Financial Companies’ Failures: Early Warning Information from Systematic and Systemic Risk Measures

IF 0.9 Q3 BUSINESS, FINANCE
F. Cipollini, Alessandro Giannozzi, Fiammetta Menchetti, Oliviero Roggi
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引用次数: 2

Abstract

Following the 2007–2008 financial crisis, advanced risk measures were proposed with the specific aim of quantifying systemic risk, since the existing systematic (market) risk measures seemed inadequate to signal the collapse of an entire financial system. The paper aims at comparing the systemic risk measures and the earlier market risk measures regarding their predictive ability toward the failure of financial companies. Focusing on the 2007–2008 period and considering 28 large US financial companies (among which nine defaulted in the period), four systematic and four systemic risk measures are used to rank the companies according to their risk and to estimate their relationship with the company’s failure through a survival Cox model. We found that the two groups of risk measures achieve similar scores in the ranking exercise, and that both show a significant effect on the time-to-default of the financial institutions. This last result appears even stronger when the Cox model uses, as covariates, the risk measures evaluated one, three and six months before. Considering this last case, the most predictive risk measures about the default risk of financial institutions were the Expected Shortfall, the Value-at-Risk, the [Formula: see text] and the [Formula: see text]. We contribute to the literature in two ways. We provide a way to compare risk measures based on their predictive ability toward a situation, the company’s failure, which is the most catastrophic event for a company. The survival model approach allows to map each risk measure in terms of probability of default over a given time horizon. We note, finally, that although focused on the Great Recession in US, the analysis can be applied to different periods and countries.
金融公司的失败:来自系统性和系统性风险措施的预警信息
在2007-2008年金融危机之后,由于现有的系统(市场)风险指标似乎不足以表明整个金融体系的崩溃,因此提出了先进的风险指标,其具体目的是量化系统性风险。本文旨在比较系统风险指标与早期市场风险指标对金融公司破产的预测能力。本文以2007-2008年为研究对象,考虑美国28家大型金融公司(其中9家在此期间违约),采用4项系统性和4项系统性风险指标对公司进行风险排序,并通过生存Cox模型估计其与公司破产的关系。我们发现,两组风险措施在排名练习中获得相似的分数,并且都显示出对金融机构违约时间的显着影响。当Cox模型使用1个月、3个月和6个月前评估的风险指标作为协变量时,最后一个结果显得更加明显。考虑到最后一种情况,关于金融机构违约风险的最具预测性的风险度量是预期缺口、风险价值、[公式:见文本]和[公式:见文本]。我们以两种方式为文学做出贡献。我们提供了一种比较风险措施的方法,基于它们对一种情况的预测能力,公司的失败,这对公司来说是最灾难性的事件。生存模型方法允许根据给定时间范围内的违约概率来映射每个风险度量。最后,我们注意到,尽管分析的重点是美国的大衰退,但它可以适用于不同的时期和国家。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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