统计与信息论坛

银行违约风险是衡量银行脆弱性的主要指标，对于中国金融系统防范和化解系统性风险具有重要意义。已有研究指出CEO的薪酬激励和银行的风险承担相关，但对于CEO股权激励的两个要素CEO delta和CEO vega的研究相对欠缺。通过构建违约距离这一指标来度量银行违约风险，具体探究CEO delta和CEO vega对于违约风险的作用。实证结果显示，CEO vega与违约风险呈正相关，而CEO delta与违约风险的相关关系并不显著，在控制了其他薪酬因素影响后，结果依旧稳健。在GLB法案颁布后，CEO vega对违约风险影响更为显著。此外，在高风险银行中，CEO vega的作用较为微弱。研究结论对制定恰当的薪酬激励政策，鼓励金融机构管理人员进行适当的金融创新探索提供了具体对策建议。

Bank default risk is a key indicator for measuring the vulnerability of banks.Existing research has pointed out that CEO compensation incentives are related to a bank's risk-taking, but the research on the two components of CEO equity incentives, CEO delta and CEO vega, is relatively lacking.By constructing the default distance indicator to measure bank default risk, this paper specifically explores the roles of CEO delta and CEO vega in default risk.CEOs equity-based compensations have two distinguished incentives: CEO delta and CEO vega.The empirical results show that CEO vega is positively associated with default risk.However, there is no significant association between default risk and CEO delta.After controlling for the effects of other CEO equity-based components, the empirical results remain robust, this indicates that CEO equity-based incentives significantly influence a bank's default risk.In the period after the passage of the GLB Act, CEO vega has a significant impact on default risk.The empirical analysis further explores the relationship between the impact of CEO vega on default risk and the risk-shifting hypothesis.By dividing banks into high-risk and low-risk groups, it is found that the impact of CEO vega on default risk is weaker for high-risk banks.Moreover, the effect of CEO vega is weaker in high-risk banks.The main innovations are focused on three aspects.First, the impacts of the two different incentive effects, CEO delta and CEO vega, is examined within equity-based incentives on default risk.Existing research focus more on how to use equity incentives to mitigate agency conflicts.However, for the banking industry, while equity incentives can alleviate principal-agent problems, at the cost of increased default risk.Therefore, when designing equity-based incentive policies, banks need to consider both the different incentive effects and default risk.This paper also studies whether the effects of equity-based incentives are influenced by the bank's own risk condition, and finds that when the default risk is higher, the marginal impact of CEO vega is weaker.The empirical findings have implications for corporate governance and risk management in the banking industry.First, given the unique characteristics of the banking industry, when designing equity-based incentives for bank executives, it is necessary to differentiate the different effects of equity-based incentives on default risk and incorporate into the bank's overall risk management considerations.Second, when equity-based incentives are used to reduce agency problems and encourage bank executives to explore innovations, it is necessary to take default risks into consideration.