Visible and Hidden Risk Factors for Banks
Visible and Hidden Risk Factors for Banks
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银行的显性和隐性风险因素
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Til Schuermann
中科院分区：
文献类型：
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作者：
K. Stiroh;Til Schuermann
本文考察了1997-2005年间影响美国银行控股公司收益的共同因素。我们比较了一系列市场模型，从基本的单因素模型到九因素模型，其中包括标准的法玛-法兰西因素和被认为与银行特别相关的额外因素，如利率和信贷变量。我们发现，在解释银行收益时，市场因素显然占主导地位，其次是法玛-法国因素。特定于银行的因素不能提供信息，尤其是对最大的银行来说，这些银行利用利率和信用衍生品形式的保护。然而，即使在我们最广泛的模型中，仍存在相当大的残差变化，最大银行的平均两两相关残差接近0.25。这一发现表明，重要的隐藏因素仍然存在。主成分分析表明，这种残差是相对分散的，尽管最大的银行确实倾向于在第一个成分上以相同的方向加载。相对于其他行业的大公司收益，标准风险因素对银行收益的解释相对较好，剩余相关性和要素加载一致性程度都不是特别大。这些结果对寻求量化那些造成系统性风险的共同银行敞口的公共政策制定者和寻求设计最佳多元化战略的投资组合经理都有明显的影响。
This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be particularly relevant for banks such as interest and credit variables. We show that the market factor clearly dominates in explaining bank returns, followed by the Fama-French factors. The bank-specific factors are not informative, particularly for the largest banks, which take advantage of protection in the form of interest rate and credit derivatives. Even in our broadest model, however, considerable residual variation remains, with the mean pairwise correlation of residuals for the largest banks near 0.25. This finding suggests that important hidden factors remain. A principal component analysis shows that this residual variance is relatively diffuse, although the largest banks do tend to load in the same direction on the first component. Relative to the returns of large firms in other sectors, bank returns are relatively well explained with standard risk factors, and both the residual correlation and degree of factor loading agreement are not particularly large. These results have clear implications both for public policymakers seeking to quantify those shared bank exposures that create systemic risk and to portfolio managers seeking to devise optimal diversification strategies.