在現(xiàn)代金融體制中的系統(tǒng)性風(fēng)險(xiǎn)[文獻(xiàn)翻譯]

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1、 外文文獻(xiàn)翻譯譯文 一、外文原文 原文： Systemic risk in modern financial systems Purpose：In recent years, the financial system has been changing rapidly. At the same time, macroeconomic volatility has fallen in developed countries. The purpose of this paper is to examine how these developments may have affected

2、the nature of systemic crises. The paper also aims to discuss how central banks and other financial regulators might respond to these developments with a clearer, more rigorous, operational framework for their systemic financial stability work. Findings：The models suggest that financial innovation

3、 and integration, coupled with greater macroeconomic stability, have served to make systemic crises in developed countries less likely than in the past, but potentially more severe. Implementing a practical framework for financial stability work in response to this raises many formidable challenges.

4、 Practical implications：If individuals are risk-averse, the recent change in the profile of crises could lower welfare and would suggest that policymakers should place a higher premium on actions to monitor and mitigate systemic risk. The analysis also highlights the importance of differentiating t

5、he probability of risks from their potential impact. Introduction Systemic risks are the risks over and above those naturally priced and managed by financial intermediaries themselves. They pose a threat to the effective functioning of the financial system as a whole and to the economy more broadl

6、y. As Hoggarth show, systemic financial crises have major economic costs, which extend well beyond the losses borne by the shareholders of failing financial institutions. The maintenance of financial stability is, therefore, a key objective for central banks and other financial regulators. But how

7、is this role evolving? In recent years, the financial system has been changing rapidly . As financial integration has taken place, ties between institutions which compose the “financial network” have grown, both domestically and internationally. Sophisticated financial products, such as credit defau

8、lt swaps, collateralised debt obligations, and a range of derivative-based instruments, have mushroomed, and resale markets for capital have deepened. At the same time, macroeconomic volatility has fallen in developed countries . Policymakers are divided over the fundamental question of whether thes

9、e forces have made the public good of systemic stability more or less important. Some argue that they have increased the resilience of the financial system and reduced systemic risk. But there is growing concern that while these developments may have helped to reduce the likelihood of systemic crise

10、s, their impact, should one occur, could be on a significantly larger scale than hitherto. The first part of this paper reviews some theoretical work being conducted at the Bank of England to explore this issue. The results from this work suggest that financial innovation and integration, coupled w

11、ith greater macroeconomic stability, have indeed served to make crises in developed countries less likely than in the past, but potentially more severe. These findings indicate that financial crises may be more costly than was previously the case. They also imply that when assessing threats to the f

12、inancial system, it is important to consider separately the probability and impact of the crystallisation of various risks. The second part of this paper discusses how central banks can respond to these challenges by developing and implementing a clearer, more rigorous, operational framework for the

13、ir systemic financial stability work. Systemic crises in the modern financial system Gai develop a theoretical model of systemic crises in which instability is associated with asset “fire sales” during periods of stress. The setup builds on Lorenzonis analysis of lending under endogenous financial

14、 constraints and asset prices. More generally, it is related to the literature stemming from Kiyotaki and Moore that analyses how financial frictions arising from contract enforcement problems can amplify shocks to the macroeconomy. The model contains three types of agent: consumers, intermediaries

15、 and firms. Consumers are well-endowed but can only produce using a relatively unproductive technology operating in the “traditional” sector of the economy. Therefore, they channel funds through intermediaries to firms operating in the more-productive sector of the economy. Intermediaries are best

16、viewed as operating in the modern financial system: they could be interpreted as traditional banks, but the model is also designed to apply to the activities of hedge funds, private equity firms, and other non-bank financial institutions. They borrow from consumers and invest in firms. Firms have n

17、o special role in the setup. They simply manage investment projects in exchange for a negligible payment – this could be viewed as following from perfect competition amongst firms. This implies that intermediaries effectively have complete control over investment projects. The assumption that inter

18、mediaries have financial control over firms may appear somewhat extreme. But it embeds some of the recent developments in financial markets in a simple way. In particular, as Plantin et al. (2005) stress, the greater use of sophisticated financial products such as credit derivatives, and the deepeni

19、ng of resale markets for capital have made it easier for intermediaries to trade their assets. This especially applies to non-traditional financial intermediaries. Intermediaries borrow from consumers by forming state-contingent equity-type contracts with them. But these contracts are subject to li

20、mited commitment and potential default. This friction imposes financial constraints on the contracts: specifically, the amount that intermediaries can borrow is restricted by a maximum loan-to-value ratio, and the ability of intermediaries to insure against bad outcomes for investment projects is li

21、mited[1]. This friction is fundamental to the model: without it, systemic financial crises would never occur. It means that if an adverse aggregate shock hits the productive sector, intermediaries may be forced to sell assets (capital) to the traditional sector of the economy to remain solvent. In

22、the spirit of Shleifer and Vishny (1992), this distress selling causes the asset price to fall[2]. In turn, this creates a feedback to net worth that affects the balance sheets of all intermediaries, potentially leading to further asset sales. Since intermediaries do not account for the effect of th

23、eir own sales on asset prices, the allocation of resources implied by the market is inefficient. For sufficiently severe shocks, this externality is capable of generating a systemic financial crisis that may be self-fulfilling. From this discussion, it is clear that the scale of the shock is a key

24、factor in determining whether a crisis occurs. But how do changes in macroeconomic volatility and financial innovation influence the likelihood and potential scale of systemic crises? Lower volatility is modelled via a reduction in the variance of shocks hitting the productive sector of the economy

25、. As would be expected, this makes crises less likely since severe shocks occur less frequently. However, greater stability also makes “recession” states less likely to occur. As a result, consumers are more willing to lend, allowing intermediaries to increase their borrowing and initial investment.

26、 But if a crisis does then ensue, more capital will be sold to the traditional sector, the asset price will be driven down further, and the crisis will have a greater impact. Towards a practical framework for financial stability The analytical results above suggest that financial systems in devel

27、oped countries may be becoming more robust, yet more fragile at the same time . Financial innovation and integration, coupled with greater macroeconomic stability, may have reduced the probability of systemic financial crises in recent years. But should a crisis occur, its impact could be greater th

28、an was previously the case. If individuals are risk-averse, this change in the profile of crises could lower welfare and would suggest that policymakers should place a higher premium on actions to monitor and mitigate systemic risk. The analysis also suggests that when assessing possible threats to

29、 the financial system, it is important to differentiate the probability of risks materialising from their potential impact should they materialise. In view of this, many central banks charged with supporting the stability of the financial system as a whole are working towards developing and impleme

30、nting a clearer, more rigorous operational framework for their financial stability work. For example, the Bank of England is placing a stronger emphasis on quantifying the likelihood and potential costs of the crystallisation of various risks. The aim is to use this information to help produce an an

31、alytically robust register of the current top five to ten threats to the UK financial system. A longer-term ambition is to produce a summary measure of aggregate risk facing the UK financial system. Should, for example, the financial stability authorities be more or less concerned than a year ago?

32、In contrast to monetary policy, the financial stability objectives of central banks are less well defined. Though the definition is rather narrow and clearly has its limitations, the Bank of England has taken balance sheet losses to the major UK banks, and the continued health of the core UK banking

33、 system and financial infrastructure as an initial point of departure for its quantified assessment of risks. When attempting to gauge the relative importance of these risks, the measurement of tail-event probabilities is particularly problematic. One possible way forward may be to define a specifi

34、c stress event of a certain impact, such as one causing the major banks to lose half their tier 1 capital over the next three years. This could then be used as a normalisation device. Leaving aside the problem of defining the objective function, how can central banks implement a clear framework fo

35、r identifying threats and for measuring their potential impact? One fairly obvious, but not completely trivial, point is that there is a myriad range of potential shocks that could affect financial systems. Trying to identify, assess and rank all of these would be a very difficult task. A potentiall

36、y more productive and practical approach is to identify areas of major weakness or vulnerability in financial systems, for example, where asset price valuations appear stretched or outside historical norms, or where there are concentrations of credit or market exposure, or where financial balance sh

37、eets are coming under strain. Candidates for the list of systemic risks could thus be more accurately described as “systemic vulnerabilities”, which could, in turn, be triggered by particular economic or financial shocks. In the UK, for each potential systemic vulnerability, the Bank of England tri

38、es to gauge the probability that they will crystallise in “moderate” and “severe” ways. Such estimates, however, remain subject to wide margins of uncertainty and may not fully capture non-linear effects, which may be especially relevant in extreme scenarios. In particular, they do not account for p

39、otential important feedbacks through asset markets or the possible effects of disruption to the liquidity of markets. Building an empirical stress-testing model to incorporate these effects and to capture the impact of financial innovation remains a difficult challenge. It is also clear that centra

40、l banks need to improve their understanding of how financial systems fit together as networks. Building on the theoretical work discussed above and on empirical work conducted by Oesterreichische Nationalbank on the Austrian interbank market, the Bank of England is currently developing an empirical

41、model of the UK financial network. However, data limitations can be a major difficulty in constructing such a real-world model, with the frequency and amount of information available on bilateral interbank exposures depending on country-specific reporting requirements. Further, financial innovation

42、and asset market linkages may mean that “connectivity” is more complex than implied by direct interbank exposures alone. Risk transfer instruments, for example, may make it harder to define “l(fā)inks”. Addressing this is clearly another challenge for quantification. Despite the imperfections of the cu

43、rrent analytical toolkit, there are clear benefits for policymakers from developing a more quantitative basis for addressing financial stability issues. A first benefit is in terms of sharpening the rigour and discipline of the risk assessment work undertaken by central banks, forcing them to be cle

44、ar about what is known and what is not, and helping them to concentrate resources and attention on what are judged to be the most important issues. An important objective for central banks should be to provide clearer messages to financial market participants and other authorities on why some threat

45、s are judged as important and others as not. This should raise the value-added of risk assessment work. The second benefit is in delivering improved risk reduction and crisis management. A clearer analysis of how risks propagate through the financial system, and which threats are perceived as the m

46、ost costly, should help in the prioritisation and design of risk mitigants, and in the formulation and testing of financial crisis management preparations. Ensuring appropriate follow-up actions to address major vulnerabilities is an important step in operationalising financial stability work. In t

47、hat context, analysing and designing risk mitigants to limit systemic financial risks remains another underdeveloped area. At present, regulatory requirements are typically calibrated to measures of idiosyncratic risk in individual institutions. However, an improved analytical framework for financia

48、l stability could be used to quantify an institutions marginal contribution to systemic risk . Source: Prasanna Gai, Nigel Jenkinson, Sujit Kapadia,2007.“Systemic risk in modern financial systems”. Journal of Risk Finance. February.pp.156-165. 二、 翻譯文章 譯文： 在現(xiàn)代金融體制中的系統(tǒng)性風(fēng)險(xiǎn) 目的：由于近年來(lái)金融系統(tǒng)的變化

49、飛快迅猛。與此同時(shí)，在發(fā)達(dá)國(guó)家出現(xiàn)了宏觀經(jīng)濟(jì)的波動(dòng)下降的現(xiàn)象。本文寫作目的是分析這些發(fā)展現(xiàn)象對(duì)系統(tǒng)性金融危機(jī)的性質(zhì)可能造成的影響。本文還旨在討論中央銀行及其他金融監(jiān)管機(jī)構(gòu)為了他們的系統(tǒng)性金融的穩(wěn)定工作，對(duì)這些發(fā)展現(xiàn)象會(huì)如何作出一個(gè)更明確的，更嚴(yán)格的以及可操作的業(yè)務(wù)框架的響應(yīng)。 發(fā)現(xiàn)：本文模型表明：金融的創(chuàng)新與整合將更多地同宏觀經(jīng)濟(jì)的穩(wěn)定性相結(jié)合，這也促使在發(fā)達(dá)國(guó)家發(fā)生的系統(tǒng)性金融危機(jī)不太可能像過(guò)去一樣，但是可能會(huì)更嚴(yán)重猛烈。為了應(yīng)對(duì)這些日益凸顯的艱巨挑戰(zhàn)，我們可以實(shí)施一種切實(shí)可行的經(jīng)濟(jì)框架。 現(xiàn)實(shí)意義：如果個(gè)人是風(fēng)險(xiǎn)規(guī)避的，那么，金融危機(jī)所反映的的最新變化：如它可以導(dǎo)致社會(huì)福利的降低以及會(huì)

50、暗示決策者應(yīng)采取上調(diào)津貼界限的行動(dòng)，以此來(lái)監(jiān)測(cè)和減輕系統(tǒng)性風(fēng)險(xiǎn)。這些分析還強(qiáng)調(diào)了從他們的潛在影響中得出風(fēng)險(xiǎn)概率的重要性。 簡(jiǎn)介 系統(tǒng)性風(fēng)險(xiǎn)是超出了由金融中介機(jī)構(gòu)自身對(duì)風(fēng)險(xiǎn)的估值及管理。他們對(duì)整個(gè)金融系統(tǒng)的有效運(yùn)作以及對(duì)經(jīng)濟(jì)構(gòu)成更廣泛的威脅。正如拉森指出：系統(tǒng)性的金融危機(jī)會(huì)造成重大的經(jīng)濟(jì)代價(jià)，這代價(jià)遠(yuǎn)遠(yuǎn)超出了失敗的金融機(jī)構(gòu)的股東們所承擔(dān)的損失。因此，對(duì)于各國(guó)中央銀行和其他金融監(jiān)管機(jī)構(gòu)的主要目標(biāo)是維護(hù)金融穩(wěn)定。 但是，這種現(xiàn)象是如何發(fā)展？近年來(lái)，金融系統(tǒng)變化迅猛。隨著金融一體化發(fā)展，在國(guó)內(nèi)以及國(guó)際的各金融機(jī)構(gòu)之間已形成了“金融網(wǎng)絡(luò)”。高級(jí)的金融合作成果迅速產(chǎn)生（如信用違約互換，債務(wù)抵押債券，

51、以及衍生的一系列手段），還有為了資本融合度加深而產(chǎn)生的零售市場(chǎng)。與此同時(shí)，在發(fā)達(dá)國(guó)家中，宏觀經(jīng)濟(jì)的波動(dòng)有所下降。決策者們分歧在于這些金融系統(tǒng)是否對(duì)重要公共利益的穩(wěn)定作出了或多或少的的作用。一些人認(rèn)為，它們已經(jīng)增加了金融體系抗風(fēng)險(xiǎn)能力，降低系統(tǒng)性。但是,人們?cè)絹?lái)越擔(dān)心,雖然這些發(fā)展可能有助于減少系統(tǒng)性危機(jī),但一旦發(fā)生，它可能影響更大的規(guī)模。 本文為了探討這個(gè)問(wèn)題而在第一部分回顧了一些在英格蘭銀行的理論性工作。從這項(xiàng)工作的結(jié)果表明，金融的創(chuàng)新與整合將更多地同宏觀經(jīng)濟(jì)的穩(wěn)定性相結(jié)合，確實(shí)促使了在發(fā)達(dá)國(guó)家發(fā)生的金融危機(jī)不太可能像過(guò)去一樣，但是可能會(huì)更嚴(yán)重猛烈。這些結(jié)果表明，現(xiàn)在的金融危機(jī)可能會(huì)使社會(huì)

52、付出比以前更沉重的經(jīng)濟(jì)代價(jià)。他們還暗示，在評(píng)估金融體系的威脅時(shí)，重要的是要分別考慮各種風(fēng)險(xiǎn)的可能性和它們合力所能造成的影響。本文的第二部分將討論中央銀行為了他們的系統(tǒng)金融的穩(wěn)定工作，如何通過(guò)發(fā)展和制定出一個(gè)更明確的，更嚴(yán)格的以及可操作的業(yè)務(wù)框架來(lái)應(yīng)對(duì)這些挑戰(zhàn)。 在現(xiàn)代金融系統(tǒng)中的系統(tǒng)性危機(jī) 蓋爾等人制定了一種描述在經(jīng)濟(jì)壓力期間，關(guān)于系統(tǒng)性危機(jī)的不穩(wěn)定性與資產(chǎn)“火爆銷售”相聯(lián)系的理論模型。盧刃尼分析了在內(nèi)在金融限制和資產(chǎn)價(jià)格下的借貸問(wèn)題，而蓋爾的理論模型正是在盧刃尼的分析基礎(chǔ)上建立的。更一般地說(shuō)，蓋爾的理論模型的建立也與克尤特克 和 莫咯的著作有關(guān)，他們?cè)谥髦蟹治隽擞蓤?zhí)行合同問(wèn)題而造成的財(cái)

53、政摩擦是如何放大到對(duì)宏觀經(jīng)濟(jì)的沖擊。 該模型包含三種類型的代理：消費(fèi)者，中介機(jī)構(gòu)和企業(yè)。消費(fèi)者擁有良好的天賦，但只能在“傳統(tǒng)”的經(jīng)濟(jì)部門中生產(chǎn)使用相對(duì)沒(méi)有收益的工藝操作。因此，他們通過(guò)中介來(lái)與企業(yè)進(jìn)行資金協(xié)商，以便能在更富有生產(chǎn)性的經(jīng)濟(jì)部門工作。 中介機(jī)構(gòu)在現(xiàn)代金融體系中運(yùn)作中的作用是最被看好的：他們可以是傳統(tǒng)銀行，但是該模型也設(shè)計(jì)成可以適用于對(duì)沖基金，私人股本公司和其他非銀行金融機(jī)構(gòu)的運(yùn)作。他們借消費(fèi)者的資金來(lái)投資到公司中。 企業(yè)在這個(gè)資金運(yùn)作中沒(méi)有扮演特殊的角色。他們只是管理一個(gè)小額交易的外匯投資項(xiàng)目 - 這可以被視為是從完全競(jìng)爭(zhēng)性的企業(yè)之間競(jìng)爭(zhēng)的結(jié)果。這意味著，中介機(jī)構(gòu)實(shí)際上是完全

54、控制著投資項(xiàng)目。 假設(shè)中介機(jī)構(gòu)對(duì)公司擁有財(cái)務(wù)控制權(quán)，那么可能會(huì)出現(xiàn)些極端情況。但是，它用一個(gè)簡(jiǎn)單的方法在金融市場(chǎng)中嵌入了最新的一些發(fā)展。尤其正如Plantin 等人所強(qiáng)調(diào)的，越大量使用如信用衍生品高級(jí)金融產(chǎn)品，以及零售市場(chǎng)的深化，使得中介機(jī)構(gòu)更能容易進(jìn)行資產(chǎn)的交易。這尤其適用于非傳統(tǒng)的金融中介機(jī)構(gòu)。 中介機(jī)構(gòu)通過(guò)與消費(fèi)者簽訂國(guó)有先遣隊(duì)股權(quán)類的合同來(lái)向消費(fèi)者借錢。但是，這些合同會(huì)受到承諾限制和潛在不履行的影響。這種摩擦沖突將金融財(cái)政性限制加于合同中：具體而言，中介機(jī)構(gòu)可以借的數(shù)值通過(guò)最高貸款與估值比率來(lái)限制，以及對(duì)中介機(jī)構(gòu)阻止投資項(xiàng)目出現(xiàn)不利后果的能力的限制。 這種摩擦沖突對(duì)于這模型來(lái)說(shuō)是

55、最根本的：如果沒(méi)有它，系統(tǒng)性的金融危機(jī)就不會(huì)發(fā)生。這意味著，如果一個(gè)不利的總沖擊來(lái)沖擊富有生產(chǎn)性的部門，中介機(jī)構(gòu)可能會(huì)被迫出售資產(chǎn)（資本）給傳統(tǒng)的經(jīng)濟(jì)部門，以保持它的償付能力。根據(jù)斯盧夫和珊妮的思想，他們認(rèn)為這種不幸造成了資產(chǎn)價(jià)格銷售下降。反過(guò)來(lái)，這也會(huì)產(chǎn)生對(duì)影響所有中介機(jī)構(gòu)的資產(chǎn)負(fù)債表的凈值的一個(gè)反饋，這也可能導(dǎo)致進(jìn)一步的資產(chǎn)出售。由于中介機(jī)構(gòu)不考慮自己的銷售對(duì)資產(chǎn)價(jià)格的影響，且由市場(chǎng)對(duì)資源隱性配置效率低下。對(duì)于足夠的猛烈沖擊，這種外部因素是能夠產(chǎn)生一個(gè)可能自我實(shí)現(xiàn)的系統(tǒng)性金融危機(jī)。 從這次討論中，我們可以明顯的知道，沖擊的規(guī)模是決定是否出現(xiàn)危機(jī)的關(guān)鍵因素。但是，如何改變?cè)诤暧^經(jīng)濟(jì)波動(dòng)和金

56、融創(chuàng)新的影響下，系統(tǒng)性危機(jī)發(fā)生的可能性和潛在規(guī)模？ 較低的波動(dòng)性是通過(guò)各種沖擊經(jīng)濟(jì)生產(chǎn)性部門沖擊量的減少來(lái)模擬的。正如所料，這使得產(chǎn)生危機(jī)的可能性較小，因?yàn)榘l(fā)生嚴(yán)重沖擊的頻率較低。然而，更強(qiáng)的穩(wěn)定性也使得“經(jīng)濟(jì)衰退”的國(guó)家不太可能發(fā)生系統(tǒng)性經(jīng)濟(jì)危機(jī)。因此，消費(fèi)者更愿意放貸，使中介機(jī)構(gòu)增加他們的借貸和初始投資。但是，如果危機(jī)真的隨之而來(lái)的話，將會(huì)有更多的資本出售給傳統(tǒng)的經(jīng)濟(jì)部門，資產(chǎn)價(jià)格將進(jìn)一步下跌，那時(shí)，危機(jī)將產(chǎn)生更大的影響。 建立一個(gè)切實(shí)可行的框架促使金融穩(wěn)定 上述分析結(jié)果表明，發(fā)達(dá)國(guó)家的金融系統(tǒng)可能會(huì)變得更強(qiáng)大，但同時(shí)，也有可能會(huì)更脆弱。金融的創(chuàng)新與整合將更多地同宏觀經(jīng)濟(jì)的穩(wěn)定性相結(jié)

57、合，這將有可能降低在近幾年發(fā)生系統(tǒng)性金融危機(jī)的可能性。但是，一旦危機(jī)發(fā)生，其影響可能大于以前的情況。 如果個(gè)人是風(fēng)險(xiǎn)規(guī)避的，那么，金融危機(jī)將導(dǎo)致一些變化：如它可以導(dǎo)致社會(huì)福利的降低以及會(huì)暗示決策者應(yīng)采取上調(diào)津貼界限的行動(dòng)，以此來(lái)監(jiān)測(cè)和減輕系統(tǒng)性風(fēng)險(xiǎn)。該分析還表明，在評(píng)估可能威脅到金融體系時(shí)，重要的是要從他們潛在的影響中區(qū)分出物化的風(fēng)險(xiǎn)概率。 鑒于此，許多中央銀行支持金融體系整體的穩(wěn)定，并為此制定和實(shí)施一個(gè)更明確，更嚴(yán)格的，可操作性的業(yè)務(wù)框架。例如，英格蘭銀行更重視量化各種風(fēng)險(xiǎn)合力的可能性和潛在成本。其目的是利用這些信息，對(duì)目前英國(guó)金融系統(tǒng)中前五分之十的威脅，產(chǎn)生穩(wěn)健解析登記。針對(duì)英國(guó)金融體

58、系所面臨的總風(fēng)險(xiǎn)，其較長(zhǎng)期的目標(biāo)是想出一個(gè)綜合措施來(lái)應(yīng)對(duì)此風(fēng)險(xiǎn)。例如，專家權(quán)威對(duì)穩(wěn)定金融市場(chǎng)的關(guān)注度相比于去年是增高還是降低了呢？ 與貨幣政策相比，中央銀行的金融穩(wěn)定目標(biāo)并不太容易定義。雖然這個(gè)定義是比較狹窄，且有其局限性。但是，英格蘭銀行的資產(chǎn)負(fù)債表的損失比英國(guó)的主要銀行都少，并且繼續(xù)維持了重要的英國(guó)銀行系統(tǒng)的良好工作，將金融基礎(chǔ)設(shè)施作為初始點(diǎn)變更來(lái)進(jìn)行風(fēng)險(xiǎn)的量化評(píng)估。 當(dāng)試圖評(píng)估這些風(fēng)險(xiǎn)的相對(duì)重要性，以及尾部概率事件的測(cè)量時(shí)，這些就是顯著問(wèn)題了。一種可能的解決方法是對(duì)一個(gè)有確定影響力得事件定義一個(gè)特定的壓力。比如，可以導(dǎo)致各大銀行在未來(lái)三年中，損失一半第一級(jí)資本。這方法可以之后被用來(lái)作

59、為一個(gè)正?；桨?。 如果撇開(kāi)定義目標(biāo)函數(shù)的問(wèn)題，那么，央行為了識(shí)別威脅以及衡量其潛在影響，它將怎樣制定一個(gè)明確的業(yè)務(wù)框架？一個(gè)相當(dāng)明顯的但不完全是微小的方面，其關(guān)鍵是有一個(gè)廣范圍的潛在沖擊，它可能影響金融體系。試圖對(duì)這些問(wèn)題進(jìn)行確定識(shí)別，評(píng)估和排名，都將是十分艱巨的任務(wù)。富有生產(chǎn)力潛力和實(shí)用方法這兩點(diǎn)，可以確定金融系統(tǒng)的主要弱點(diǎn)或脆弱區(qū)域范圍。例如，在資產(chǎn)價(jià)格估值出現(xiàn)升值或超出以往標(biāo)準(zhǔn)之外，或有信貸濃度或股市投資比率，或金融資產(chǎn)負(fù)債表，這些都將備受壓力。因此，我們可以將系統(tǒng)性風(fēng)險(xiǎn)的候選名單更準(zhǔn)確地描述為“系統(tǒng)漏洞”，亦可反之，由特定的經(jīng)濟(jì)或金融沖擊觸發(fā)導(dǎo)致系統(tǒng)漏洞。 在英國(guó)，對(duì)于每個(gè)潛在的

60、系統(tǒng)性弱點(diǎn)，英國(guó)銀行試圖估計(jì)它們所表現(xiàn)出來(lái)的“溫和方式”和“嚴(yán)重方式”的概率。但是這樣的估計(jì)仍然受到廣泛的利潤(rùn)率不確定性，可能無(wú)法充分反映非線性效應(yīng)，而特別是在極端情況非線性效應(yīng)可能是與估計(jì)結(jié)果相關(guān)的。特別是，他們沒(méi)有考慮到通過(guò)資產(chǎn)市場(chǎng)或干擾了市場(chǎng)的流動(dòng)性可能產(chǎn)生的影響這一潛在的重要反饋。建立一個(gè)經(jīng)驗(yàn)的壓力測(cè)試模型來(lái)綜合考慮這些影響，并抓住了金融創(chuàng)新的產(chǎn)生的影響，這仍然是一個(gè)艱巨的挑戰(zhàn)。 同樣清楚的是，央行需要提高他們對(duì)金融系統(tǒng)如何像網(wǎng)絡(luò)一樣相互聯(lián)系的了解。建立在對(duì)上述工作理論的討論和在奧地利同行業(yè)的銀行市場(chǎng)中的奧地利國(guó)家銀行的工作經(jīng)驗(yàn)的基礎(chǔ)上，英國(guó)央行目前正在發(fā)展英國(guó)金融網(wǎng)絡(luò)的經(jīng)驗(yàn)?zāi)Ｐ?。?/p>

61、而，數(shù)據(jù)的限制成為構(gòu)建這樣一個(gè)雙邊銀行間有用信息交換的頻率和數(shù)量取決于國(guó)家特殊文件要求的現(xiàn)實(shí)世界模式的主要困難。此外，金融創(chuàng)新和資產(chǎn)市場(chǎng)的聯(lián)系，可能意味著“金融系統(tǒng)的連接性”比同行業(yè)銀行間直接單獨(dú)信息交換更復(fù)雜。風(fēng)險(xiǎn)轉(zhuǎn)移工具，例如，可能使其難以界定“鏈接”。解決這顯然是另一種量化的挑戰(zhàn)。 盡管目前的分析工具并不完善，為解決金融穩(wěn)定問(wèn)題而發(fā)展了更多的數(shù)量基礎(chǔ)，這些數(shù)量基礎(chǔ)明顯的為決策者好處。第一個(gè)好處：在由中央銀行承擔(dān)的風(fēng)險(xiǎn)評(píng)估工作中日益突出的嚴(yán)謹(jǐn)性和紀(jì)律性問(wèn)題，迫使他們清楚要知道什么是該知道，什么是不需知道的，并幫助他們集中資源和注意力，把精力放在最重要的問(wèn)題上。中央銀行的一個(gè)重要目標(biāo)是提供

62、關(guān)于金融市場(chǎng)參與者和其他當(dāng)局判斷威脅重要與否的更明確的訊息，為什么他們判斷有些威脅是重要的，有些卻是次要的。這應(yīng)該提高風(fēng)險(xiǎn)評(píng)估工作的附加值。 第二個(gè)好處是提供了更好的減少風(fēng)險(xiǎn)和危機(jī)管理的方法。一個(gè)關(guān)于風(fēng)險(xiǎn)是如何通過(guò)金融系統(tǒng)傳播的更清晰的分析，以及哪些威脅是最昂貴的，這應(yīng)有助于風(fēng)險(xiǎn)緩釋的優(yōu)先事項(xiàng)確定和設(shè)計(jì)，并有助于金融危機(jī)管理準(zhǔn)備制度的制定和的測(cè)試。在金融穩(wěn)定工作運(yùn)行時(shí)，確保適當(dāng)?shù)母M(jìn)措施以解決重大漏洞是重要的步驟。 在這種情況下，以分析和設(shè)計(jì)風(fēng)險(xiǎn)緩釋來(lái)限制系統(tǒng)性金融風(fēng)險(xiǎn)仍然未發(fā)展完善。目前，在個(gè)別機(jī)構(gòu)中，管理要求通常要校準(zhǔn)來(lái)測(cè)量特殊風(fēng)險(xiǎn)。然而，對(duì)金融穩(wěn)定而改進(jìn)分析框架可以用來(lái)量化一個(gè)機(jī)構(gòu)的系統(tǒng)性風(fēng)險(xiǎn)的邊際貢獻(xiàn)。 出處: [美]帕萊森納蓋，[美]奈杰爾金森, [美]蘇吉特卡帕迪亞，《在現(xiàn)代金融體制中的系統(tǒng)性風(fēng)險(xiǎn)》, 華爾街日?qǐng)?bào).2007（2）: 156-165.