《Network Sensitivity of Systemic Risk》
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作者:
Amanah Ramadiah, Domenico Di Gangi, D. Ruggiero Lo Sardo, Valentina
Macchiati, Tuan Pham Minh, Francesco Pinotti, Mateusz Wilinski, Paolo Barucca
and Giulio Cimini
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最新提交年份:
2020
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英文摘要:
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion dynamics of financial shocks, and to assess the resilience of specific financial markets - either using real network data, reconstruction techniques or simple toy networks. Here we address the more general problem of how shock propagation dynamics depends on the topological details of the underlying network. To this end we consider different realistic network topologies, all consistent with balance sheets information obtained from real data on financial institutions. In particular, we consider networks of varying density and with different block structures, and diversify as well in the details of the shock propagation dynamics. We confirm that the systemic risk properties of a financial network are extremely sensitive to its network features. Our results can aid in the design of regulatory policies to improve the robustness of financial markets.
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中文摘要:
越来越多的关于金融市场系统性风险的研究强调了考虑金融机构之间复杂相互联系的关键重要性。在建模金融冲击的传染动力学和评估特定金融市场的弹性方面,已经付出了很大的努力——要么使用真实的网络数据、重建技术,要么使用简单的玩具网络。在这里,我们讨论了更一般的问题,即冲击传播动力学如何依赖于底层网络的拓扑细节。为此,我们考虑了不同的现实网络拓扑,所有这些拓扑都与从金融机构真实数据中获得的资产负债表信息一致。特别是,我们考虑了具有不同密度和块体结构的网络,并在激波传播动力学的细节方面进行了多样化。我们确认,金融网络的系统性风险属性对其网络特征极为敏感。我们的结果可以帮助设计监管政策,以提高金融市场的稳健性。
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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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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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