AI 中文总结
该研究开发连续时间结构动态模型，通过纳入巴塞尔协议III要求，用HJB方程求解银行精确破产边界，推导验证近似函数，利用伊朗银行业数据校准，揭示非线性阈值效应，为监管者提供工具，为新兴市场金融摩擦提供见解和风险管理框架。
AI 中文摘要
我们开发了一个连续时间结构动态模型来确定银行因流动性和信用风险之间的非线性相互作用而产生的精确破产区域。现有文献大多孤立地或通过简化形式来处理这些风险，而我们明确对反馈回路进行建模，其中融资冲击和监管约束迫使资产负债表调整，可能导致内生性破产。通过将巴塞尔协议III监管要求（LCR和NSFR）纳入随机最优控制框架，我们使用汉密尔顿-雅可比-贝尔曼（HJB）方程求解精确的破产边界。为弥合理论复杂性与监管实践之间的差距，我们推导并验证了一个替代分析近似函数以实现实时监测。利用伊朗银行业的详细资产负债表数据进行校准后，我们的模型揭示了显著的非线性阈值效应：与各自单独影响相比，流动性压力和信贷组合违约共同出现会极大加速向破产的转变。所提出的替代函数为监管者提供了一个用于压力测试和预警系统的计算高效工具。我们的研究结果为新兴市场的金融摩擦提供了新见解，并为综合风险管理提供了一个严谨框架。
英文摘要
We develop a continuous-time structural dynamic model to determine the exact insolvency regions of banks arising from the non-linear interaction between liquidity and credit risk. While existing literature predominantly treats these risks in isolation or via reduced-form specifications, we explicitly model the feedback loop where funding shocks and regulatory constraints force balance-sheet adjustments that can lead to endogenous insolvency. By incorporating Basel III regulatory requirements (LCR and NSFR) into a stochastic optimal control framework, we solve for the exact insolvency boundary using the Hamilton-Jacobi-Bellman (HJB) equation. To bridge the gap between theoretical complexity and supervisory practice, we derive and validate a surrogate analytical approximation function that allows for real-time monitoring. Calibrated using granular balance-sheet data from the Iranian banking sector, our model reveals significant non-linear threshold effects: the joint occurrence of liquidity stress and credit portfolio defaults disproportionately accelerates the transition toward insolvency compared to their individual effects. The proposed surrogate function offers supervisors a computationally efficient tool for stress testing and early warning systems. Our findings provide novel insights into financial frictions in emerging markets and offer a rigorous framework for integrated risk management.
CommentsKeywords: Bank insolvency, Liquidity risk, Credit risk, Stochastic optimal control, HJB equation, Basel III, Early warning systems. 25 pages, 8 figures, 2 tables
