ILLIQUIDITY COMPONENT OF CREDIT RISK – THE 2015 LAWRENCE R. KLEIN LECTURE
将银行信用风险分解为破产风险和非流动性风险，定义非流动性风险为银行在无挤兑时本可存活却因挤兑而失败的反事实概率，并分析其与流动性比率、债务超额回报和偿付能力不确定性的关系。
We provide a theoretical decomposition of bank credit risk into insolvency risk and illiquidity risk, defining illiquidity risk to be the counterfactual probability of failure due to a run when the bank would have survived in the absence of a run. We show that illiquidity risk is (i) decreasing in the “liquidity ratio”—the ratio of realizable cash on the balance sheet to short‐term liabilities; (ii) decreasing in the excess return of debt; and (iii) increasing in the solvency uncertainty—a measure of the variance of the asset portfolio.