英文标题：
《A dynamic network model to measure exposure diversification in the
Austrian interbank market》
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作者：
Juraj Hledik and Riccardo Rastelli
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最新提交年份：
2018
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英文摘要：
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather concentrate their commitment towards a limited number of institutions. Crucially, a Markov property is introduced to capture time dependencies and to make our measures comparable across time. We apply the model on an original dataset of Austrian interbank exposures. The temporal span encompasses the onset and development of the financial crisis in 2008 as well as the beginnings of European sovereign debt crisis in 2011. Our analysis highlights an overall increasing trend for network homogeneity, whereby core banks have a tendency to distribute their market exposures more equally across their partners.
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中文摘要：
我们提出了一个加权时间网络的统计模型，能够衡量金融系统的异质性水平。我们的模型侧重于金融机构的多元化水平；也就是说，他们是否更倾向于在合作伙伴之间平均分配资产，或者是否更愿意将承诺集中在数量有限的机构上。关键的是，引入了马尔可夫特性来捕获时间依赖性，并使我们的度量在时间上具有可比性。我们将该模型应用于奥地利银行间风险敞口的原始数据集。时间跨度包括2008年金融危机的开始和发展，以及2011年欧洲主权债务危机的开始。我们的分析强调了网络同质性的总体增长趋势，即核心银行倾向于在其合作伙伴之间更平均地分配其市场敞口。
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分类信息：

一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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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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