抵押贷款与银行风险承担:寻找风险“甜蜜点”

IF 0.9 Q3 BUSINESS, FINANCE
Yevgeny Mugerman, Joseph Tzur, Arie Jacobi
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引用次数: 5

摘要

大量学术文献涉及银行的最佳贷款配置。解决这个问题的一般方法是假设借款人的投资组合是给定的。尽管这种假设在企业部门是合理的,但在抵押贷款市场,情况却截然不同,借款人是无法观察到的,银行的筛选能力也受到严格限制。我们提出了一个新的动态模型,假设潜在的抵押贷款领取者随机和顺序到达银行。在模拟中,我们证明了更严格的感知风险水平对银行预期净收入的影响可能是正的,也可能是负的。值得注意的是,如果财富不平等水平和筛选能力都较低,那么更严重的感知风险水平可能会降低银行的预期净收入。在这种情况下,监管机构应该特别小心,不要以降低贷款与价值比率的形式增加监管。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”
A vast body of academic literature deals with banks’ optimal loan allocations. The general approach to solving this problem is to assume borrowers’ portfolios as given. Although this assumption is reasonable in the corporate sector, the situation differs radically in the mortgage markets, where borrowers are unobservable and banks’ screening capacity is tightly limited. We propose a novel dynamic model that assumes potential mortgage takers arrive randomly and sequentially at a bank. In a simulation, we show that the effect of a more stringent level of perceived risk on a bank’s expected net income can be positive or negative. Remarkably, if both level of wealth inequality and screening capacity are low, a more severe level of perceived risk can decrease a bank’s expected net income. In this situation, regulators should be particularly careful about increasing regulation in the form of a lower loan-to-value ratio.
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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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