英文标题：
《Epidemics of Liquidity Shortages in Interbank Markets》
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作者：
Giuseppe Brandi, Riccardo Di Clemente, Giulio Cimini
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最新提交年份：
2018
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英文摘要：
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation between banks, and validate it on electronic market for interbank deposits data. We show that the interbank network was highly susceptible to liquidity contagion at the beginning of the 2007/2008 global financial crisis, and that the subsequent micro-prudential and liquidity hoarding policies adopted by banks increased the network resilience to systemic risk---yet with the undesired side effect of drying out liquidity from the market. We finally show that the individual riskiness of a bank is better captured by its network centrality than by its participation to the market, along with the currently debated concept of \"too interconnected to fail\".
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中文摘要：
最近，流动性冲击引发的金融传染被认为是银行间借贷市场系统性风险的主要驱动因素。在流行病中使用的标准隔间模型的基础上，我们在这项工作中开发了银行间流动性冲击混响动力学的EDB（暴露的不良破产）模型，并在银行间存款数据的电子市场上进行了验证。我们表明，在2007/2008年全球金融危机开始时，银行间网络极易受到流动性传染的影响，银行随后采取的微观审慎和流动性囤积政策提高了网络对系统性风险的抵御能力，但也带来了市场流动性枯竭的不良副作用。我们最后表明，银行的个人风险最好通过其网络中心性来捕捉，而不是通过其对市场的参与，再加上目前备受争议的“太相互关联而不能倒闭”的概念。
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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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