一、报告题目

Measuring the Capital Shortfall of Large U.S. Banks

二、报告人

Eric Jondeau, Director of the Center for Risk Management – Lausanne; Professor of Finance, University of Lausanne and Swiss Finance Institute, Switzerland

三、报告时间

2018年11月15日（周四）下午15:30-17:00

四、报告地点

中心校区知新楼B219

五、报告人简介

Eric Jondeau教授是瑞士洛桑大学和瑞士金融学院的教授，主要研究方向为金融计量经济学、资产定价建模、非正态分布下的投资组合、和理性预期模型估计，论文发表于Journal of Monetary Economics、Journal of Financial Economics、Journal of Econometrics、Review of Finance等知名国际期刊。

六、 报告摘要

We develop a new methodology to measure the capital shortfall of commercial banks during a market downturn. The measure, which we call stressed expected loss (SEL), adopts the structure of the individual bank's balance sheet. SEL is defined as the difference between the market value of assets in the stress scenario and the book value of the deposits and short-term debt of the bank. We estimate the probability of default and the SEL of the 31 largest commercial banks in the U.S. between 1996 and 2016. The probability of default in a market downturn was as high as 25%, on average, between 2008 and 2012. It is now much lower and close to 5%, on average. SEL was very high (between $250 and $350 billion) during the subprime crisis. In 2016, it is close to $200 billion.

七、主办单位

山东大学经济学院