{"title":"Enterprise Risk Management, Risk-Taking, and Macroeconomic Implications: Evidence from Bank Mortgage Loan Management","authors":"Shiang Liu, Jianren Xu","doi":"10.1007/s10693-024-00422-0","DOIUrl":null,"url":null,"abstract":"<p>We investigate how enterprise risk management (ERM) reshapes firm risk-taking behaviors. Using loan-level data, we find that ERM does not affect bank mortgage loan origination but increases loan sales. To strengthen identification, we employ a staggered difference-in-differences approach in matched samples and instrumental variables. The channel analysis reveals a stronger ERM impact on mortgage sales for high default-risk loans and when macroeconomic risk is greater, suggesting a risk-transfer effect. ERM influences firms by identifying risky business and external risks, thereby altering risk transfer/retention policies. Additionally, banks with ERM incorporate macroeconomic conditions when setting loan loss provisions, reducing credit market procyclicality.</p>","PeriodicalId":51503,"journal":{"name":"Journal of Financial Services Research","volume":null,"pages":null},"PeriodicalIF":1.5000,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Services Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s10693-024-00422-0","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We investigate how enterprise risk management (ERM) reshapes firm risk-taking behaviors. Using loan-level data, we find that ERM does not affect bank mortgage loan origination but increases loan sales. To strengthen identification, we employ a staggered difference-in-differences approach in matched samples and instrumental variables. The channel analysis reveals a stronger ERM impact on mortgage sales for high default-risk loans and when macroeconomic risk is greater, suggesting a risk-transfer effect. ERM influences firms by identifying risky business and external risks, thereby altering risk transfer/retention policies. Additionally, banks with ERM incorporate macroeconomic conditions when setting loan loss provisions, reducing credit market procyclicality.
期刊介绍：
The Journal of Financial Services Research publishes high quality empirical and theoretical research on the demand, supply, regulation, and pricing of financial services. Financial services are broadly defined to include banking, risk management, capital markets, mutual funds, insurance, venture capital, consumer and corporate finance, and the technologies used to produce, distribute, and regulate these services. Macro-financial policy issues, including comparative financial systems, the globalization of financial services, and the impact of these phenomena on economic growth and financial stability, are also within the JFSR’s scope of interest. The Journal seeks to promote research that enriches the profession’s understanding of financial services industries, to elevate industry and product efficiencies, as well as to inform the debate and promote the formulation of sound public policies. Officially cited as: J Financ Serv Res
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