孪生违约与银行资本要求

中文摘要

本文在一个银行面临不可分散的借款人违约风险的定量一般均衡模型中考察最优资本要求。与标准的银行违约风险模型不同,我们的框架刻画了贷款组合收益上行空间有限、但下行风险显著的特征。这有助于再现孪生违约——即企业违约与银行违约同时处于高位的情形——的频率与严重程度。因此,最优银行资本要求须在降低孪生违约频率与限制信贷供给之间加以权衡,其水平高于那些低估借款人违约对银行偿付能力影响的违约风险模型所给出的结果。

Abstract

ABSTRACT We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns. This helps to reproduce the frequency and severity of twin defaults : simultaneously high firm and bank defaults. Hence, the optimal bank capital requirement, which trades off a lower frequency of twin defaults against restricting credit provision, is higher than under default risk models which underestimate the impact of borrower default on bank solvency.