Bank systemic risk and CEO overconfidence

Jin Ping Lee*, Edward M.H. Lin, Jui-Chia Lin, Yang Zhao

*此作品的通信作者

研究成果: Article同行評審

17 引文 斯高帕斯(Scopus)

摘要

This study examines the relationship between CEO overconfidence and banking systemic risk. We employ the CoVaR (Conditional Value-at-Risk) approach to measure a bank's contribution to systemic risk and compute its MES (Marginal Expected Shortfall) and SRISK (Systemic Risk index) to measure the exposure to banking systemic risk. We use a stock options based measure for CEO overconfidence and explore how managerial overconfidence could be associated with banking systemic risk. Using data for U.S. banks from 1995–2014, we find evidence that banks with overconfident CEOs have a higher contribution and exposure to systemic risk than banks with non-overconfident CEOs. We also show that the impact of CEO overconfidence contributed significantly more to systemic risk during the financial crisis of 2008–2009.

原文English
文章編號100946
期刊North American Journal of Economics and Finance
54
DOIs
出版狀態Published - 11月 2020

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