摘要翻译：
尽管有关银行间借贷网络一连串失败的理论文献越来越多，但实证结果似乎表明，直接敞口网络并不是金融传染的主要渠道。然而，在本文中，我们发现银行间风险网络可以显著地放大由于投资组合重叠而引起的传染。为了说明这一点，我们考虑了奥地利银行间网络的情况，并根据不同的协议对其进行压力测试。我们特别考虑由于(i)交易对手损失而引起的传染；㈡翻转风险；以及(iii)投资组合重叠。我们发现，如果孤立地考虑这些传染机制，由交易对手损失和翻转风险引起的平均破产数量是相当少的。然而，一旦投资组合重叠也被考虑在内，我们观察到直接银行间敞口网络显著地助长了系统性风险。
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英文标题：
《How interbank lending amplifies overlapping portfolio contagion: A case
study of the Austrian banking network》
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作者：
Fabio Caccioli, J. Doyne Farmer, Nick Foti, and Daniel Rockmore
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we show that networks of interbank exposures can however significantly amplify contagion due to overlapping portfolios. To illustrate this point, we consider the case of the Austrian interbank network and perform stress tests on it according to different protocols. We consider in particular contagion due to (i) counterparty loss; (ii) roll-over risk; and (iii) overlapping portfolios. We find that the average number of bankruptcies caused by counterparty loss and roll-over risk is fairly small if these contagion mechanisms are considered in isolation. Once portfolio overlaps are also accounted for, however, we observe that the network of direct interbank exposures significantly contributes to systemic risk.
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