海外青年学者系列讲座之三:Refinancing Risk, Gambling and Extern

SBF-UIBE 海外青年学者系列讲座之三

 

 

题目：Refinancing Risk, Gambling and Externalities

 

演讲人：曹知立 Economist & Quantitative Analyst

 

演讲人单位：法国央行（Banque de France）

 

时间： 2012年 5月 3日 13:30分

 

地点：博学楼925室

 

内容摘要：We consider a situation that banks initially endowed with a risky project and some capital. The bank managers, generally acting on behalf of the shareholders’ interests, can endogenously choose to enlarge their project size through different funding structures. Specifically speaking, we assume bank managers can use short term finance (issue short term debt contract) or long term financing (issue long term debt contract) to finance their project. On one hand, using short term finance will expose the bank to an interim liquidity risk due the fact that there is maturity mismatch problem. On the other hand, using long term finance may give the managers a chance to implement a negative NPV project, which means when they realize that they are in the bad state and have incentive to gamble for resurrection (risk taking). At the same time, the bank managers can costly reduce the riskiness of their initial project. In order to satisfy the bank managers’ incentive to make the right choice, the managers cannot pledge the total NPV generated from the projects to the investors, which limits the expansion of project size. We show that in the market equilibrium: if the occurrence of liquidity risk is low, all bank managers choose short term finance; if the occurrence of liquidity risk in high, all bank managers choose long term finance; and while the occurrence of liquidity risk belongs to an interim interval, some bank managers choose long term finance while others choose short term finance.

 

 

主办单位：金融学院金融研究所 应用金融研究中心

 

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