| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18043 |
| 来源ID | Working Paper 18043 |
| Tracking Variation in Systemic Risk at US Banks During 1974-2013 | |
| Armen Hovakimian; Edward J. Kane; Luc Laeven | |
| 发表日期 | 2012-05-03 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial institutions using publicly available accounting and stock market data. The measure models the credit enhancement taxpayers provide to individual banks in the Merton tradition (1974) as a combination put option for the deep tail of bank losses and a knock-in stop-loss call on bank assets. This model expresses the value of taxpayer loss exposure from a string of defaults as the value of this combination option written on the portfolio of industry assets. The exercise price of the call is the face value of the debt of the entire sector. We conceive of an individual bank’s systemic risk as its contribution to the value of this sector-wide option on the financial safety net. To the extent that authorities are slow to see bank losses or reluctant to exercise the call, the government itself becomes a secondary source of systemic risk. We apply our model to quarterly data over the period 1974-2013. The model indicates that systemic risk reached unprecedented highs during the financial crisis years 2008-2009, and that bank size, leverage, and asset risk are key drivers of systemic risk. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w18043 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575719 |
| 推荐引用方式 GB/T 7714 | Armen Hovakimian,Edward J. Kane,Luc Laeven. Tracking Variation in Systemic Risk at US Banks During 1974-2013. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18043.pdf（610KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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