主题：Granular Credit Risk
主讲人：Helene Rey，伦敦商学院经济学教授
时间：4 月 19 日（周三）下午 3:30-5:00
地点：4-102 教室
语言：英文
摘要：
What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail properties of the loan share distribution we use a Gabaix and Koijen (2022a,b) granular instrumental variable strategy to show that idiosyncratic borrower risk survives aggregation in banks’ portfolios. We also find that this granular credit risk spills over from affected banks to firms, decreases investment, and increases the probability of default of non-granular borrowers, thereby sizeably affecting the macroeconomy.
主讲人介绍：
Hélène Rey is Professor of Economics at London Business School. Until 2007, she was at Princeton University, as Professor of Economics and International Affairs in the Economics Department and the Woodrow Wilson School.
Her research focuses on the determinants and consequences of external trade and financial imbalances, the theory of financial crises and the organisation of the international monetary system. She demonstrated in particular that countries gross external asset positions help predict current account adjustments and the exchange rate.
In 2005 she was awarded an Alfred P. Sloan Research Fellowship. She received the 2006 Bernácer Prize (best European economist working in macroeconomics and finance under the age of 40). In 2012 she received the inaugural Birgit Grodal Award of the European Economic Association honoring a European-based female economist who has made a significant contribution to the Economics profession. In 2013 she received the Yrjö Jahnsson Award (European economist under 45 years old who has made a contribution in theoretical and applied research that is significant to economics in Europe), shared with Thomas Piketty.
Professor Rey is a Fellow of the British Academy, of the Econometric Society and of the European Economic Association. She is on the board of the Review of Economic Studies and associate editor of the AEJ: Macroeconomics Journal. She is a CEPR Research Fellow and an NBER Research Associate. She is a member of the Haut Conseil de Stabilité Financière (French Macro Prudential Authority), of the Commission Economique de la Nation and of the Bellagio Group on the international economy.
Currently, Professor Rey was formerly one of the Academic Directors of the AQR Asset Management Institute at LBS. She was a member of the Conseil d’Analyse Economique until 2012, on the Board of the Board of the Autorité de Contrôle Prudentiel et de Résolution (2010-2014). She writes a regular column for the French newspaper Les Echos.
Hélène Rey received her undergraduate degree from ENSAE, a Master in Engineering Economic Systems from Stanford University and her PhDs from the London School of Economics and the Ecole des Hautes Etudes en Sciences Sociales.
