ILLIQUIDITY COMPONENT OF CREDIT RISK

• 成果类型: Article
• 署名作者: Morris, Stephen; Shin, Hyun Song
• 署名单位: Princeton University; Bank for International Settlements (BIS)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12192
• 发表日期: 2016
• 页码: 1135-1148
• 关键词: Bank runs; global games; equilibrium

摘要

We provide a theoretical decomposition of bank credit risk into insolvency risk and illiquidity risk, defining illiquidity risk to be the counterfactual probability of failure due to a run when the bank would have survived in the absence of a run. We show that illiquidity risk is (i) decreasing in the liquidity ratiothe ratio of realizable cash on the balance sheet to short-term liabilities; (ii) decreasing in the excess return of debt; and (iii) increasing in the solvency uncertaintya measure of the variance of the asset portfolio.