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中文摘要：
利用约化法对银行之间互相持有次级债的风险进行定性和定量的分析，并研究对银行资本充足率、银行违约概率、新发债券信用利差的影响．与不互相持有相比，一方面，银行采取互相持有次级债的策略，大大提高了资本充足率，且当次级债回收率高于一定水平时，将降低银行新发债券的信用利差；但另一方面，互相持有次级债引发的违约传染风险将是巨大的，一家银行的信用事件会引起整个银行业的信用危机，这在金融危机中已被证明．鉴于此，监管层要对银行互相持有次级债严加规定和监管．
英文摘要：
In reduced form framework, the paper analyzes the risk, which lies in the reciprocal subordinated bond holdings by banks, both qualitatively and quantitatively. And we investigate its influence on capital adequacy, default probability and credit spread. We show that, on one hand, the capital adequacy of banks is improved by reciprocal holding behavior, and the credit spreads of new issued bonds are reduced when recov- ery rate is higher than a given level; on the other hand, the default contagion risk induced by reciprocal holding is not negligible. Therefore we suggest supervisors should make more strict regulations on this behavior.
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