英文标题：
《Contagion and Stability in Financial Networks》
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作者：
Seyyed Mostafa Mousavi, Robert Mackay, Alistair Tucker
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最新提交年份：
2016
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英文摘要：
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random network of banks which are connected through the inter-bank market and will discuss the desirable level of banks exposure to the same sources of risk, that is investment in similar portfolios, for different levels of network connectivity when peering through the lens of the systemic cost incurred to the economy from the banks simultaneous failure. It demonstrates that for all levels of network connectivity, certain levels of diversifying individual banks diversifications are not optimum under any condition. So, given an acceptable level of systemic cost, the regulator could let banks decrease their capital buffers by moving away from the non-optimum area.
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中文摘要：
本文研究了金融传染的两种机制，一是银行对同一风险源的相关暴露，二是银行在银行间市场的直接暴露。它将考虑通过银行间市场连接的随机银行网络，并将讨论银行在相同风险源（即投资于类似投资组合）下的理想风险水平，以及在通过银行同时倒闭给经济带来的系统性成本的视角观察不同级别的网络连接时。它表明，对于所有级别的网络连通性，个别银行多样化的某些级别在任何情况下都不是最优的。因此，考虑到可接受的系统成本水平，监管机构可以让银行通过远离非最佳区域来减少资本缓冲。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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