Bank systemic risk and CEO overconfidence

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

doi:10.1016/j.najef.2019.03.011

Bank systemic risk and CEO overconfidence

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

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資訊管理與財務金融學系

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21 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
卷	54
DOIs	https://doi.org/10.1016/j.najef.2019.03.011
出版狀態	Published - 11月 2020

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10.1016/j.najef.2019.03.011

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title = "Bank systemic risk and CEO overconfidence",

abstract = "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.",

keywords = "Banking, CEO Overconfidence, Finance crisis, Systemic risk",

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AU - Lee, Jin Ping

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AB - 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.

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Bank systemic risk and CEO overconfidence

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