欧洲央行-高阶风险敞口（英）

Working Paper Series Higher-order exposures Garbrand Wiersema, Alissa M. Kleinnijenhuis, Esti Kemp, Thom Wetzer Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3091 AbstractTraditional exposure measures focus on direct exposures to evaluate the losses an institu-tion is exposed to upon the default of a counterparty. Since the Global Financial Crisis of2007-2008, the importance of indirect exposures via common asset holdings is increasinglyrecognized. Yet direct and indirect exposures do not to capture the losses that result fromshock propagation and amplification following the counterparty’s default.In this paper,we introduce the concept of “higher-order exposures” to refer to these spill-over losses andpropose a way to formalize and quantify these. Using granular data on the South Africanbanking and investment fund sectors and a contagion model that captures the most com-monly studied contagion channels and their interactions, we demonstrate that higher-orderexposures make up a significant part of exposures – particularly during times of financial dis-tress when exposures matter most. We also show that higher-order exposures cannot simplybe extrapolated from direct or indirect exposures, since they depend strongly on the networkstructure and the robustness of individual institutions. Our findings suggest that exposuresshould be properly understood as consisting of direct, indirect and higher-order exposures inthe design and calibration of those tools in the regulators’ arsenal where exposures matter– including large exposure limits, capital requirement calibration, stress test design and res-olution. Failure to do so may result in both lax ex-ante regulation and ill-informed ex-posthandling of financial crises.KeywordsFinancial Contagion, Systemic Risk, System-Wide Stress Test,Financial Exposures, Non-Bank Financial Institutions (NBFIs)JEL Classification: G01, G17, G21, G23, G28ECB Working Paper Series No 30xx11Non-Technical SummaryThe global financial crisis of 2007-2008 revealed how financial institutions are deeply intercon-nected, and how risks can spread across the entire financial system, sometimes in ways notimmediately visible from traditional measures. When a financial institution defaults, the lossesit causes can ripple through the system, affecting others beyond those with direct ties to thefailing institution.Traditionally, exposures between financial institutions have been measured by direct ex-posures—the immediate financial links such as loans or investments one institution has withanother. More recently, there has been growing interest in indirect exposures—losses that arisebecause different institutions hold overlapping assets.For example, if two banks hold largeamounts of the same securities, a forced sale by one can depress prices and cause mark-to-marketlosses to the other. While these