Enterprise Risk Management, Risk-Taking, and Macroeconomic Implications: Evidence from Bank Mortgage Loan Management

IF 1.5 4区 经济学 Q3 BUSINESS, FINANCE
Shiang Liu, Jianren Xu
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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.

Abstract Image

企业风险管理、风险承担和宏观经济影响:银行抵押贷款管理的证据
我们研究了企业风险管理(ERM)如何重塑企业的风险承担行为。利用贷款层面的数据,我们发现企业风险管理不会影响银行抵押贷款的发放,但会增加贷款的销售。为了加强识别,我们在匹配样本和工具变量中采用了交错差分法。渠道分析表明,对于高违约风险贷款和宏观经济风险较大时,企业风险管理对抵押贷款销售的影响更大,这表明存在风险转移效应。企业风险管理通过识别有风险的业务和外部风险来影响企业,从而改变风险转移/保留政策。此外,有企业风险管理的银行在设定贷款损失准备金时会考虑宏观经济条件,从而减少信贷市场的顺周期性。
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来源期刊
CiteScore
3.00
自引率
7.10%
发文量
22
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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