英文标题：
《Densely Entangled Financial Systems》
---
作者：
Bhaskar DasGupta and Lakshmi Kaligounder
---
最新提交年份：
2014
---
英文摘要：
In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party neighbors, a bank fails due to the counter-party risk only if at least one of its two neighbors default, and such a counter-party risk is a low probability event. Informally, the author shows that the banks will hedge their asset risks by appropriate OTC contracts, and, though it may be socially optimal to insure against counter-party risk, in equilibrium banks will {\\em not} choose to insure this low probability event. In this paper, we consider the above model for more general network topologies, namely when each node has exactly 2r counter-party neighbors for some integer r>0. We extend the analysis of [1] to show that as the number of counter-party neighbors increase the probability of counter-party risk also increases, and in particular the socially optimal solution becomes privately sustainable when each bank hedges its risk to at least n/2 banks, where n is the number of banks in the network, i.e., when 2r is at least n/2, banks not only hedge their asset risk but also hedge its counter-party risk.
---
中文摘要：
在[1]中，扎瓦多斯基介绍了一种银行网络模型，其中资产和交易对手风险分别处理，银行通过适当的OTC合同对冲资产风险。在他的模型中，每家银行只有两个交易对手邻居，只有当两个邻居中至少有一个违约时，一家银行才会因交易对手风险而倒闭，而且这种交易对手风险是低概率事件。非正式地，作者表明，银行将通过适当的OTC合同对冲其资产风险，尽管为对抗方风险投保可能是社会最优的，但在均衡状态下，银行将{\\em not}选择为这种低概率事件投保。在本文中，我们考虑了更一般的网络拓扑的上述模型，即当某个整数r>0时，每个节点正好有2r个对等邻居。我们扩展了[1]的分析，以表明随着交易对手邻居数量的增加，交易对手风险的概率也会增加，尤其是当每家银行将其风险对冲到至少n/2家银行时，社会最优解决方案在私人方面是可持续的，其中n是网络中的银行数量，即当2r至少为n/2时，银行不仅对冲资产风险，还对冲交易对手风险。
---
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
--
一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
--

---
PDF下载：
-->