英文标题：
《Leveraging the network: a stress-test framework based on DebtRank》
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作者：
Stefano Battiston, Marco D\'Errico, Stefano Gurciullo, Guido Caldarelli
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最新提交年份：
2016
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英文摘要：
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of distress propagation. The main features are as follows. First, the framework allows to estimate and disentangle not only first-round effects (i.e. shock on external assets) and second-round effects (i.e. distress induced in the interbank network), but also third-round effects induced by possible fire sales. Second, it allows to monitor at the same time the impact of shocks on individual or groups of financial institutions as well as their vulnerability to shocks on counterparties or certain asset classes. Third, it includes estimates for loss distributions, thus combining network effects with familiar risk measures such as VaR and CVaR. Fourth, in order to perform robustness analyses and cope with incomplete data, the framework features a module for the generation of sets of networks of interbank exposures that are coherent with the total lending and borrowing of each bank. As an illustration, we carry out a stress-test exercise on a dataset of listed European banks over the years 2008-2013. We find that second-round and third-round effects dominate first-round effects, therefore suggesting that most current stress-test frameworks might lead to a severe underestimation of systemic risk.
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中文摘要：
我们开发了一个新的压力测试框架来监控金融系统中的系统性风险。该框架的模块化结构允许适应各种冲击场景、估计银行间风险敞口的方法和危机传播机制。主要特点如下。首先，该框架不仅可以估计和理清第一轮效应（即对外部资产的冲击）和第二轮效应（即银行间网络中引发的困境），还可以估计和理清可能的火爆销售引起的第三轮效应。其次，它允许同时监测冲击对个别或集团金融机构的影响，以及它们对交易对手或某些资产类别的冲击脆弱性。第三，它包括对损失分布的估计，从而将网络效应与熟悉的风险度量（如VaR和CVaR）结合起来。第四，为了进行稳健性分析并处理不完整的数据，该框架提供了一个模块，用于生成与每家银行的借贷总额一致的银行间风险敞口网络集。举个例子，我们对2008-2013年间欧洲上市银行的数据集进行了压力测试。我们发现，第二轮和第三轮效应主导了第一轮效应，因此表明大多数当前的压力测试框架可能导致严重低估系统风险。
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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：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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