英文标题：
《Systemic Risk with Exchangeable Contagion: Application to the European
Banking System》
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作者：
Umberto Cherubini and Sabrina Mulinacci
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最新提交年份：
2015
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英文摘要：
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in this paper is assumed to be exchangeable and Archimedean. This approach is able to encompass both systemic risk and contagion, with the Marshall-Olkin pure systemic risk model and the Archimedean contagion model as extreme cases. Moreover, we show that assuming an affine structure for the intensities of idiosyncratic and systemic shocks and a Gumbel copula, the approach delivers a complete multivariate distribution with exponential marginal distributions. The model can be estimated by applying a moment matching procedure to the bivariate marginals. We also provide an easy visual check of the good specification of the model. The model is applied to a selected sample of banks for 8 European countries, assuming a common shock for every country. The model is found to be well specified for 4 of the 8 countries. We also provide the theoretical extension of the model to the non-exchangeable case and we suggest possible avenues of research for the estimation.
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中文摘要：
我们提出了一个模型和估计技术来区分系统性风险和信用风险中的传染。其主要思想是假设，对于一组$d$债务人，一组$d$特殊冲击和一个触发所有债务人违约的冲击。所有的冲击都被假定为依赖关系，在本文中，这种依赖关系被假定为可交换的阿基米德关系。这种方法能够同时包含系统性风险和传染，马歇尔-奥尔金纯系统性风险模型和阿基米德传染模型是极端情况。此外，我们还表明，假设特殊性和系统性冲击的强度为仿射结构，并使用Gumbel copula，该方法提供了一个具有指数边际分布的完整多元分布。该模型可以通过对二元边缘应用矩匹配程序来估计。我们还提供了一个简单的视觉检查模型的良好规格。该模型适用于8个欧洲国家的选定银行样本，假设每个国家都有共同的冲击。该模型被发现适用于8个国家中的4个。我们还提供了模型在不可交换情况下的理论扩展，并提出了估计的可能研究途径。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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