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Systemic Risk in the Banking Industry of the United States

机译:美国银行业的系统性风险

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摘要

AbstractudSystemic Risk in the Banking Industry of the United StatesudWeiyu GaoudIn this thesis, I estimate the systemic risk in the U.S. banking industry and the effects of a financial regulation and an event on the financial health and stability of U. S. banks. The financial regulation and event are respectively Basel I and the U.S. sub-prime mortgage financial crisis which are captured by two dummy variables. I estimate systemic risk using the definition which considers a systemic crisis as an event causing a simultaneous default of a significant number of financial institutions. Thus, the systemic risk here is the simultaneous probability of default of a certain number of financial institutions. Next, I form two systemic risk indices, including the default probability based on bank assets and the default probability based on the number of banks. I investigate the sources of systemic risk and address the factors which are significantly related to the stability of the banking system. In order to conduct this investigation, I establish two categories of variables related to systemic factors and bank specific factors. The systemic factors include the median correlation of assets, volatility of assets and capitalization while the bank specific factors consist of time trend, bank size and the ratio of book value of equity to total assets. The regression analyses are applied between the systemic risk indices and the systemic/ bank specific factors. The results suggest that Basel I does not effectively improve the stability of the banking system and that the financial crisis contributes to systemic risk. The volatility of assets and capitalization are significantly related to the systemic risk indices. Although the systemic factors perform better than the bank specific factors in explaining the systemic risk indices, bank size is also a significant explanatory factor.ud
机译:摘要 ud美国银行业的系统风险 udWeiyu Gao ud在本文中,我估计了美国银行业的系统风险以及金融法规和事件对美国银行财务健康和稳定性的影响。金融监管和事件分别是巴塞尔协议I和美国次级抵押贷款金融危机,它们由两个虚拟变量捕获。我使用定义将系统性危机视为导致大量金融机构同时违约的事件的定义来估计系统性风险。因此,这里的系统性风险是一定数量的金融机构违约的同时概率。接下来,我形成两个系统性风险指标,包括基于银行资产的违约概率和基于银行数量的违约概率。我调查了系统性风险的来源,并探讨了与银行体系稳定性显着相关的因素。为了进行此调查,我建立了与系统性因素和银行特定因素有关的两类变量。系统性因素包括资产的中位数相关性,资产的波动性和资本化,而银行特定的因素包括时间趋势,银行规模以及权益账面价值与总资产的比率。在系统风险指数和系统/银行特定因素之间进行回归分析。结果表明,《巴塞尔协议一》不能有效地改善银行体系的稳定性,而金融危机也加剧了系统性风险。资产的波动性和资本化与系统风险指数显着相关。尽管系统性因素在解释系统性风险指数方面表现优于银行特定因素,但银行规模也是一个重要的解释性因素。 ud

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    Gao Weiyu;

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