英文标题：
《A framework for simulating systemic risk and its application to the
South African banking sector》
---
作者：
Nadine M Walters, Conrad Beyers, Gusti van Zyl, Rolf van den Heever
---
最新提交年份：
2018
---
英文摘要：
We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the framework allows the modeller to reflect a top-down framework where a shock to one bank in the system affects the solvency and liquidity position of other banks, through systemic market risks and consequential liquidity strains. We illustrate the framework with an application using South African bank balance sheet data. Spikes in simulated assessments of systemic risk agree closely with spikes in documented subjective assessments of this risk. This indicates that network models can be useful for monitoring systemic risk levels. The model results are sensitive to liquidity risk and market sentiment and therefore the related parameters are important considerations when using a network approach to systemic risk modelling.
---
中文摘要：
我们提出了一个基于网络的系统性风险模拟框架，该框架考虑了银行系统中的冲击传播。特别是，该框架允许建模者反映自上而下的框架，即系统中一家银行受到的冲击通过系统性市场风险和相应的流动性压力影响其他银行的偿付能力和流动性状况。我们用一个使用南非银行资产负债表数据的应用程序来说明该框架。系统性风险模拟评估中的峰值与记录在案的该风险主观评估中的峰值非常一致。这表明网络模型可用于监测系统风险水平。模型结果对流动性风险和市场情绪敏感，因此在使用网络方法进行系统风险建模时，相关参数是重要的考虑因素。
---
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
--

---
PDF下载：
-->