英文标题：
《Impact of credit default swaps on financial contagion》
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作者：
Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga, Hirokazu
Matsushima
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最新提交年份：
2014
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英文摘要：
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more complex aspect of financial contagion. This study presents an extension of the asset network systemic risk model (ANWSER) to investigate whether credit default swaps mitigate or intensify the severity of financial contagion. A protection buyer bank transfers the risk of every possible debtor bank default to protection seller banks. The empirical distribution of the number of bank bankruptcies is obtained with the extended model. Systemic capital buffer ratio is calculated from the distribution. The ratio quantifies the effective loss absorbency capability of the entire financial system to force back financial contagion. The key finding is that the leverage ratio is a good estimate of a systemic capital buffer ratio as the backstop of a financial system. The risk transfer from small and medium banks to big banks in an interbank network does not mitigate the severity of financial contagion.
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中文摘要：
传统做法认为，通过转移贷款违约风险，银行破产的风险可以直接降低。但美国国际集团（American International Group）在2008年的失败构成了金融传染的一个更为复杂的方面。本研究对资产网络系统风险模型（ANWSER）进行了扩展，以研究信用违约互换是否减轻或加剧了金融传染的严重程度。保护买方银行将所有可能的债务人银行违约风险转移给保护卖方银行。利用扩展模型得到了银行破产数量的经验分布。系统性资本缓冲比率根据分布计算。该比率量化了整个金融系统有效吸收损失的能力，以阻止金融传染。关键的发现是，杠杆率是对作为金融系统后盾的系统性资本缓冲率的良好估计。在银行间网络中，中小银行向大银行转移风险并不能减轻金融传染的严重程度。
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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：Computer Science 计算机科学
二级分类：Social and Information Networks 社会和信息网络
分类描述：Covers the design, analysis, and modeling of social and information networks, including their applications for on-line information access, communication, and interaction, and their roles as datasets in the exploration of questions in these and other domains, including connections to the social and biological sciences. Analysis and modeling of such networks includes topics in ACM Subject classes F.2, G.2, G.3, H.2, and I.2; applications in computing include topics in H.3, H.4, and H.5; and applications at the interface of computing and other disciplines include topics in J.1--J.7. Papers on computer communication systems and network protocols (e.g. TCP/IP) are generally a closer fit to the Networking and Internet Architecture (cs.NI) category.
涵盖社会和信息网络的设计、分析和建模，包括它们在联机信息访问、通信和交互方面的应用，以及它们作为数据集在这些领域和其他领域的问题探索中的作用，包括与社会和生物科学的联系。这类网络的分析和建模包括ACM学科类F.2、G.2、G.3、H.2和I.2的主题；计算应用包括H.3、H.4和H.5中的主题；计算和其他学科接口的应用程序包括J.1-J.7中的主题。关于计算机通信系统和网络协议（例如TCP/IP）的论文通常更适合网络和因特网体系结构（CS.NI）类别。
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