GRA · Banking Nexus
Keuangan spasialTempat modal bertemu bahaya, keterpaparan, dan transisi
Financial economics and macro-finance explain how bank balance sheets, credit and asset prices interact with output, employment and public finances. In banking risk they connect a scenario to losses and capital, show how bank stress feeds back into the economy, and ground macroprudential and monetary decisions in tested relationships.
Financial economics and macro-finance study how asset prices, credit and financial institutions interact with the real economy. They explain how shocks are amplified or absorbed through balance sheets and markets. In financial stability, capital markets and investment and climate and hazards, financial economics traces how physical, health or cyber shocks transmit to credit, sovereign debt and markets. It informs macroprudential policy and the pricing of risk. The canonical description is on STEM Commons.
Scenario variables such as unemployment, interest rates and property prices are translated into default rates, loss rates and income for each portfolio, then into capital paths under the supervisor’s or the bank’s own assumptions.
Credit gaps, debt service ratios and lending survey responses are combined to judge the phase of the credit cycle and to inform countercyclical buffer and borrower-based measure settings.
NGFS macroeconomic and carbon price pathways are mapped to sector revenues, costs and asset values, and then to borrower credit quality over long horizons.
Ekuitas yang hilang dari sistem setelah penularan antarbank, dibandingkan dengan pukulan awal, seiring berubahnya leverage, keterhubungan, dan tingkat pemulihan, yang merupakan inti dari Uji tekananmakroprudensial. Model pengajaran dengan nilai ilustratif yang dinyatakan, bukan prediksi.
Kendali
Pembacaan
| Putaran | Ekuitas sistem yang hilang (%) | Bank yang gagal bayar |
|---|---|---|
| 0 | 18.00 | 0 |
| 1 | 28.80 | 0 |
| 2 | 35.28 | 0 |
| 3 | 39.17 | 0 |
| 4 | 41.50 | 0 |
| 5 | 42.90 | 0 |
| 6 | 43.74 | 0 |
| 7 | 44.24 | 0 |
| 8 | 44.55 | 0 |
| 9 | 44.73 | 0 |
| 10 | 44.84 | 0 |
| 11 | 44.90 | 0 |
| 12 | 44.94 | 0 |
| 13 | 44.96 | 0 |
| 14 | 44.98 | 0 |
| 15 | 44.99 | 0 |
| 16 | 44.99 | 0 |
| 17 | 45.00 | 0 |
| 18 | 45.00 | 0 |
| 19 | 45.00 | 0 |
| 20 | 45.00 | 0 |
| 21 | 45.00 | 0 |
| 22 | 45.00 | 0 |
| 23 | 45.00 | 0 |
| 24 | 45.00 | 0 |
| 25 | 45.00 | 0 |
| 26 | 45.00 | 0 |
| 27 | 45.00 | 0 |
| 28 | 45.00 | 0 |
| 29 | 45.00 | 0 |
| 30 | 45.00 | 0 |
No observed data enters this model: it runs on the teaching values set by the controls, to be replaced with a programme’s own evidence.
Di seluruh enam pilar, dipimpin oleh Nexus Consortium
Datasets and records used by financial economics and macro-finance on this platform, with the role each plays and the label its values carry. Sources are listed in register sumber.
| Data | Peran | Label |
|---|---|---|
| Supervisory returns and Pillar 3 disclosures | Starting balance sheet of each bank | Statistik yang diterbitkan |
| National accounts and financial accounts | Sector balance sheets and income | Statistik yang diterbitkan |
| BIS credit and property price statistics | Credit cycle and collateral indicators | Statistik yang diterbitkan |
| NGFS scenario variables | Transition and physical risk pathways | DIMODELKAN |
| Bank lending surveys | Credit supply conditions | DILAPORKAN |
Tampilan eksposur, kerugian, skenario, dan modal yang akan diminta oleh pejabat risiko, otoritas pengawas, atau kementerian keuangan, beserta kerangka pelaporan yang mereka gunakan. Strukturnya mengikuti praktik pengawasan dan aktuaria. Nilai bersifat ilustratif: tidak pernah merupakan harga, peringkat, atau saran.
How financial economics for banking risk could be stressed under the scenario families central banks and supervisors use.
| Kelompok skenario | Risiko transisi | Risiko fisik | Apa yang ditanyakan uji tekanan |
|---|---|---|---|
| Teratur | Kebijakan dini dan bertahap | Lebih rendah | Dapatkah portofolio menyerap penetapan ulang harga yang bertahap? |
| Tidak teratur | Kebijakan terlambat dan mendadak | Rendah hingga sedang | Apa yang rusak saat terjadi penetapan ulang harga mendadak dan migrasi kredit? |
| Dunia rumah kaca | Kebijakan terbatas | Tinggi dan meningkat | Di mana kerugian fisik terkonsentrasi dalam agunan dan asuransi? |
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
| Pemeriksaan | Cara pelaksanaannya |
|---|---|
| Back-testing against past episodes | Satellite models are tested on whether they reproduce losses observed in previous downturns |
| Alternative specifications | Results are compared across model forms and variable choices, and the spread is reported |
| Feedback effects | Second-round effects from bank deleveraging to the economy are modelled, or their absence is stated |
| Independent benchmark | Projections are compared with supervisory or third-party results for the same scenario |
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
Stabilitas Keuangan stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
Laporan is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
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