英文标题：
《Systemic risk through contagion in a core-periphery structured banking
network》
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作者：
Oliver Kley and Claudia Kl\\\"uppelberg and Lukas Reichel
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最新提交年份：
2014
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英文摘要：
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets better than a homogeneous model. The components of a vector Ornstein-Uhlenbeck process living on the vertices of the network describe the financial robustnesses of the agents. For this system, we prove a LLN for growing network size leading to a propagation of chaos result. We state properties, which arise from such a structure, and examine the effect of inhomogeneity on several risk management issues and the possibility of contagion.
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中文摘要：
我们有助于理解系统性风险是如何在信贷相互关联的代理网络中产生的。在实证研究的推动下，我们建立了一个网络模型，该模型尽管简单，但比同质模型更好地描述了银行间市场的性质。网络顶点上的向量Ornstein-Uhlenbeck过程的分量描述了代理的财务稳健程度。对于这个系统，我们证明了一个LLN，用于增加网络规模，从而导致混沌的传播。我们陈述了由这种结构产生的属性，并检查了不均匀性对几个风险管理问题的影响以及传染的可能性。
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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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