英文标题：
《Systemic risk governance in a dynamical model of a banking system》
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作者：
Lorella Fatone and Francesca Mariani
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最新提交年份：
2018
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英文摘要：
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary reserves of the banks as functions of time. The banking system model considered generalizes previous models studied in [5], [4], [7] and describes an homogeneous population of banks. Two distinct mechanisms are used to model the cooperation among banks and the cooperation between banks and monetary authority. These mechanisms are regulated respectively by the parameters $\\alpha$ and $\\gamma$. A bank fails when its log-monetary reserves go below an assigned default level. We call systemic risk or systemic event in a bounded time interval the fact that in that time interval at least a given fraction of the banks fails. The probability of systemic risk in a bounded time interval is evaluated using statistical simulation. A method to govern the probability of systemic risk in a bounded time interval is presented. The goal of the governance is to keep the probability of systemic risk in a bounded time interval between two given thresholds. The governance is based on the choice of the log-monetary reserves of a kind of \"ideal bank\" as a function of time and on the solution of an optimal control problem for the mean field approximation of the banking system model. The solution of the optimal control problem determines the parameters $\\alpha$ and $\\gamma$ as functions of time, that is defines the rules of the borrowing and lending activity among banks and between banks and monetary authority. Some numerical examples are discussed. The systemic risk governance is tested in absence and in presence of positive and negative shocks acting on the banking system.
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中文摘要：
我们考虑银行系统模型中的系统性风险管理问题。银行系统模型包含一个随机微分方程系统的初值问题，该系统的因变量是银行的对数货币储备随时间的函数。所考虑的银行系统模型概括了文献[5]、[4]、[7]中研究的先前模型，并描述了银行的同质群体。两种不同的机制被用来模拟银行间的合作以及银行与货币当局之间的合作。这些机制分别由参数$\\ alpha$和$\\ gamma$调节。当其原始货币储备低于指定的默认水平时，银行就会倒闭。我们将有限时间间隔内的系统性风险或系统性事件称为在该时间间隔内至少有一部分银行倒闭的事实。系统性风险在有界时间间隔内的概率通过统计模拟进行评估。提出了一种在有界时间间隔内控制系统性风险概率的方法。治理的目标是将系统性风险的概率保持在两个给定阈值之间的有限时间间隔内。治理的基础是选择一种“理想银行”的对数货币储备作为时间的函数，并解决银行系统模型平均场近似的最优控制问题。最优控制问题的解将参数$\\α$和$\\γ$确定为时间的函数，即定义银行之间以及银行与货币当局之间借贷活动的规则。讨论了一些数值例子。系统性风险治理在没有银行系统受到正面和负面冲击的情况下进行测试。
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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
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