Yield curve and spread decomposition
Government yields are split into expected short rates and term premia with affine term structure models, and credit spreads into expected loss and risk premia, so a repricing can be read by its source.
GRA · Capital Markets Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
面向资本市场的金融经济学
Financial economics explains how prices, risk premia and balance sheets turn shocks into market moves. In capital markets it is used to decompose yields and spreads, to model how leverage and margin amplify selling, and to trace how stress in one asset class reaches others, with each estimate’s assumptions and label stated.
02申请
What financial economics and macro-finance does here.
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 capital markets and investment and financial stability, 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.
Leverage and fire-sale channels
Balance sheet models trace how a price fall raises margins and haircuts, forces sales by leveraged holders and pushes prices further, with the behavioural assumptions written down.
Market-based systemic risk measures
Measures such as conditional 风险价值 and marginal expected shortfall describe which institutions contribute most to system-wide stress, reported as estimates with their sample periods.
03风险暴露、损失与资本
What financial economics for capital markets means for exposure, loss and capital.
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。
资本、偿付能力和财政指标
The indicators a risk officer, supervisor or ministry of finance reads first on financial economics for capital markets.
| 指标 | 单位 | 谁来阅读 | 框架 |
|---|---|---|---|
| CET1 比率 | 占风险加权资产的百分比 | 银行、监管机构 | 巴塞尔框架 |
| 流动性覆盖率 | 压力流出的 % | 银行、中央银行 | 巴塞尔框架 |
| 偿付能力充足率 | 占偿付能力资本要求的百分比 | 保险公司、监管机构 | IAIS《保险核心原则》 |
| 综合成本率 | 占已赚保费的百分比 | 保险公司 | 精算实践 |
| 保护缺口 | 未投保部分占经济损失的比例 | 保险公司、财政部 | 已公布的损失统计 |
| 公共债务 | 占 GDP 的 % | 财政部、IMF | 债务可持续性框架 |
| 总融资需求 | 每年占 GDP 的 % | 财政部、投资者 | 债务可持续性框架 |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
04数据
该方法使用的输入。
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 |
|---|---|---|
| Government bond yields and swap rates | Yield curve and term premium estimation | 观测 |
| Corporate bond prices and spreads | Credit spread decomposition | 观测 |
| Financial accounts by sector | Sector balance sheets and leverage | 已发布统计 |
| Equity returns of financial institutions | Market-based 系统性风险 measures | 观测 |
05流程
流程如何运行。
Process explorer · Process
Financial economics for capital markets: PRISMA 2020 review reporting
10 steps·4 个阶段
流程
Financial economics for capital markets: PRISMA 2020 review reporting
PRISMA 2020 是系统综述的报告指南；各步骤依循其核查清单，而非强制顺序，且没有任何 Nexus 文件采纳它。
01 Plan
- 01注册与协议记录 · 审查团队该指南要求说明注册信息、方案的获取方式以及任何修订。
- 02资格标准记录 · 审查团队该指南要求说明纳入与排除标准以及研究的分组方式。
02 查找与遴选
- 03检索：来源与策略步骤 · 审查团队该指南要求说明信息来源与完整的检索策略。它并不规定使用哪些来源。
- 04研究的遴选步骤 · 审查团队该指南要求说明如何判定研究符合纳入条件，包括有多少名审查人进行筛选。它并不规定审查人数量。
- 05流程图记录流程图显示检索到的记录数量、纳入的研究数量以及排除的理由。
03 分析
- 06数据收集步骤 · 审查团队该指南要求说明如何从报告中收集数据以及寻求了哪些数据项。
- 07偏倚风险步骤 · 审查团队该指南要求说明评估偏倚风险所使用的方法与工具。
- 08综合模型 · 审查团队该指南要求说明效应量指标与综合方法。它并不规定必须进行荟萃分析。
- 09证据的确定性步骤 · 审查团队该指南要求说明评估确定性所用的方法，并按结局报告结果。它并未指定分级量表。
04 报告
- 10审查报告记录该指南帮助作者报告开展综述的原因、所做的工作以及所得的发现。
报告Outline of an externally published reporting guideline, not a Nexus process and not a record of operation. PRISMA 2020 mainly covers reviews of intervention effects. No Nexus page names it. Every programme is at service level R0.
06验证
结果如何核查。
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 |
|---|---|
| Out-of-sample stress testing | Models are fitted on one period and tested on stress episodes not used in estimation |
| Specification comparison | Term premium and spread decompositions are compared across model specifications and the range is reported |
| Reconciliation with supervisory data | Market-based estimates are compared with published supervisory aggregates where they exist |
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
08管理责任
由谁维护该方法。
金融稳定 stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
09已关联
本页在整个联合体中通向何处。
10问题
问题与解答。
What are the limits of financial economics and macro-finance in this field?
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
结果如何核查？
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
本页面上的数值是真实的吗？
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
Reports 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.
全球风险联盟（Global Risks Alliance）Capital Markets Nexus全球部门风险与韧性情景与压力测试
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- Zenodo开放存缴存缴并提交到社区用您的 ORCID iD 在 Zenodo 上发布您自己的记录，然后提交到那里的 Reports 社区。由策展人审核；DOI 仍归您所有。
- 报告全球风险联盟（Global Risks Alliance）查看所有贡献方式贡献类型、各自的评审方式、您获得的署名、许可协议，以及绝不接受的内容。
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。
法律
法律文件。
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。