英文标题：
《Systemic risk in a mean-field model of interbank lending with
self-exciting shocks》
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作者：
Anastasia Borovykh, Andrea Pascucci, Stefano la Rovere
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最新提交年份：
2018
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英文摘要：
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the financial acceleration and fire sales observed in the market. We derive a mean-field limit using a weak convergence analysis and find an explicit measure-valued process associated with a large interbanking system. We define systemic risk indicators and derive, using the limiting process, several law of large numbers results and verify these numerically. We conclude that self-exciting shocks increase the systemic risk in the network and their presence in interbank networks should not be ignored.
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中文摘要：
在本文中，我们考虑了一个货币储备相互作用扩散的平均场模型，其中储备受到自激励和交叉激励冲击。这是由市场上观察到的财务加速和火爆销售所推动的。我们利用弱收敛性分析导出了平均场极限，并找到了一个与大型银行间系统相关的显式测度值过程。我们定义了系统性风险指标，并利用极限过程推导出了几个大数定律的结果，并对这些结果进行了数值验证。我们得出结论，自激冲击会增加网络中的系统性风险，它们在银行间网络中的存在不容忽视。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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