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首页> 外文期刊>Journal of Financial Economic Policy >Systemic risk and firm size: is notional amount a good metric?
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Systemic risk and firm size: is notional amount a good metric?

机译：系统风险和公司规模：是一个良好的公制数量的名义吗？

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摘要

Purpose - Many recently enacted financial regulations exempt smaller entities. While the literature on systemic risk provides efficiency justifications for certain exemptions, the efficiency rationale depends on measuring size appropriately. This paper aims to argue that notional amount, the metric used in derivatives regulations, is a flawed measure of an entity's contribution to systemic risk. This study discusses an alternative size measure - entity-netted notionals or ENNs - which better reflects risk exposure as discussed in that literature and provides empirical evidence on these two metrics. Design/methodology/approach - This study first discusses the relationship between the systemic risk literature and size-based exemptions. This study then describes the current metric and our risk-based alternative. Finally, this paper presents regulatory data on US interest rate swaps (IRS) and uses this to characterize some features of risk exposure. Findings - The unique data set provides empirical insight into how well the size metric used in current regulations corresponds to a more theoretically oriented measure. This study finds the relationship between the metrics is fairly weak for entities for whom the size-based exemption will soon be ending, and provide an empirical basis for understanding why they differ. This study also provides evidence on the correlation of risk within this group of entities. Practical implications - The paper has important implications for regulation of derivatives and financial markets more generally. To the extent exemptions for small entities make good policy, having the appropriate metric is critical. As such, the metric could be a valuable tool for regulators. Originality/value - This paper examines the likely objectives of size-based exemptions from financial regulations and relates them to the systemic risk literature. It provides a unique empirical description of IRS positions, which allows us to examine the relationship between the metric used by regulators and our alternative.
机译：目的 - 许多最近颁布的财务法规免除较小的实体。虽然系统风险的文献为某些豁免提供了效率理由，但效率理由取决于适当的测量尺寸。本文旨在争辩说，衍生品条例中使用的指标是指标，是实体对系统风险贡献的缺陷措施。本研究讨论了替代规模措施 - 实体 - 净界概念或恩斯 - 这更好地反映了在该文献中讨论的风险暴露，并为这两个指标提供了经验证据。设计/方法/方法 - 本研究首先讨论了系统风险文学与基于规模的豁免之间的关系。然后，本研究描述了当前的度量和我们的风险的替代方案。最后，本文提出了关于美国利率掉期（IRS）的监管数据，并用它来表征风险曝光的一些功能。调查结果 - 唯一的数据集提供了对当前规则中使用的尺寸指标的实证洞察，这对应于更为理论上的度量。本研究发现指标与基于尺寸的豁免将很快结束的实体相当弱，并为理解他们为什么不同提供实证基础。本研究还提供了本集团内部风险相关的证据。实际意义 - 本文普遍地对衍生品和金融市场的规定具有重要意义。对于小实体的范围豁免做好政策，具有适当的指标至关重要。因此，度量可以是调节器的有价值的工具。原创性/价值 - 本文审查了基于财务规定的规模豁免的可能目标，并将其与系统风险文献相关联。它提供了IRS位置的独特经验描述，这使我们能够检查监管机构和替代方案使用的度量之间的关系。

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