英文标题：
《Systemic Risk Management in Financial Networks with Credit Default Swaps》
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作者：
Matt V. Leduc, Sebastian Poledna and Stefan Thurner
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最新提交年份：
2017
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英文摘要：
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of interbank exposures in a way that makes it more resilient to insolvency cascades. A regulator can use information about the topology of the interbank network to devise a systemic insurance surcharge that is added to the CDS spread. CDS contracts are thus effectively penalized according to how much they contribute to increasing systemic risk. CDS contracts that decrease systemic risk remain untaxed. We simulate this regulated CDS market using an agent-based model (CRISIS macro-financial model) and we demonstrate that it leads to an interbank system that is more resilient to insolvency cascades.
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中文摘要：
我们研究了当银行被允许用其他银行出售的信用违约互换（CDS）为其贷款提供保险时，银行间系统中的破产级联。我们表明，通过适当地将金融风险从一家机构转移到另一家机构，CDS市场可以被设计为重新连接银行间风险网络，从而使其对破产级联更具弹性。监管机构可以利用有关银行间网络拓扑结构的信息设计系统性保险附加费，并将其添加到CDS利差中。因此，CDS合同实际上会根据其对增加系统性风险的贡献程度受到惩罚。降低系统性风险的CDS合同仍然免税。我们使用基于代理的模型（危机宏观金融模型）模拟了这一受监管的CDS市场，并证明这会导致银行间系统对破产级联更具弹性。
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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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