衡量系统风险:保险公司和银行基于财务报表的方法

IF 3.2 3区 管理学 Q1 BUSINESS, FINANCE
Venkat Peddireddy, Shiva Rajgopal
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引用次数: 0

摘要

我们引入基于财务报表的度量方法CRISK来评估金融公司的系统性风险贡献。CRISK衡量的是一家金融公司的资本缺口,其条件是整个体系陷入严重困境。我们的方法是对基于市场的SRISK方法的补充,该方法由Acharya等人(2012,American Economic Review, 102(3), 59-64)和Brownlees和Engle (2017, Review of Financial Studies, 30(1), 48-79)提出,用于识别具有系统风险的金融公司。虽然SRISK使用实时股市数据提供了更及时的评估,但CRISK使用会计信息提供了更细致的方法,并针对保险公司和商业银行的独特特点进行了量身定制。我们的实证分析表明:(1)与CRISK相比,SRISK倾向于高估保险公司和持有大量联邦存款保险公司保险存款的银行的资本缺口,而低估严重依赖未保险存款的银行的资本缺口;(2) CRISK对资本缺口的估计与2007-2009年金融危机期间金融公司获得的实际资本注入密切一致;(3) CRISK与做空利率呈显著正相关。基于我们的研究结果,我们建议使用SRISK作为初始筛选工具,以识别潜在的系统风险金融公司,然后使用CRISK优化列表并验证预期的资本缺口。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Measuring systemic risk: A financial statement–based approach for insurance firms and banks

We introduce CRISK, a financial statement–based measure, to assess the systemic risk contribution of a financial firm. CRISK measures the capital shortfall of a financial firm conditional on severe distress in the entire system. Our measure complements the market-based measure, SRISK, introduced by Acharya et al. (2012, American Economic Review, 102(3), 59–64) and Brownlees and Engle (2017, Review of Financial Studies, 30(1), 48–79), in identifying systemically risky financial firms. While SRISK provides a timelier assessment using real-time stock market data, CRISK offers a more nuanced approach using accounting information and is tailored to the distinct characteristics of insurance firms and commercial banks. Our empirical analysis shows that (1) compared to CRISK, SRISK tends to overestimate capital shortfalls for insurance firms and for banks that hold a substantial portion of Federal Deposit Insurance Corporation–insured deposits while underestimating capital shortfalls for banks heavily reliant on uninsured deposits; (2) CRISK estimates of capital shortfall closely align with the actual capital injections received by financial firms during the financial crisis of 2007–2009; and (3) CRISK exhibits a significant positive correlation with short interest. Based on our findings, we recommend using SRISK as an initial screening tool to identify potential systemically risky financial firms, followed by refining the list and validating the expected capital shortfall using CRISK.

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来源期刊
CiteScore
6.20
自引率
11.10%
发文量
97
期刊介绍: Contemporary Accounting Research (CAR) is the premiere research journal of the Canadian Academic Accounting Association, which publishes leading- edge research that contributes to our understanding of all aspects of accounting"s role within organizations, markets or society. Canadian based, increasingly global in scope, CAR seeks to reflect the geographical and intellectual diversity in accounting research. To accomplish this, CAR will continue to publish in its traditional areas of excellence, while seeking to more fully represent other research streams in its pages, so as to continue and expand its tradition of excellence.
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