英文标题：
《The effect of heterogeneity on financial contagion due to overlapping
portfolios》
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作者：
Opeoluwa Banwo, Fabio Caccioli, Paul Harrald, Francesca Medda
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最新提交年份：
2017
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英文摘要：
We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system. Relative to the benchmark case of banks with homogeneous degrees and balance-sheet sizes, we find that if banks have a power-law degree distribution the system becomes less robust with respect to the initial failure of a random bank, and that targeted shocks to the most specialised banks (i.e. banks with low degrees) or biggest banks increases the probability of observing a cascade of defaults. In contrast, we find that a power-law degree distribution for assets increases stability with respect to random shocks, but not with respect to targeted shocks. We also study how allocations of capital buffers between banks affects the system\'s stability, and we find that assigning capital to banks in relation to their level of diversification reduces the probability of observing cascades of defaults relative to size based allocations. Finally, we propose a non-capital based policy that improves the resilience of the system by introducing disassortative mixing between banks and assets.
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中文摘要：
我们考虑了最近在文献中引入的资产和银行二部网络中的金融传染模型，并研究了幂律分布的程度和资产负债表规模对系统稳定性的影响。与具有同质程度和资产负债表规模的银行的基准案例相比，我们发现，如果银行具有幂律程度分布，则系统对于随机银行的初始故障的鲁棒性会降低，并且针对最专业的银行（即低程度的银行）或最大的银行的定向冲击会增加观察到一连串违约的可能性。相比之下，我们发现资产的幂律度分布增加了随机冲击的稳定性，但对于目标冲击则没有。我们还研究了银行间资本缓冲区的分配如何影响系统的稳定性，我们发现，相对于基于规模的分配，向银行分配与其多元化水平相关的资本会降低观察到一连串违约的可能性。最后，我们提出了一种基于非资本的政策，通过在银行和资产之间引入非分割性混合来提高系统的弹性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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