英文标题：
《Capital Regulation under Price Impacts and Dynamic Financial Contagion》
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作者：
Zachary Feinstein
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最新提交年份：
2019
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英文摘要：
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight based capital ratio requirement. We use this model to find analytical bounds on the risk-weights for assets as a function of the market liquidity. Under these appropriate risk-weights, we find existence and uniqueness for the joint system of firm behavior and the asset prices. We further consider an analytical bound on the firm liquidations, which allows us to construct exact formulas for stress testing the financial system with deterministic or random stresses. Numerical case studies are provided to demonstrate various implications of this model and analytical bounds.
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中文摘要：
我们构建了一个连续时间模型，用于研究金融系统中所有公司的银行账户都会受到一个共同的外部压力所引发的价格中介传染。在这种情况下，企业受到约束，以满足基于风险权重的资本比率要求。我们使用该模型找到资产风险权重的分析界限，作为市场流动性的函数。在这些适当的风险权重下，我们发现了企业行为和资产价格联合系统的存在性和唯一性。我们进一步考虑了公司清算的分析界限，这允许我们构建精确的公式，用确定性或随机压力测试金融系统。提供了数值案例研究，以证明该模型的各种含义和分析界限。
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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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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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