在现代金融体制中的系统性风险[文献翻译].doc

外文文献翻译译文一、外文原文原文：systemic risk in modern financial systemspurpose：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 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 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.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 the probability of risks from their potential impact.introductionsystemic 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 broadly. 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 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 default 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 these 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 crises, 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 with 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 financial 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 their systemic financial stability work.systemic crises in the modern financial systemgai 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 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 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 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 no 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 intermediaries 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 deepening 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 limited 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 limited1.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 the spirit of shleifer and vishny (1992), this distress selling causes the asset price to fall2. 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 their 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 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. 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. 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 stabilitythe analytical results above suggest that financial systems in developed 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 than 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 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 implementing 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 analytically 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?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 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 specific 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 for 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 potentially 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 sheets 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 tries 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 potential 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 central 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 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 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 “links”. addressing this is clearly another challenge for quantification.despite the imperfections of the current 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 clear 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 threats 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 most 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 that 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 financial 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、 翻译文章译文：在现代金融体制中的系统性风险目的：由于近年来金融系统的变化飞快迅猛。与此同时，在发达国家出现了宏观经济的波动下降的现象。本文写作目的是分析这些发展现象对系统性金融危机的性质可能造成的影响。本文还旨在讨论中央银行及其他金融监管机构为了他们的系统性金融的稳定工作，对这些发展现象会如何作出一个更明确的，更严格的以及可操作的业务框架的响应。发现：本文模型表明：金融的创新与整合将更多地同宏观经济的稳定性相结合，这也促使在发达国家发生的系统性金融危机不太可能像过去一样，但是可能会更严重猛烈。为了应对这些日益凸显的艰巨挑战，我们可以实施一种切实可行的经济框架。现实意义：如果个人是风险规避的，那么，金融危机所反映的的最新变化：如它可以导致社会福利的降低以及会暗示决策者应采取上调津贴界限的行动，以此来监测和减轻系统性风险。这些分析还强调了从他们的潜在影响中得出风险概率的重要性。简介系统性风险是超出了由金融中介机构自身对风险的估值及管理。他们对整个金融系统的有效运作以及对经济构成更广泛的威胁。正如拉森指出：系统性的金融危机会造成重大的经济代价，这代价远远超出了失败的金融机构的股东们所承担的损失。因此，对于各国中央银行和其他金融监管机构的主要目标是维护金融稳定。但是，这种现象是如何发展？近年来，金融系统变化迅猛。随着金融一体化发展，在国内以及国际的各金融机构之间已形成了“金融网络”。高级的金融合作成果迅速产生（如信用违约互换，债务抵押债券，以及衍生的一系列手段），还有为了资本融合度加深而产生的零售市场。与此同时，在发达国家中，宏观经济的波动有所下降。决策者们分歧在于这些金融系统是否对重要公共利益的稳定作出了或多或少的的作用。一些人认为，它们已经增加了金融体系抗风险能力，降低系统性。但是,人们越来越担心,虽然这些发展可能有助于减少系统性危机,但一旦发生，它可能影响更大的规模。本文为了探讨这个问题而在第一部分回顾了一些在英格兰银行的理论性工作。从这项工作的结果表明，金融的创新与整合将更多地同宏观经济的稳定性相结合，确实促使了在发达国家发生的金融危机不太可能像过去一样，但是可能会更严重猛烈。这些结果表明，现在的金融危机可能会使社会付出比以前更沉重的经济代价。他们还暗示，在评估金融体系的威胁时，重要的是要分别考虑各种风险的可能性和它们合力所能造成的影响。本文的第二部分将讨论中央银行为了他们的系统金融的稳定工作，如何通过发展和制定出一个更明确的，更严格的以及可操作的业务框架来应对这些挑战。在现代金融系统中的系统性危机盖尔等人制定了一种描述在经济压力期间，关于系统性危机的不稳定性与资产“火爆销售”相联系的理论模型。卢刃尼分析了在内在金融限制和资产价格下的借贷问题，而盖尔的理论模型正是在卢刃尼的分析基础上建立的。更一般地说，盖尔的理论模型的建立也与克尤特克 和 莫咯的著作有关，他们在著作中分析了由执行合同问题而造成的财政摩擦是如何放大到对宏观经济的冲击。该模型包含三种类型的代理：消费者，中介机构和企业。消费者拥有良好的天赋，但只能在“传统”的经济部门中生产使用相对没有收益的工艺操作。因此，他们通过中介来与企业进行资金协商，以便能在更富有生产性的经济部门工作。中介机构在现代金融体系中运作中的作用是最被看好的：他们可以是传统银行，但是该模型也设计成可以适用于对冲基金，私人股本公司和其他非银行金融机构的运作。他们借消费者的资金来投资到公司中。企业在这个资金运作中没有扮演特殊的角色。他们只是管理一个小额交易的外汇投资项目 - 这可以被视为是从完全竞争性的企业之间竞争的结果。这意味着，中介机构实际上是完全控制着投资项目。假设中介机构对公司拥有财务控制权，那么可能会出现些极端情况。但是，它用一个简单的方法在金融市场中嵌入了最新的一些发展。尤其正如plantin 等人所强调的，越大量使用如信用衍生品高级金融产品，以及零售市场的深化，使得中介机构更能容易进行资产的交易。这尤其适用于非传统的金融中介机构。中介机构通过与消费者签订国有先遣队股权类的合同来向消费者借钱。但是，这些合同会受到承诺限制和潜在不履行的影响。这种摩擦冲突将金融财政性限制加于合同中：具体而言，中介机构可以借的数值通过最高贷款与估值比率来限制，以及对中介机构阻止投资项目出现不利后果的能力的限制。这种摩擦冲突对于这模型来说是最根本的：如果没有它，系统性的金融危机就不会发生。这意味着，如果一个不利的总冲击来冲击富有生产性的部门，中介机构可能会被迫出售资产（资本）给传统的经济部门，以保持它的偿付能力。根据斯卢夫和珊妮的思想，他们认为这种不幸造成了资产价格销售下降。反过来，这也会产生对影响所有中介机构的资产负债表的净值的一个反馈，这也可能导致进一步的资产出售。由于中介机构不考虑自己的销售对资产价格的影响，且由市场对资源隐性配置效率低下。对于足够的猛烈冲击，这种外部因素是能够产生一个可能自我实现的系统性金融危机。从这次讨论中，我们可以明显的知道，冲击的规模是决定是否出现危机的关键因素。但是，如何改变在宏观经济波动和金融创新的影响下，系统性危机发生的可能性和潜在规模？较低的波动性是通过各种冲击经济生产性部门冲击量的减少来模拟的。正如所料，这使得产生危机的可能性较小，因为发生严重冲击的频率较低。然而，更强的稳定性也使得“经济衰退”的国家不太可能发生系统性经济危机。因此，消费者更愿意放贷，使中介机构增加他们的借贷和初始投资。但是，如果危机真的随之而来的话，将会有更多的资本出售给传统的经济部门，资产价格将进一步下跌，那时，危机将产生更大的影响。建立一个切实可行的框架促使金融稳定上述分析结果表明，发达国家的金融系统可能会变得更强大，但同时，也有可能会更脆弱。金融的创新与整合将更多地同宏观经济的稳定性相结合，这将有