GRA · Banking Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
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 宏观审慎政策 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.
控制措施
读数
| 轮次 | 系统权益损失（%） | 违约银行 |
|---|---|---|
| 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.
贯穿六大支柱，由 Nexus Consortium 牵头
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 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| Supervisory returns and Pillar 3 disclosures | Starting balance sheet of each bank | 已发布统计 |
| National accounts and financial accounts | Sector balance sheets and income | 已发布统计 |
| BIS credit and property price statistics | Credit cycle and collateral indicators | 已发布统计 |
| NGFS scenario variables | Transition and physical risk pathways | 模型估算 |
| Bank lending surveys | Credit supply conditions | 已报告 |
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
How financial economics for banking risk could be stressed under the scenario families central banks and supervisors use.
| 情景系列 | 转型风险 | 物理风险 | 压力测试问什么 |
|---|---|---|---|
| 有序 | 早期、渐进的政策 | 较低 | 账面能否承受持续的重新定价？ |
| 无序 | 迟缓而突然的政策 | 中低 | 在突然重新定价和信用迁移下，什么会出现问题？ |
| 温室世界 | 有限政策 | 高且上升 | 实体损失集中在抵押品和保险的哪些环节？ |
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
| 核查 | 如何开展 |
|---|---|
| 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.
金融稳定 stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
报告 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.
切勿发送个人数据、敏感基础设施细节或您无权分享的任何内容。贡献在使用前会经过审查；发送贡献不赋予署名权或编辑权，赞助也绝不能换取研究结论。
本网站上的地图、数据和图表仅作为背景和一般信息展示。它们不是建议、预测或预警；信息的局限见免责声明和数据说明。
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