英文标题：
《Systemic risk in dynamical networks with stochastic failure criterion》
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作者：
B. Podobnik, D. Horvatic, M. Bertella, L. Feng, X. Huang, and B. Li
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最新提交年份：
2014
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英文摘要：
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use dynamical network approach to evaluate the collective financial failure---systemic risk---quantified by the fraction of active nodes. The systemic risk can be calculated over any future time period, divided on sub-periods, where within each sub-period banks may contiguously fail due to links to either (i) assets or (ii) other banks, controlled by two parameters, probability of internal failure $p$ and threshold $T_h$ (\"solvency\" parameter). The systemic risk non-linearly increases with $p$ and decreases with average network degree faster when all assets are equally distributed across banks than if assets are randomly distributed. The more inactive banks each bank can sustain (smaller $T_h$), the smaller the systemic risk---for some $T_h$ values in I we report a discontinuity in systemic risk. When contiguous spreading becomes stochastic (ii) controlled by probability $p_2$---a condition for the bank to be solvent (active) is stochastic---the systemic risk decreases with decreasing $p_2$. We analyse asset allocation for the U.S. banks.
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中文摘要：
银行和资产之间的复杂非线性相互作用我们通过两个时间相关的Erd-o-s Renyi网络模型进行建模，其中代表银行的每个节点可以投资于单个资产（模型I）或多个资产（模型II）。我们使用动态网络方法来评估集体财务失败——系统性风险——通过活跃节点的比例来量化。系统性风险可以在未来任何时间段内进行计算，并划分为子周期，在每个子周期内，银行可能会因与（i）资产或（ii）其他银行的联系而连续倒闭，由两个参数控制，即内部倒闭概率$p$和阈值$T_h$（“偿付能力”参数）。当所有资产在银行间平均分布时，系统性风险随着p$的增加而非线性增加，随着平均网络度的降低，速度比随机分布时更快。每家银行所能承受的非活跃银行越多（较小的T_h$），系统风险就越歇—在我的报告中，对于大约$T_h$的价值，我们报告了系统风险的不连续性。当连续利差变得随机（ii）由概率$p_2$控制时——银行有偿付能力（活跃）的条件是随机的——系统风险随着$p_2$的减少而降低。我们分析了美国银行的资产配置。
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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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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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