| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13715 |
| DP13715 Bank Risk Dynamics and Distance to Default | |
| Stefan Nagel; Amiyatosh Purnanandam | |
| 发表日期 | 2019-05-04 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We adapt structural models of default risk to take into account the special nature of bank assets. The usual assumption of log-normally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims, which implies that they embed a short put option on the borrowers’ assets, leading to a concave payoff. This has important consequences for banks’ risk dynamics and distance to default estimation. Due to the payoff non-linearity, bank asset volatility rises following negative shocks to borrower asset values. As a result, standard structural models in which the asset volatility is assumed to be constant can severely understate banks’ default risk in good times when asset values are high. Bank equity payoffs resemble a mezzanine claim rather than a call option. Bank equity return volatility is therefore much more sensitive to big negative shocks to asset values than in standard structural models. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp13715 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542578 |
| 推荐引用方式 GB/T 7714 | Stefan Nagel,Amiyatosh Purnanandam. DP13715 Bank Risk Dynamics and Distance to Default. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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