英文标题：
《Distress propagation in complex networks: the case of non-linear
DebtRank》
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作者：
Marco Bardoscia, Fabio Caccioli, Juan Ignacio Perotti, Gianna Vivaldo,
Guido Caldarelli
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最新提交年份：
2016
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英文摘要：
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of the DebtRank algorithm, recently introduced in the literature. The mechanics of distress propagation is very simple: When a bank suffers a loss, distress propagates to its creditors, who in turn suffer losses, and so on. The original DebtRank assumes that losses are propagated linearly between connected banks. Here we relax this assumption and introduce a one-parameter family of non-linear propagation functions. As a case study, we apply this algorithm to a data-set of 183 European banks, and we study how the stability of the system depends on the non-linearity parameter under different stress-test scenarios. We find that the system is characterized by a transition between a regime where small shocks can be amplified and a regime where shocks do not propagate, and that the overall stability of the system increases between 2008 and 2013.
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中文摘要：
我们考虑了复杂网络上危机传播的动力学模型，并将其应用于研究通过直接暴露相互连接的银行网络中的金融传染。我们考虑的模型是最近在文献中引入的DebtRank算法的扩展。危机传播的机制非常简单：当银行遭受损失时，危机会传播给债权人，而债权人又会遭受损失，以此类推。最初的DebtRank假设损失在关联银行之间线性传播。这里我们放松了这个假设，引入了一个单参数的非线性传播函数族。作为一个案例研究，我们将该算法应用于183家欧洲银行的数据集，并研究了在不同的压力测试场景下，系统的稳定性如何依赖于非线性参数。我们发现，该系统的特点是在一个小冲击可以放大的机制和一个冲击不会传播的机制之间进行过渡，并且在2008年至2013年期间，该系统的整体稳定性增加。
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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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