Credit Default Swap Data, Contagion and Financial Resilience

英国金融体系的弹性对英国社会至关重要，更具体地说，对代表我们养老基金进行投资的企业和基金管理公司至关重要。显然，我们对这些制度的理解留下了许多问题没有得到回答，还有一些根本问题需要解决。如果研究基础要以任何一种适当的方式为政策决策提供信息，就需要大力发展来自多个学科方向的见解，然后需要将这些见解汇集在一起才能有效。这项申请是牛津人雄心壮志的一部分，目的是开发工具和高质量的见解，共同帮助增强英国金融体系韧性的更广泛项目。这项申请汇集了两个相互关联的项目《遏制金融危机》和《CDS市场与金融传染》，并将允许我们将一些杰出研究人员在其职业生涯的不同阶段的人才聚集在一起。这一应用非常及时，因为在更广泛的层面上，牛津-曼研究所正在与英国央行和其他学术合作伙伴合作，开展一项合作研究，以加深对宏观审慎资本工具对金融稳定影响的理解。因此，它将提供一个极好的环境来培育这项研究，并确保产生强大的影响。莫里森和威尔逊的项目将着眼于了解银行间的连通性及其与金融稳定和金融传染的关系。Schweikhard和Tesmelidakis提议开发他们的新结构模型，能够估计公司的独立信用质量，并利用它来研究设计基于市场的系统性风险税、银行资本监管、哪些政策行动或公告对遏制金融危机最有用，以及与“太大而不能倒”政策相关的副作用。

The resilience of the UK financial system is of vital importance to UK society, and more specifically, to the corporations and fund managers that invest on behalf of our pension funds. It is apparent that our understanding of these systems leaves many questions unanswered and that there are fundamental issues that need to be addressed. If the research base is to inform policy decisions in any sort of adequate way there needs to be a strong development of insights from many disciplinary directions, which then need to be drawn together to be effective. This application is a part of the Oxford-Man ambition to develop tools and high quality insights that can collectively assist the wider project of enhancing the resilience of the UK financial system. This application brings together two interrelated projects "Containing Financial Crises" and "CDS Markets and Financial Contagion", and will allow us to put together the talents of some outstanding researchers at different points in their careers. This application is very timely because, at a wider level, the Oxford-Man Institute is engaging with the Bank of England and other academic partners, in a collaborative study to develop understanding of the effects of macro-prudential capital tools on financial stability. As such, it will provide an excellent environment to nurture this research and ensure strong impact.Morrison and Wilson's project will look at understanding interbank connectedness and its relation to financial stability and financial contagion.Schweikhard and Tsesmelidakis propose to develop their novel structural model that is capable of estimating the standalone credit quality of a firm, and use it to look at designing a market-based systemic risk tax, bank capital regulation, what policy actions or announcements are most useful in arresting the financial crises, and the side effects associated with the "too big to fail" policy.