How to Calculate Systemic Risk Surcharges
How to Calculate Systemic Risk Surcharges
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如何计算系统性风险附加
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
M. Richardson
中科院分区：
文献类型：
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作者：
V. Acharya;L. Pedersen;Thomas Philippon;M. Richardson
越来越多的人认为，当金融部门作为一个整体变得资本不足时，系统性风险的产生是由于失去了对整个经济的中介作用--一种负外部性。反过来，单个金融公司的系统性风险贡献可以被定义为它在这种负外部性中所占的份额。基于这种直觉，一些作者提出了一种“庇古税”，根据每家公司对金融部门总体风险的边际潜在影响向其收费。本文讨论和分析了几种测量策略，可以用来估计这样的系统性风险附加费。一些实证证据表明，这些措施与2007-2009年金融危机期间金融公司的资本化损失是一致的。1作者都在纽约大学斯特恩商学院，西4街44号，纽约，纽约州，10012，和国家经济研究局的成员。我们非常感谢Rob Engle、Jim Poterba、NBER和克利夫兰联邦储备银行组织的量化系统性风险研究会议的与会者、我们的讨论者Mathias Dobrmann和Dale Gray、评审者和组织者Joseph Haubrich和Andrew Lo提出的有用意见。
There is a growing view that systemic risk arises due to loss of intermediation for the overall economy – a negative externality – when the financial sector becomes under-capitalized as a whole. In turn, the systemic risk contribution of an individual financial firm can be defined as its share of this negative externality. Motivated by this intuition, a number of authors have proposed a “Pigovian tax” that would charge each firm in relation to its marginal potential impact on the aggregate risk of the financial sector. This paper discusses and analyzes several measurement strategies that could be used to estimate such systemic risk surcharges. Some empirical evidence is provided which shows how these measurements line up with the loss of capitalization of financial firms during the financial crisis of 2007-2009. 1 The authors are all at New York University Stern School of Business, 44 West 4 St., New York, NY, 10012, and members of the NBER. We are grateful for useful comments from Rob Engle, Jim Poterba, participants at the Research Conference on Quantifying Systemic Risk organized by the NBER and the Federal Reserve Bank of Cleveland, our discussants Mathias Drehmann and Dale Gray, the reviewers and the organizers Joseph Haubrich and Andrew Lo.