Macro-Dynamic Modeling of Systemic Risk

该奖项资助了一个项目，该项目开发统计模型，以衡量金融部门的系统性风险，并考虑到杠杆和银行破产的变化。 该项目的结果将是一种新的资本模型，金融公司需要筹集该模型才能在金融危机中正常运作。 该指标可用于协助监管机构监测系统性金融风险及其如何随时间演变。 因此，该项目通过提供一种测量关键变量的新方法来推进科学。 由于金融危机可能对美国整体经济产生广泛影响，该项目也将有助于国家繁荣。众所周知，增加资产与股权的比例会增加股票价格的波动性。 然而，这种信贷结构理论并没有与波动模型相结合。 该项目将考虑一个结构garch模型，其中包括杠杆作为波动的一个决定因素。其结果将是一个版本的现有SRISK措施，考虑到杠杆螺旋的风险。 了解CDS和股票风险度量之间的偏差，也可能允许测量在最近的金融危机期间向一些公司提供的隐性担保。

This award funds a project that develops statistical models to measure systemic risk in the financial sector, taking into account changes in leverage and banckruptcies. The result of the project will be a new model of the capital that a financial firm would need to raise in order to function normally in a financial crisis. The measure can be used to assist regulators in monitoring systemic financial risk and how it evolves over time. As a result, the project advances science through providing a new method to measure a key variable. Because financial crises can have wide-ranging effects on the overall US economy, the project will also contribute to the national prosperity.It is well established that increasing the ration of assets to equity increases the volatility of equity prices. However, this structural theory of credit has not been integrated with volatility models. The project will consider a structural garch model that includes leverage as one determinant of volatility. The result will be a version of the existing SRISK measure that takes the risk of a leverage spiral into account. Understanding the deviations between risk measures with CDS and equities will possibly also allow measurement of implicit guarantees that were extended to some firms during the recent financial crisis.