Employing a novel control function regression method that accounts for the endogenous matching of banks and executives, we find that equity portfolio vega, the sensitivity of executives’ equity portfolio value to their firms’ stock return volatility, leads to systemic risk that manifests during subsequent economic contractions but not expansions. We further find that vega encourages systemically risky policies, including maintaining lower common equity Tier 1 capital ratios, relying on more run-prone debt financing, and making more procyclical investments. Collectively, our evidence suggests that executives’ incentive-compensation contracts promote systemic risk-taking through banks’ lending, investing, and financing practices.

采用一种新的控制函数回归方法来解释银行和高管的内生匹配，我们发现股权投资组合 vega，即高管股权投资组合价值对其公司股票收益波动的敏感性，导致系统性风险，在随后的经济周期中体现出来。收缩而不是扩张。我们进一步发现 vega 鼓励系统性风险政策，包括维持较低的普通股一级资本比率，依赖更容易运行的债务融资，以及进行更多的顺周期投资。总的来说，我们的证据表明，高管的激励薪酬合同通过银行的贷款、投资和融资实践促进了系统性风险承担。