modeling: How Theory Can Meet Statistics
Mr.Raphael A EspinozaMiguel A. SegovianoJi Yan
出版International Monetary Fund, 2020-03-13
主題Business & Economics / Banks & BankingBusiness & Economics / Finance / GeneralBusiness & Economics / Industries / Financial Services
ISBN15135361769781513536170
URLhttp://books.google.com.hk/books?id=C7AaEAAAQBAJ&hl=&source=gbs_api
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註釋We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a “Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses “cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.