Exploring risks in syndicated loan networks: Evidence from real estate investment trusts
Exploring risks in syndicated loan networks: Evidence from real estate investment trusts
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DOI：
10.1016/j.econmod.2022.105953
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发表时间：
2022-07
影响因子：
4.7
通讯作者：
Masayasu Kanno
中科院分区：
文献类型：
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作者：
Masayasu Kanno
本研究探讨了日本真实的房地产投资信托（J-REITs）的银团贷款的相互关联市场中的信用风险和系统风险。虽然早期的研究已经调查了银团贷款市场的各个方面，很少有考虑到金融网络和风险弹性的观点。为了弥补这一差距，我进行网络分析，使用信用风险或贷款之间的欧氏距离，并通过扩展Furfine的算法进行宏观压力测试。分析结果表明，日本的主要银行，大型地方银行和J-REITs在程度中心性方面发挥了关键作用。此外，测试结果显示，根据2021年底未偿还的银团贷款，J-REIT的违约并未造成贷款机构的违约传染。总体而言，本研究提供了有效的方法来评估贷款之间的相互联系，以及风险传染从借款人到贷款人的双模式网络的银团贷款。
This study explores credit and systemic risks in the interconnected market for syndicated loans to Japan's real estate investment trusts (J-REITs). Although earlier studies have investigated various aspects of the syndicated loan market, few have considered the financial network and risk resilience perspectives. To bridge this gap, I conduct network analysis using credit exposures or Euclidean distance between loans and perform a macrostress test by extending Furfine's algorithm. The analysis results indicate that Japanese major banks, large regional banks, and J-REITs play a key role in terms of degree centrality. In addition, the test results show that no J-REIT's default causes default contagion of the lending institutions based on syndicated loans outstanding at the end of 2021. Overall, this study provides effective methodologies to evaluate the interconnectedness between loans as well as risk contagion from borrowers to lenders in a two-mode network for syndicated loans.