精算论坛讲座第153期-- Yajun Xiao
报告题目：Benefits and Risks ofShadow Money: Evidence from Chinese WMP Market
Michael SmurfitGraduate Business School, University College Dublin
Dr Yajun Xiao obtained his Ph.D in Finance from the GeotheUniversity Frankfurt and Diplom (master equiv.) in Mathematics from Universityof Kaiserslautern. He completed his undergraduate study in Tongji University,China. Prior to joining UCD, Yajun was a lecturer in Finance at the Universityof Technology, Sydney and a postdoc at the University of Freiburg. Yajunresearch interests are in capital structure and maturity mismatch arising fromcorporate financing, systmic risk in banking system, asset pricing with marketfrictions. His research also focuses on other topics in quantitative finance.He has published papers in Review of Finance, European Financial Management,Advances in Applied Probability and Quantitative Finance, etc.
报告摘要: In thispaper, we study banking competition in the presence of shadow money. Investorschoose between insured deposits and uninsured off-balance sheet shadow moneywhile banks compete for investors in setting the corresponding interest ratesand default endogenously. Our approach allows to quantitatively examine thebenefits and risks inherent in shadow money across time and states. We calibrateour model to the Chinese banking sector data using wealth management products(WMPs) as proxy for shadow money. Banks value implicit government guaranteethat earn premium, which incentives banks to create more shadow money. As aresult of supply of credit it boosts economy but it builds up financialfragility that potentially harms economy. Some of the bad equilibria leads tosevere financial distress and causes large welfare loss. Further, we show thatbanks are more fragile if adjusting rates on shadow money is costly and thatimposing capital requirements on shadow money is not a viable policy to enhancestability.