Is bank default risk systematic?
Is bank default risk systematic?
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DOI：
10.1016/j.jbankfin.2013.01.004
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发表时间：
2013-06-01
影响因子：
3.7
通讯作者：
Marques-Ibanez, David
中科院分区：
文献类型：
--
作者：
Fiordelisi, Franco;Marques-Ibanez, David
我们评估常用的银行困境指标对广泛(即部门和国家)风险的影响。这一问题在银行业值得特别关注，因为在银行业，机构之间的相互关联性很强，一家银行的违约可能导致连锁破产，这可能会使整个系统破产。使用几种衡量单个银行风险的方法，我们的结果表明，这些措施对欧洲银行业(即系统性)股票市场风险有直接影响。我们还提供了强有力的证据表明，对于上市银行来说，违约风险往往是系统性的(即不可分散的)。(C)Elsevier B.V.出版的2013年
We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of inter-connectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire system. Using several measures of individual bank risk our results show that these measures have a direct impact on European banking (i.e. systemic) stock market risk. We also provide strong evidence suggesting that, for listed banks, default risk tends to be systematic (i.e. non-diversiflable). (C) 2013 Published by Elsevier B.V.