Correlated Default Risks and Bank Regulations
指出传统银行风险模型假设资产总值服从外生过程（如对数正态扩散）通常无效，因为银行贷款的收益结构存在截断和相关性，导致银行总收益呈左肥尾分布，即使贷款数量极大仍存在偏度，这导致存款保险费率和资本要求被严重误算。
Bank regulatory design relies critically on bank risk modeling. Traditionally, the bank's aggregate value is assumed to obey an exogenously specified process (e.g., a lognormal diffusion). We demonstrate that this assumption is generally invalid given the truncated and correlated payoff structure of individual bank loans. Instead, the bank's aggregate terminal payoff is significantly (left) fat tailed. This skewness remains even when the bank holds an infinitely large number of loans in its portfolio unless they are uncorrelated. By ignoring skewness in bank payoffs, deposit insurance premia and capital requirements have traditionally been significantly mis-calculated.