Macro-Dynamic Modeling of Systemic Risk

系统性风险的宏观动态建模

• 批准号: 1427137
• 负责人: Robert Engle
• 金额: $ 20万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2015
• 资助国家: 美国
• 起止时间: 2015-09-01 至 2018-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1427137&HistoricalAwards=false
• 关键词: Macro; Dynamic; Modeling; Systemic; Risk

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.

该奖项资助了一个项目，该项目开发统计模型来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式，金融公司需要筹集资本，才能在金融危机中正常运作。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演变的情况。因此，该项目通过提供一种测量关键变量的新方法来推动科学发展。由于金融危机可能对美国整体经济产生广泛影响，该项目也将为国家繁荣做出贡献。众所周知，增加资产与股本的比率会增加股价的波动性。然而，这种信贷结构理论并未与波动率模型相结合。该项目将考虑一种结构性GARCH模型，该模型将杠杆作为波动性的决定因素之一。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。了解CDS和股票之间的风险衡量标准之间的偏差，还可能使我们能够衡量在最近的金融危机期间向一些公司提供的隐性担保。