Banks’ Risk Endogenous to Strategic Management Choices
指出基于利润波动性的传统风险度量不准确，提出一个将当前和过去战略选择纳入利润函数的计量模型，用美国银行数据证明该模型能提前预测2007年次贷危机中的银行风险加速和违约概率。
Use of variability of profits and other accounting‐based ratios in order to estimate a firm's risk of insolvency is a well‐established concept in management and economics. We argue that these measures fail to approximate the true level of risk accurately because managers consider other strategic choices and goals when making risky decisions. Instead, we propose an econometric model that incorporates current and past strategic choices to estimate risk from the profit function. Specifically, we extend the well‐established multiplicative error model to allow for the endogeneity of the uncertainty component. We demonstrate the power of the model using a large sample of US banks and show that our estimates predict the accelerated bank risk that led to the subprime crisis in 2007. Our measure of risk also predicts the probability of bank default both in the period of the default but also well in advance of this default and before conventional measures of bank risk.