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正确评估内部模型的顺周期效应有助于监管机构审查银行的内部模型。通过上市公司的交易数据并利用结构性模型得到上市公司每年的违约率,按照时间序列取均值发现,在1997年之后的通货紧缩时期这些公司的违约率却并没有上升,2006年以前上市公司违约率不具有顺周期效应,2007年的违约率则具有顺周期效应。从银行内部资产的相关数据和指标来构建内部模型更可能带来顺周期效应。对横截面特征的考察表明,得到的违约率数据能够很好地区分不同信用等级的上市公司。不同国家由于其金融市场的结构不同,顺周期效应带来的系统性风险也会不同。
Correctly assessing the procyclical effects of internal models can help regulators review banks’ internal models. Through the listed companies’ transaction data and the use of structural models, the annual default rates of listed companies are obtained. According to the time series, we find that the default rates of these companies did not increase during the period of deflation after 1997. Before 2006, listed companies default The rate does not have the pro-cyclical effect, and the 2007 default rate has a pro-cyclical effect. Building internal models from data and metrics related to the bank’s internal assets is more likely to lead to the pro-cyclical effect. Examination of cross-sectional characteristics shows that the obtained default rate data can well distinguish listed companies with different credit ratings. Different countries have different systemic risks due to the cyclical effects due to the different structures of their financial markets.