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学术讲座:Have Systemically Important Financial Institutions Gotten Riskier?

金融学院SBF论坛2019年第24

讲座题目:Have Systemically Important Financial Institutions Gotten Riskier?

时间:2019年9月19日,周四,12:20 – 13:20

地点:博学楼925

主讲人:Giovanni Calice

主讲人简介:Giovanni Calice是拉夫堡大学金融学副教授以及金融与投资硕士项目负责人。在此之前,Calice教授曾任教于伯明翰大学和南安普顿大学。Calice教授的研究方向包括金融机构与市场、金融市场创新、金融风险及资产定价等。他的研究成果发表于多个世界领先的金融及经济学术期刊 (例如Journal of Empirical Finance, Journal of International Financial Markets, Institutions and Money等),并担任国际期刊的审稿人。Calice教授曾被邀请到多所大学、国际组织和会议发表有关金融稳定及金融政策方面的报告,例如国际货币基金组织、国际清算银行、纽约联邦储备银行以及欧洲中央银行。

讲座内容简介:In this paper, we analyse the intertemporal pattern of systemic risk for a group of systemically important financial institutions (SIFIs). By using a large set of financial market indicators of risk and the SRISK measure, we examine the evolution of systemic risk for SIFIs as well as for large, global asset management firms (AMFs) over a period before and after the financial crisis of 2008 and 2009. An important number of results emerge from the analysis. First, very surprisingly, we find that the overall riskiness and contribution to systemic risk of global systemically important banks has increased in the post-crisis period. Second, we show a significant similar trend also for internationally active insurance firms. Third, we find that most of our market-based and leverage measures of large, global AMFs rise also substantially in the post crisis period. However, the SRISK measure does not seem to capture effectively the contribution to systemic risk of these institutions. Further research is therefore warranted to develop new measures of financial fragility specifically designed for the AMF sector. These findings also suggest that financial regulators should have a stronger focus on risks arising from SIFIs to further strengthen the resilience of the financial sector.