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，同时考虑到杠杆和破产的变化。该项目的结果将是一个金融公司在金融危机中正常运作所需筹集的新资本模型。该措施可用于帮助监管机构监控系统性金融风险及其随时间的演变。因此，该项目通过提供一种测量关键变量的新方法，推动了科学的发展。由于金融危机会对美国整体经济产生广泛的影响，该项目也将有助于国家繁荣。众所周知，增加资产与权益的比率会增加股权价格的波动性。然而，这种信贷结构理论尚未与波动率模型相结合。该项目将考虑一个包括杠杆作为波动性决定因素的结构性arch模型。其结果将是现有SRISK指标的一个版本，该指标将杠杆螺旋式上升的风险考虑在内。理解CDS和股票风险指标之间的差异，也可能有助于衡量在最近的金融危机中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.