金融危机对金融机构的冲击及政府救助分析

Simulation analysis for impact of financial crisis on financial institutions and government bailout effect

使用基于非对称双指数分布的跳-扩散模型,以资产治理结构理论为框架对金融危机爆发前后以及危机中政府救助前后的债务平均到期时间、冲击到来频率以及违约资产损失率进行设定,从而对金融机构债务/资产比率在不同情况下的变化趋势进行数值模拟,以此分析金融危机对金融机构的冲击以及政府救助金融机构的效果.模拟分析结果发现,金融危机中金融机构的脆弱性主要来自债务/资产比率过高、中短期债务过多以及资产质量过低;政府对危机中金融机构的救助措施以低频大幅注资辅以购买短期债务和劣质资产最为有效.

This paper presents a simulation analysis of the impact of the financial crisis on American financial institutions＇ debt/asset ratio and the bailout effect of the US government through a asymmetric double expo- nential jump-diffusion model. By setting the average duration of debts, the frequencies of shocks and loss giv- en default, numerical simulations are carried for different scenarios, which give quantitative judgments on the financial crisis impact and bailout effect. From the simulation analysis, we conclude that the fragility of the fi- nancial institutions is strongly related to the extremely-high debt/asset ratio, too many short debts and the ex- tremely-low asset quality. The government bailout program should use low-frequency high-quantity capital in- jection as the major tool, supplemented with the purchase of short debts and low-quality assets.