英文标题：
《A model of financial contagion with variable asset returns may be
replaced with a simple threshold model of cascades》
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作者：
Teruyoshi Kobayashi
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最新提交年份：
2014
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英文摘要：
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency of financial contagion without using information about individual balance sheets. Keywords: financial network, cascades, financial contagion, systemic risk.
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中文摘要：
我展示了金融传染模型和Watts（2002）提出的全球级联阈值模型之间的等价性。模型金融网络包括持有风险外部资产和银行间资产的银行。研究表明，一个简单的阈值模型可以复制金融传染的规模和频率，而无需使用有关单个资产负债表的信息。关键词：金融网络、级联、金融传染、系统性风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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