Safety and risk of the bank --论文代写范文

51Due论文代写平台essay代写范文:“Safety and risk of the bank”，这篇论文主要描述的是银行在带来高收益的同时也伴随着高的风险性，银行的监管机构为了保证经济的平稳发展，是不能够允许银行的资金状况或者是市场价值出现大规模的波动，银行的资金准备是否充足也是监管机构一个监督的重点，银行为了降低可能发生的风险，会对于贷款业务有着较高的审核要求和高压的措施，来降低银行的坏账率。

It might mean that bank supervisors would not accept a bank’s having very high volatility of its market value, even though its capital ratios were sufficiently high to keep its probability of insolvency within the acceptable range. One reason for concern with volatility of bank equity and asset value may be that severity of loss may not also be tightly tied to probability of failure. Another may be that estimates of the volatility of assets may be a vital input in determining the amount of capital required above that implied by the Basel risk-weighted-assets formula.

Here we present measures of the volatilities of individual banks that are implied by the prices of options on the banks’ shares. These data come from markets whose prices, and thus measures of IV, can be observed virtually continually at low cost.

These prices come from markets that are widely regarded as being efficient and deep.IV’s contain both important common movements across banks and important bank-specific movements in banks’ risks. We present evidence that the extent to

which the riskiness of a bank’s assets translate into IV of its share price depends positively on the leverage (or equivalently, the inverse of the capital ratio) of a bank. For two of the three banks we examined in detail, we show that the IV’s have lower RMSE’s in forecasting future volatility of bank share prices than HV’s do.

We also show that banks’ IV’s share important common movements with their own share prices and with yield spreads on their subordinated debt. However, IV’salso importantly diverge from the paths followed by share prices and yield spreads.

Thus, IV’s are likely to add information about bank risk that is timely, relatively cheap to acquire, objective, and useful.Adding a measure of IV to the information that supervisors and others use to evaluate the volatility and failure probability of a bank can alter the point estimates and the confidence in those point estimates. We show that measures of IV are not perfectly, and sometimes not highly, correlated with HV, not to mention with signals from other models and the debt markets. At the same time, measures of IV tend to be significantly correlated with what it purports to forecast – actual, future volatility.

These correlations suggest that using measures of IV in conjunction with other measures, such as measures of HV, EDFs, and yield spreads on bank debts, may well improve the accuracy of forecasts of bank outcomes.We discuss generally and show in aspecific case how various measures might be combined to improve signals about the future of banks. This is not to suggest that this is the only or the best way to combine such signals. It will take further work to determine whether, for example, a more categorical approach would better forecast bank outcomes. An alternative to the regression approach that we show is to evaluate changes in risk by tallying how many separate signals from a bank point toward risk changing in the same direction.

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