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Corporate Loan Spreads and Economic Activity 企业贷款息差与经济活动
Pub Date : 2021-10-11 DOI: 10.2139/ssrn.3717358
A. Saunders, Alessandro Spina, Sascha Steffen, D. Streitz
We use secondary corporate loan-market prices to construct a novel loan-market-based credit spread. This measure has considerable predictive power for economic activity across macroeconomic outcomes in both the U.S. and Europe and captures unique information not contained in public market credit spreads. Loan-market borrowers are compositionally different and particularly sensitive to supply-side frictions as well as financial frictions that emanate from their own balance sheets. This evidence highlights the joint role of financial intermediary and borrower balance-sheet frictions in understanding macroeconomic developments and enriches our understanding of which type of financial frictions matter for the economy
我们使用二级企业贷款市场价格来构建一个新的贷款市场信用利差。这一指标对美国和欧洲的宏观经济结果的经济活动具有相当大的预测能力,并捕获了公开市场信用利差中未包含的独特信息。贷款市场的借款人在结构上有所不同,对供给侧摩擦以及自身资产负债表产生的金融摩擦尤其敏感。这一证据突出了金融中介机构和借款人资产负债表摩擦在理解宏观经济发展中的共同作用,并丰富了我们对哪种类型的金融摩擦对经济有影响的理解
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引用次数: 10
The Effect of Internal and External Factors on Credit Risk : A Study on Shawbrook Bank Limited in United Kingdom 内外因素对信用风险的影响——以英国肖布鲁克银行有限公司为例
Pub Date : 2021-09-30 DOI: 10.2139/ssrn.3933670
Hui Qie Pang
Shawbrook Bank Ltd is a commercial bank serving wide range of savings and lending products to their customers especially small and medium enterprises. Therefore, credit risk associated with the loans is high. The purpose of this study is to study the effect of internal factors, external factors and both internal and external factors on the credit risk of Shawbrook. The study is done by investigating the annual reports from 2015 to 2019. This study used multiple linear regression model to analyze the data. The findings show that GDP growth is the most significant variable to the credit risk of the bank. The bank should have prepared well even when the economic is good. Since economic recession is unavoidable, Shawbrook must maintain minimum capital to absorb the loss during economic recession.
肖布鲁克银行有限公司是一家商业银行,为客户提供广泛的储蓄和贷款产品,特别是中小企业。因此,与贷款相关的信用风险很高。本研究的目的是研究内部因素、外部因素以及内外因素对肖布鲁克信用风险的影响。该研究是通过调查2015年至2019年的年度报告完成的。本研究采用多元线性回归模型对数据进行分析。研究结果表明,GDP增长是影响银行信用风险的最显著变量。即使在经济状况良好的时候,银行也应该做好充分的准备。由于经济衰退是不可避免的,Shawbrook必须保持最低限度的资本来吸收经济衰退期间的损失。
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引用次数: 0
Systemic Risk in Interbank Networks: Disentangling Balance Sheets and Network Effects 银行间网络的系统性风险:解除资产负债表和网络效应
Pub Date : 2021-09-29 DOI: 10.2139/ssrn.3933626
Alessandro Ferracci, G. Cimini
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank dynamics, we measure observed systemic risk on e-MID network data (augmented by BankFocus information) and compare it with the expected systemic of a null model network -- obtained through an appropriate maximum-entropy approach constraining relevant balance sheet variables. We show that the aggregate levels of observed and expected systemic risks are usually compatible but differ significantly during turbulent times -- in our case, after the default of Lehman Brothers (2009) and the VLTRO implementation by the ECB (2012). At the individual level instead, banks are typically more or less risky than what their balance sheet prescribes due to their position in the network. Our results confirm on one hand that balance sheet information used within a proper maximum-entropy network model provides good systemic risk estimates, and on the other hand the importance of knowing the empirical details of the network for conducting precise stress tests of individual banks -- especially after systemic events.
我们研究了在银行间网络上经验测量的系统风险水平与可以从参与银行的资产负债表构成中推断出的风险之间的差异。使用广义DebtRank动态,我们测量了e-MID网络数据(由BankFocus信息增强)上观察到的系统风险,并将其与零模型网络的预期系统进行比较——通过约束相关资产负债表变量的适当最大熵方法获得。我们表明,观察到的和预期的系统性风险的总水平通常是相容的,但在动荡时期存在显著差异——在我们的案例中,在雷曼兄弟违约(2009年)和欧洲央行实施VLTRO(2012年)之后。相反,在个人层面上,由于银行在网络中的地位,它们的风险通常高于或低于其资产负债表所规定的风险。我们的研究结果一方面证实,在适当的最大熵网络模型中使用的资产负债表信息提供了良好的系统风险估计,另一方面证实了了解网络的经验细节对于对单个银行进行精确压力测试的重要性——尤其是在系统性事件发生后。
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引用次数: 1
Credit & Lending Decisions Assessment Report on Ramsay Health Care 拉姆齐医疗保健信贷决策评估报告
Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3921874
Vasilios Triantafilakis
Ramsay Health Care Limited (RHC) is an Australian public listed company that provides various quality health care through a worldwide network of clinical practices, research, and teaching. It is the largest company in the industry of private general hospitals in Australia, with more than 8.5 million patient visits/admissions per year, around 77,000 employees, 519 facilities and hospitals in 11 countries of 4 regions which are Australia, Europe, the UK, and Asia (Ramsay Health Care 2020). RHC has achieved organic growth, developed abandoned industrial facilities and expanded its capacity and acquisitions both internationally and domestically (IBISWorld 2021). This report evaluates the creditworthiness of Ramsay Health Care and allocates a credit outcome for this company. Firstly, in financial analysis, ratios have been calculated to determine the financial performance of the company. Then, in the non-financial analysis part, non-financial information that influences the creditworthiness of the company is analysed. After that, in the market/industry section, the company’s market position will be compared to the industry conditions to determine the impacts on the current and potential performance of the company. Finally, in the conclusion part, a credit determination is made based on this report’s findings.
Ramsay Health Care Limited (RHC)是一家澳大利亚上市公司,通过全球临床实践、研究和教学网络提供各种优质医疗服务。它是澳大利亚私立综合医院行业中最大的公司,每年有超过850万患者就诊/入院,约77,000名员工,在澳大利亚,欧洲,英国和亚洲4个地区的11个国家拥有519家设施和医院(Ramsay Health Care 2020)。RHC实现了有机增长,开发了废弃的工业设施,并在国际和国内扩大了产能和收购(IBISWorld 2021)。本报告评估了拉姆齐医疗保健公司的信誉,并为该公司分配了一个信用结果。首先,在财务分析中,计算比率来确定公司的财务绩效。然后,在非财务分析部分,分析了影响公司信誉度的非财务信息。之后,在市场/行业部分,将公司的市场地位与行业状况进行比较,以确定对公司当前和潜在业绩的影响。最后,在结论部分,根据本报告的研究结果进行信用认定。
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引用次数: 0
Identifying the Information Polarities in Credit Risk Transfer Instruments; A Case for Regulatory Product Intervention and Product Liability Framework 信用风险转移工具的信息极性识别监管产品干预与产品责任框架案例
Pub Date : 2021-08-23 DOI: 10.2139/ssrn.3910048
Odunayo Olowookere
Financial innovation provides an accommodating avenue for parties to develop strategic means to prevent or avoid risk by spreading it across the financial system through efficient transferral to other parties. This transferral is done in numerous ways, the most notorious of which is through Credit Risk Transfer (CRT) Instruments. Consequently, the ideology of moving risk or seeing risk as being valuable and the ease of doing such transferral feeds the risk appetite of investors and makes them underestimate the implication of the credit risk they take, making investors fail to take the required protective measures to prevent excessive risk acquisition. The Credit Risk Transfer Markets allow the efficient flow of capital allocation and highly liquid Credit Risk Transfer instruments. By enabling this, markets consequently permit opportunism in risk management by propelling the ‘originate-to-distribute’ model of the Loan and Credit markets. The opportunism process goes thus: human error and moral hazard are encouraged by under collateralisation and risk dispersal mechanisms that tangle-up various Credit Risk that is easy to market in a period of increased risk appetite. Needless to say, the process is not always so straight-jacketed. Liberal regulatory and supervisory responses strengthen the opportunism by allowing the polarisation of Information accumulation. The information being the basis on which investor decisions are made require comprehensive and ‘faithful’ disclosure which, unfortunately, usually is not the case in Credit Risk Transfer. An accepted but irrational belief in the notion that excessive information about the constituent credit risk formulating a substantial portion in a pool of credit instruments or a genre of derivative financial products deters liquidity and investor interest; is a creed in the primary financial institutions. Regulatory intervention is further hindered by the belief in the market mechanisms ability to ‘correct anomalies’ more efficiently than a direct and precise regulatory intervention would. The aim of this work is to attempt pointing out the flaws in the liberal regulatory attitude to Credit Risk Transfer activities and advocate a more welfare-suitable approach to Credit Risk Transfer regime by focusing on information availability and collection, and by examining regulatory systems that have been time-tested on their welfare suitability and information efficiency. Though theoretical in nature, this work seeks to serve as a medium for inter-doctrinal analysis of financial products by developing on the legal theory of finance
金融创新为各方提供了一个通融的途径,通过有效地将风险转移到其他各方,从而在整个金融体系中扩散,从而制定战略手段来预防或避免风险。这种转移有多种方式,其中最臭名昭著的是通过信用风险转移(CRT)工具。因此,转移风险或视风险为有价值的意识形态以及这种转移的便利性助长了投资者的风险偏好,使他们低估了他们所承担的信用风险的含义,使投资者未能采取必要的保护措施来防止过度的风险获取。信用风险转移市场允许资本配置和高流动性信用风险转移工具的有效流动。通过实现这一点,市场最终通过推动贷款和信贷市场的“原创-分销”模式,允许风险管理中的机会主义。机会主义的过程是这样的:在风险偏好上升的时期,不健全的担保和风险分散机制将各种容易被推销的信用风险纠缠在一起,从而助长了人为错误和道德风险。不用说,这个过程并不总是那么简单。自由的监管反应允许信息积累的两极分化,从而强化了机会主义。作为投资者决策基础的信息需要全面和“忠实”的披露,不幸的是,在信用风险转移中通常不是这样。一种被接受但不合理的信念,即在信贷工具池或衍生金融产品类型中,有关构成信用风险的过多信息会阻碍流动性和投资者的兴趣;是初级金融机构的信条。相信市场机制能够比直接和精确的监管干预更有效地“纠正异常”,这进一步阻碍了监管干预。这项工作的目的是试图指出自由监管态度对信用风险转移活动的缺陷,并通过关注信息的可用性和收集,并通过检查在其福利适用性和信息效率方面经过时间考验的监管制度,倡导一种更适合福利的信用风险转移制度方法。虽然本质上是理论性的,但这项工作旨在通过发展金融法律理论,作为金融产品理论间分析的媒介
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引用次数: 0
The Role of Shadow Banking and the Systemic Risk in the European Financial System 影子银行在欧洲金融体系中的作用与系统性风险
Pub Date : 2021-08-19 DOI: 10.2139/ssrn.3909992
Carlo Bellavite Pellegrini, Peter Cincinelli, M. Meoli, G. Urga
In the aftermath of the 2008 financial crisis, the development of shadow banking has been seen as one of the determinants for the increase of system risk. While diversity within the shadow banking system has been largely overlooked, in this paper we focus on European Monetary Market Funds (MMFs) and Finance Services (FSs) in order to investigate their influence on systemic risk. We evaluate the impact of their accounting and financial variables on systemic risk using the Adrian and Brunnermeier (2016)'s ∆CoVaR measure. The dataset is composed of 476 listed traditional and shadow European banking entities, over the period 2006:12015:4. We find that the size of financial institutions contributes more to systemic risk, in particular for MMFs. Market-to-book value ratio, beta and equity returns volatility play a crucial role in explaining systemic risk for FSs. Finally, for traditional banks, the short-term liability ratio is a key determinant in increasing systemic risk.
2008年金融危机后,影子银行的发展被视为系统风险增加的决定因素之一。虽然影子银行体系的多样性在很大程度上被忽视了,但在本文中,我们将重点放在欧洲货币市场基金(mmf)和金融服务(FSs)上,以调查它们对系统风险的影响。我们使用Adrian和Brunnermeier(2016)的∆CoVaR度量来评估其会计和金融变量对系统风险的影响。该数据集由476家上市的传统和影子欧洲银行实体组成,时间跨度为2006:12015:4。我们发现,金融机构的规模对系统性风险的贡献更大,尤其是对mmf而言。市净率、贝塔和股本回报率波动性在解释金融服务机构的系统性风险方面起着至关重要的作用。最后,对于传统银行来说,短期负债率是增加系统性风险的关键决定因素。
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引用次数: 0
Supreme Risk 最高的风险
Pub Date : 2021-08-18 DOI: 10.2139/ssrn.3907534
Benjamin Edwards
While many have discussed the social issues that might arise because of a majority-conservative Supreme Court, one critical consequence of the current Supreme Court has been overlooked: the role of the Supreme Court in generating or avoiding systemic risk. For some time, systemic financial risk has been regulated by a mix of self-regulatory organizations (SROs), such as the Depository Trust Corporation, and federal regulators such as the Financial Stability Oversight Council. However, the Supreme Court’s recent jurisprudence now creates real risk that federal courts will declare keystone SROs unconstitutional because they do not fit neatly into an eighteenth-century constitutional framework. SROs are under-appreciated regulatory entities comprised of industry members regulating their own industries with deferential oversight from federal administrative agencies. While ordinary civics discussions entirely omit SROs, they play a critical legal and economic roles and exercise enormous power delegated to them by the federal government. Yet as nominally private entities, they enforce federal law and their own rules without abiding by the restrictions imposed on governmental entities, such as providing due process. This article makes three contributions to the literatures in financial regulation and constitutional law—disciplines which rarely interact. First, it provides a detailed account of how SROs became functionally integrated into the federal government and serve as federal law enforcement and regulators. Second, it shows how four different constitutional doctrines, now resurging under a conservative-majority Supreme Court, pose existential threats to existing SRO models. Third, the Article explains how Supreme Court decisions declaring SROs unconstitutional or limiting their powers generate systemic risk and may trigger a financial crisis.
虽然许多人讨论了可能因多数保守的最高法院而产生的社会问题,但目前最高法院的一个关键后果被忽视了:最高法院在产生或避免系统性风险方面的作用。一段时间以来,系统性金融风险一直由自我监管组织(sro)(如存款信托公司)和联邦监管机构(如金融稳定监督委员会)共同监管。然而,最高法院最近的判例现在造成了真正的风险,即联邦法院将宣布基石sro违宪,因为它们不符合18世纪的宪法框架。sro是不受重视的监管实体,由行业成员组成,在联邦行政机构的恭敬监督下监管自己的行业。虽然普通的公民讨论完全忽略了sro,但它们在法律和经济方面发挥着关键作用,并行使联邦政府授予它们的巨大权力。然而,作为名义上的私人实体,它们执行联邦法律和自己的规则,而不遵守对政府实体施加的限制,比如提供正当程序。本文对金融监管与宪法学这两个少有互动的学科的文献做出了三点贡献。首先,它详细描述了sro如何在功能上融入联邦政府,并担任联邦执法和监管机构。其次,它展示了在保守派占多数的最高法院下,四种不同的宪法原则是如何重新抬头的,它们对现有的SRO模式构成了生死存亡的威胁。第三,该条解释了最高法院宣布sro违宪或限制其权力的决定如何产生系统性风险并可能引发金融危机。
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引用次数: 0
Short Selling Threats and Corporate Default Risk: Evidence from the Chinese Stock Market 卖空威胁与企业违约风险:来自中国股市的证据
Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3901069
Xiaoran Ni, Hongmei Xu
Employing the staggered short-sale deregulation on the Chinese stock market as quasi-exogenous shocks, we find that short selling threats is associated with higher corporate default risk, especially for firms that are more financially constrained, with higher growth rates, and higher information asymmetries. In addition, firms with higher ex-ante default risk experience an increase in the cost of debt and a reduction in new debt financing following the regulatory changes. The increase in default risk does not appear in U.S. listed firms in the context of the Regulation SHO’s pilot program. Overall, our findings indicate that short selling can adversely affect firm prospects through increasing the likelihood of default, especially in an environment where investors are more alien to short selling, short sellers are more able to be manipulative due to weak investor protection, and firms are lack of effective tools to avoid downside risk.
我们将中国股票市场的交错卖空放松管制作为准外生冲击,发现卖空威胁与较高的企业违约风险相关,特别是对于财务约束程度较高、增长率较高、信息不对称程度较高的企业。此外,事前违约风险较高的企业在监管变化后,债务成本增加,新债务融资减少。在监管机构SHO的试点计划中,违约风险的增加并未出现在美国上市公司身上。总体而言,我们的研究结果表明,卖空会通过增加违约可能性对企业前景产生不利影响,特别是在投资者对卖空更加陌生的环境中,卖空者由于投资者保护不力而更容易操纵,企业缺乏有效工具来避免下行风险。
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引用次数: 0
Diversification and the Distribution of Portfolio Variance, Part 2: Volatility Stability as a Measure of Diversification 多元化与投资组合方差的分布,第二部分:波动性稳定性作为多元化的衡量标准
Pub Date : 2021-07-18 DOI: 10.2139/ssrn.3646432
Brian Fleming, Jens Kroeske
We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based only on a covariance matrix are ambiguous because in such a risk setting only the overall portfolio variance is of any import. To resolve this we propose that the purpose of diversification is most helpfully viewed as reducing the variance of portfolio variance itself, which in turn is only meaningful when one accounts for excess kurtosis. Connecting diversification and the variance of variance provides a natural extension to the ubiquitous mean-variance approach. Examples are provided to demonstrate the intuitive nature of portfolios that maximize diversification through minimizing kurtosis. Furthermore, we introduce portfolio dimensionality as a transformation of kurtosis that allows us to interpret diversification in terms of an equivalent number of assets with independent and identically distributed (IID) returns.
我们介绍了一个理解投资组合多样化的新框架,为比较方法提供了一个连贯的基础,并提供了一种新的投资组合构建方法。主要的论点是,仅基于协方差矩阵的多样化措施是模糊的,因为在这样的风险设置中,只有整体投资组合方差是重要的。为了解决这个问题,我们建议将多样化的目的视为减少投资组合方差本身的方差,这反过来只有在考虑过度峰度时才有意义。将多样化和方差的方差联系起来,为普遍存在的均值-方差方法提供了一种自然的延伸。举例说明了通过最小化峰度来最大化多样化的投资组合的直观本质。此外,我们将投资组合维度作为峰度的转换引入,使我们能够根据具有独立和同分布(IID)回报的相等数量的资产来解释多样化。
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引用次数: 2
How Are Coco Bonds Perceived? Going Concern, Gone Concern, or None of the Above? 人们如何看待Coco Bonds ?持续经营,倒闭,还是以上都不是?
Pub Date : 2021-07-08 DOI: 10.2139/ssrn.3882764
Mouctar Bah, Koen Inghelbrecht, K. Schoors, Nicolas Soenen, Rudi Vander Vennet
We investigate the effectiveness of CoCo bonds as a credible recapitalization or resolution tool for distressed banks in Europe. Using yields on CoCo and senior bank bonds, we construct a CoCo premium to capture bank stress and we analyze whether or not this premium is related to bank systemic risk, captured by the marginal expected shortfall (MES), as well as individual bank risk. We find that increases of the CoCo spread are positively associated with both bank systemic risk and bank default risk. These results suggest that market participants do not consider CoCo bonds as ‘going concern’ capital. Since we also find that senior and subordinated bondholders perceive the probability of a bail-in as higher during times of an elevated CoCo premium, this implies that CoCo bonds are not considered as a credible recovery or resolution tool under the BRRD regime. Furthermore, the impact of CoCo bonds is not limited to bank-specific systemic and credit risk but also affects the risk profile of other banks. Our results suggest that policy actions are needed to render the European bank bail-in regime more credible.
我们调查了CoCo债券作为欧洲陷入困境的银行的可靠资本重组或解决工具的有效性。利用CoCo和高级银行债券的收益率,我们构建了CoCo溢价来捕捉银行压力,并分析该溢价是否与银行系统风险(由边际预期缺口(MES)捕获)以及单个银行风险相关。我们发现CoCo息差的增加与银行系统性风险和银行违约风险呈正相关。这些结果表明,市场参与者不认为CoCo债券是“持续经营”资本。由于我们还发现,高级和次级债券持有人认为,在CoCo溢价较高的时期,内部纾困的可能性更高,这意味着在BRRD制度下,CoCo债券不被视为可靠的恢复或解决工具。此外,CoCo债券的影响不仅限于银行特有的系统和信用风险,还会影响其他银行的风险状况。我们的研究结果表明,需要采取政策行动,使欧洲银行纾困机制更加可信。
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引用次数: 0
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