學(xué)術(shù)講座：Have Systemically Important Financial Institutions Gotten Riskier?

金融學(xué)院SBF論壇2019年第24講

講座題目：Have Systemically Important Financial Institutions Gotten Riskier?

時(shí)間：2019年9月19日，周四，12:20 – 13:20

地點(diǎn)：博學(xué)樓925

主講人：Giovanni Calice

主講人簡(jiǎn)介：Giovanni Calice是拉夫堡大學(xué)金融學(xué)副教授以及金融與投資碩士項(xiàng)目負(fù)責(zé)人。在此之前，Calice教授曾任教于伯明翰大學(xué)和南安普頓大學(xué)。Calice教授的研究方向包括金融機(jī)構(gòu)與市場(chǎng)、金融市場(chǎng)創(chuàng)新、金融風(fēng)險(xiǎn)及資產(chǎn)定價(jià)等。他的研究成果發(fā)表于多個(gè)世界領(lǐng)先的金融及經(jīng)濟(jì)學(xué)術(shù)期刊 （例如Journal of Empirical Finance, Journal of International Financial Markets, Institutions and Money等），并擔(dān)任國(guó)際期刊的審稿人。Calice教授曾被邀請(qǐng)到多所大學(xué)、國(guó)際組織和會(huì)議發(fā)表有關(guān)金融穩(wěn)定及金融政策方面的報(bào)告，例如國(guó)際貨幣基金組織、國(guó)際清算銀行、紐約聯(lián)邦儲(chǔ)備銀行以及歐洲中央銀行。

講座內(nèi)容簡(jiǎn)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.