英文标题：
《Network Valuation in Financial Systems》
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作者：
Paolo Barucca, Marco Bardoscia, Fabio Caccioli, Marco D\'Errico,
Gabriele Visentin, Guido Caldarelli, Stefano Battiston
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最新提交年份：
2020
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英文摘要：
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks\' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximises individual and total equity values for all banks. We apply our model to the assessment of systemic risk, and in particular for the case of stress-testing. Further, we provide a fixed-point algorithm to carry out the network valuation and the conditions for its convergence.
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中文摘要：
我们介绍了一个通用模型，用于在相互关联的金融系统中对银行间债权进行资产负债表一致性估值。我们的模型是相互依存负债清算模型的扩展，以解释银行外部资产存在的不确定性。同时，它还将经典的结构性信贷风险模型自然扩展到互联系统的情况。我们描述了估值的存在性和唯一性，该估值使所有银行的个人和总股本价值最大化。我们将我们的模型应用于系统性风险评估，尤其是压力测试。此外，我们还提供了一个不动点算法来进行网络估值，并给出了其收敛的条件。
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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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