系统性风险

FinanceandEconomicsDiscussionSeriesDivisionsofResearch&StatisticsandMonetaryAffairsFederalReserveBoard,Washington,D.C.AssessingtheSystemicRiskofaHeterogeneousPortfolioofBanksDuringtheRecentFinancialCrisisXinHuang,HaoZhou,andHaibinZhu2009-44NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.AssessingtheSystemicRiskofaHeterogeneousPortfolioofBanksduringtheRecentFinancialCrisis∗XinHuang†HaoZhou‡HaibinZhu§October2009Abstract:Thispaperextendstheapproachofmeasuringandstress-testingthesystemicriskofabankingsectorinHuang,Zhou,andZhu(2009)toidentifyingvarioussourcesoffinancialinstabilityandtoallocatingsystemicrisktoindividualfinancialinstitutions.Thesystemicriskmeasure,definedastheinsurancecosttoprotectagainstdistressedlossesinabankingsystem,isarisk-neutralconceptofcapitalbasedonpubliclyavailableinformationthatcanbeappropriatelyaggregatedacrossdifferentsubsets.Anapplicationofourmethodologytoaportfoliooftwenty-twomajorbanksinAsiaandthePacificillustratesthedynamicsofthespillovereffectsoftheglobalfinancialcrisistotheregion.Theincreaseintheperceivedsystemicrisk,particularlyafterthefailureofLehmanBrothers,wasmainlydrivenbytheheightenedriskaversionandthesqueezedliquidity.Theanalysisonthemarginalcontributionofindividualbankstothesystemicrisksuggeststhat“too-big-to-fail”isavalidconcernfromamacroprudentialperspectiveofbankregulation.Keywords:Systemicrisk,Macroprudentialregulation,Portfoliodistressloss,Creditdefaultswap,Dynamicconditionalcorrelation.JELclassification:G21,G28,C13.∗WethankClaraGarciaandJhuveshSobrunforexcellentresearchassistance.TheviewspresentedherearesolelythoseoftheauthorsanddonotnecessarilyrepresentthoseoftheFederalReserveBoardortheBankforInternationalSettlements.†DepartmentofEconomics,UniversityofOklahoma,Norman,Oklohoma,USA;phone:[phone];e-mail:[e-mail].‡RiskAnalysisSection,FederalReserveBoard,Washington,D.C.,USA;phone:[phone];e-mail:[e-mail].§BankforInternationalSettlements,RepresentativeOfficeforAsiaandthePacific,HongKong;phone:[phone];e-mail:[e-mail]ofaHeterogeneousPortfolioofBanksduringtheRecentFinancialCrisisAbstractThispaperextendstheapproachofmeasuringandstress-testingthesystemicriskofabankingsectorinHuang,Zhou,andZhu(2009)toidentifyingvarioussourcesoffinancialinstabilityandtoallocatingsystemicrisktoindividualfinancialinstitutions.Thesystemicriskmeasure,definedastheinsurancecosttoprotectagainstdistressedlossesinabankingsystem,isarisk-neutralconceptofcapitalbasedonpubliclyavailableinformationthatcanbeappropriatelyaggregatedacrossdifferentsubsets.Anapplicationofourmethodologytoaportfoliooftwenty-twomajorbanksinAsiaandthePacificillustratesthedynamicsofthespillovereffectsoftheglobalfinancialcrisistotheregion.Theincreaseintheperceivedsystemicrisk,particularlyafterthefailureofLehmanBrothers,wasmainlydrivenbytheheightenedriskaversionandthesqueezedliquidity.Theanalysisonthemarginalcontribu-tionofindividualbankstothesystemicrisksuggeststhat“too-big-to-fail”isavalidconcernfromamacroprudentialperspectiveofbankregulation.Keywords:Systemicrisk,Macroprudentialregulation,Portfoliodistressloss,Creditde-faultswap,Dynamicconditionalcorrelation.JELClassificationNumbers:G21,G28,C13.1IntroductionTherecentglobalcreditandliquiditycrisishasledbanksupervisorsandregulatorstorethinkabouttherationaleofbankingregulation.Oneimportantlessonisthat,thetraditionalapproachtoassuringthesoundnessofindividualbanksneedstobesupplementedbyasystem-widemacro-prudentialapproach.Themacro-prudentialperspectiveofsupervisionfocusesonthesoundnessofthebankingsystemasawholeandtheinter-linkagesbetweenfinancialstabilityandtherealeconomy.Ithasbecomeanoverwhelmingthemeinthepolicyrecommendationsbyinternationalpolicyinstitutions,regulatorsandacademicresearchers.1Sucha“systemic”viewshouldnotonlycoveranationalbankingsystem,butalsoatregionalorinternationallevelsbecausetheglobalbankingsectorhasbecomeincreasinglyintegrated.Asthecurrentcrisishasshown,vulnerabilitiesinonemarketcanbeeasilyspreadabroadthroughvariouschannels(e.g.,lossofconfidence,higherriskaversion,similaritiesinbusinessmodelsandmarketstructures),causingdisruptioninmarketfunctioningandbankingdistresseselsewhereintheworld.InAsiaandthePacific,thefinancialandeconomicintegrationinthepastdecadesimpliesthattheeconomicperformanceandthehealthofthebankingsystemacrosscountrieshavebecomemoreinter-relatedintheregion.BankshavebeenthemostimportantfinancialintermediariesinAsiaandthePacific,byprovidingliquiditytransformationandmonitoringservices,amongallfinancialfirmsandthecapitalmarketchannels.Historicalevidencesuggeststhatthesoundnessofthebankingsystemiscrucialforfinancialsectorstabilityandec