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数字金融Workshop：Bank fragility and the incentives to manage risk
发布日期：2024-03-26 12:00 来源：
时间/Time： 3月26日 周二 北京时间上午 10:00-11:30
地点/Venue：Zoom会议（会议号: 897 2560 1400 密码: 938759）
主讲人/Speaker： Robert Marquez
主持人/Host： 胡佳胤 Jiayin Hu
Abstract
Recent bank failures have highlighted the important role played by depositor withdrawals, and by the value of banks’assets at the time those withdrawals need to be met. Using a standard bank run model, we show that negative shocks to the interim value of bank assets lead to greater coordination failures among depositors and, hence, to a higher likelihood of a run on the bank. In this context, we show that, even when shocks are fully anticipated, banks may choose not to engage in any risk management activities, which could increase the interim value of their assets and, in turn, reduce exposure to run risk. These risk management failures are most prevalent when managing risk would be especially valuable, that is, when the realization of the interim asset value and fragility are most extreme.
主讲人介绍/Biography:
Research Expertise
Banking and corporate finance
A leading expert in banking and corporate finance, Professor Robert Marquez tries to uncover the mechanisms that underlie the behavior of financial institutions. One important focus of his research is the effect low interest rates have on banks and whether they encourage banks to take on more leverage. Marquez joined the Graduate School of Management faculty in July 2012.
Before graduate school, Marquez worked for several years for the Federal Reserve in San Francisco. Marquez spent eight years on the faculty of the University of Maryland before accepting a faculty post at Arizona State University’s W.P. Carey School of Business. After three years, he crossed the country again to Boston University, where he was an professor of finance.
His study “Lending Booms and Lending Standards,” published in the Journal of Finance, offered an explanation for the sequence of financial liberalization, lending booms and banking crises observed in many emerging markets. It proved to be a telling recipe for financial disaster that could, and did, spread globally, with devastating impacts.
Marquez earned his Ph.D. in economics from Massachusetts Institute of Technology and his B.A. in economics from the University of California, Berkeley.
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数字金融Workshop：Bank fragility and the incentives to manage risk
发布日期：2024-03-26 12:00 来源：
时间/Time： 3月26日 周二 北京时间上午 10:00-11:30
地点/Venue：Zoom会议（会议号: 897 2560 1400 密码: 938759）
主讲人/Speaker： Robert Marquez
主持人/Host： 胡佳胤 Jiayin Hu
Abstract
Recent bank failures have highlighted the important role played by depositor withdrawals, and by the value of banks’assets at the time those withdrawals need to be met. Using a standard bank run model, we show that negative shocks to the interim value of bank assets lead to greater coordination failures among depositors and, hence, to a higher likelihood of a run on the bank. In this context, we show that, even when shocks are fully anticipated, banks may choose not to engage in any risk management activities, which could increase the interim value of their assets and, in turn, reduce exposure to run risk. These risk management failures are most prevalent when managing risk would be especially valuable, that is, when the realization of the interim asset value and fragility are most extreme.
主讲人介绍/Biography:
Research Expertise
Banking and corporate finance
A leading expert in banking and corporate finance, Professor Robert Marquez tries to uncover the mechanisms that underlie the behavior of financial institutions. One important focus of his research is the effect low interest rates have on banks and whether they encourage banks to take on more leverage. Marquez joined the Graduate School of Management faculty in July 2012.
Before graduate school, Marquez worked for several years for the Federal Reserve in San Francisco. Marquez spent eight years on the faculty of the University of Maryland before accepting a faculty post at Arizona State University’s W.P. Carey School of Business. After three years, he crossed the country again to Boston University, where he was an professor of finance.
His study “Lending Booms and Lending Standards,” published in the Journal of Finance, offered an explanation for the sequence of financial liberalization, lending booms and banking crises observed in many emerging markets. It proved to be a telling recipe for financial disaster that could, and did, spread globally, with devastating impacts.
Marquez earned his Ph.D. in economics from Massachusetts Institute of Technology and his B.A. in economics from the University of California, Berkeley.
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