【行业研报】国际清算银行-为杠杆率高的非银行金融机构建立综合监管框架——金管局的经验教训(英)-20.docx
《【行业研报】国际清算银行-为杠杆率高的非银行金融机构建立综合监管框架——金管局的经验教训(英)-20.docx》由会员分享,可在线阅读,更多相关《【行业研报】国际清算银行-为杠杆率高的非银行金融机构建立综合监管框架——金管局的经验教训(英)-20.docx(29页珍藏版)》请在第一文库网上搜索。
1、OBISBISPapersNo137Bui1dinganintegratedsurvei11anceframeworkforhigh1y1everagedNBFIs-1essonsfromtheHKMAbyKevinCheng,Zijun1iu1Si1viaPezziniand1iangYuMonetaryandEconomicDepartmentAugust2023JE1c1assification:GO1,G23,G28.Keywords:datagap,non-bankFinancia1Institutions,systemicrisk.Theviewsexpressedarethose
2、oftheauthorsandnotnecessari1ytheviewsoftheBIS.Thispub1icationisavai1ab1eontheBISwebsite(BankforInternationa1Sett1ements2023.AUrightsreserved.Briefexcerptsmaybereproducedortrans1atedprovidedthesourceisstated.ISSN1682-7651(on1ine)Bui1dinganintegratedsurvei11anceframeworkforhigh1y1everagedNBFIs-1essons
3、fromtheHKMAKevinCheng,Zijun1iu,Si1viaPezziniand1iangYu+AbstractThispaperproposesanewapproachtomonitoringsystemicrisksarisingfromhigh1y1everagednon-bankfinancia1institutions(NBFIs)suchashedgefundsandfami1yoffices.Thesetypesofentitiesusua11yemp1oyahighdegreeof1everage,withthepotentia1tocreateandamp1if
4、ymarketstressthroughtheirconcentratedportfo1iosandinterconnectedness.Atthesametime,theyarediverseinnature,nimb1eandsubjectto1itt1edisc1osure.Assuch,much-neededeffortstoaddressNBFIrisksfromasystem-wideperspectiveareoftenimpededbydatagaps.In1ightoftheongoingpo1icydiscussionsontheNBFIsector,andrecentpr
5、ogressinco11ectingmoregranu1arsupervisorydata,thepaperhigh1ightsthatmu1tip1edatasourcescanbeintegratedinnewwaystoextractva1uab1einformationandsigna1sfortime1yNBFImonitoring.Inparticu1ar,granu1ardatafromtraderepositoriesandfromregu1atedentitiessuchasbankscanbeusedtonarrowdatagaps.BasedontheHKMA,sexpe
6、rience,thepaperexp1ainstheana1ytica1underpinningsofbui1dingasurvei11anceframeworktomonitorhigh1y1everagedNBFIsandsuggestspractica1strategiesthatmightbeadoptedbyregu1atorsandsupervisors.JE1c1assification:G01,G23,G28.Keywords:datagap,non-bankFinancia1Institutions,systemicrisk.Thispaperhasbeenpreparedb
7、yKevinCheng(former1yHKMA,current1yASEAN+3MacroeconomicResearchOffice),Zijun1iu(HKMA),Si1viaPezzini(HKMA),and1iangYu(BIS).Acknow1edgements:Wearegratefu1toTaoZhang,SiddharthTiwari,JensU1rich,FrankPackerandDerry1DSi1vaforprovidingva1uab1eadvice.AttheHKMA1wewishtothankEddieYue1ArthurYuen,Howard1ee,Darry
8、1Chan,Edmond1auandC1araChanforguidanceandinsightsontheproject.Thepapera1sobenefittedfromusefu1commentsfromIhakiA1dasoro,Sa11yChen,StijnC1aessens.RodrigoCoe1ho,JuanCar1osCrisanto,JohannesEhrentraud,WenqianHuang,NithyaNavaratnam1AndreasSchrimpf,I1hyockShim,V1adys1avSushko1Jean-Phi1ippeSvoronos1Phi1ipW
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- 行业研报 行业 国际 清算 银行 杠杆 金融机构 建立 综合 监管 框架 金管局 经验教训 20
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