英文标题：
《A dynamic approach merging network theory and credit risk techniques to
assess systemic risk in financial networks》
---
作者：
Daniele Petrone and Vito Latora
---
最新提交年份：
2018
---
英文摘要：
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network of exposures among banks. A potential loss distribution is obtained through a multi-period Monte Carlo simulation that considers the probability of default (PD) of the banks and their tendency of defaulting in the same time interval. A contagion process increases the PD of banks exposed toward distressed counterparties. The systemic risk is measured by statistics of the loss distribution, while the contribution of each node is quantified by the new measures PDRank and PDImpact. We illustrate how the model works on the network of the European Global Systemically Important Banks. For a certain range of the banks\' capital and of their assets volatility, our results reveal the emergence of a strong contagion regime where lower default correlation between banks corresponds to higher losses. This is the opposite of the diversification benefits postulated by standard credit risk models used by banks and regulators who could therefore underestimate the capital needed to overcome a period of crisis, thereby contributing to the financial system instability.
---
中文摘要：
金融机构的相互联系影响着不稳定和信贷危机。为了量化系统性风险，我们在此引入PD模型，这是一种动态模型，将信贷风险技术与银行间风险敞口网络上的传染机制相结合。通过考虑银行违约概率及其在同一时间间隔内的违约趋势的多周期蒙特卡罗模拟，获得了潜在损失分布。传染过程增加了银行对陷入困境的交易对手的PD。系统性风险通过损失分布的统计数据来衡量，而每个节点的贡献则通过新的衡量指标PDRank和PDImpact来量化。我们将说明该模型如何在欧洲全球系统重要性银行网络上工作。对于一定范围内的银行资本和资产波动性，我们的结果表明，出现了一种强烈的传染机制，银行之间的违约相关性越低，损失就越大。这与银行和监管机构使用的标准信用风险模型所假设的多元化收益相反，因此，银行和监管机构可能低估了克服危机所需的资本，从而导致金融系统不稳定。
---
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
--
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
--
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->