异质性、相关性与金融传染

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摘要翻译：
本文考虑了金融网络中最近引入的一个传染模型，并刻画了在实际网络中观察到的几个特征对系统稳定性的影响。值得注意的是，我们考虑了异质性程度分布、异质性资产负债表规模和银行间程度相关性的影响。我们研究了随机银行、联系最紧密的银行和规模最大的银行破产的传染概率，并考虑了旨在提高少数联系程度高或资产负债表大的银行资本要求的定向政策的效果。具有异构度分布的网络对由随机群失效引发的传染具有较强的弹性，但对由高度连通节点失效引发的传染具有较强的脆弱性。资产负债表规模的幂律分布导致了低效率的多样化，使系统更容易发生传染事件。研究表明，在高平均度条件下，有针对性地加强大型银行稳定性的政策可以提高系统的稳定性。最后，在实际银行网络中观察到的不协调混合可以增强系统的稳定性。
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英文标题：
《Heterogeneity, correlations and financial contagion》
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作者：
Fabio Caccioli, Thomas A. Catanach, J. Doyne Farmer
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider the effect of targeted policies aimed at increasing the capital requirements of a few banks with high connectivity or big balance sheets. Networks with heterogeneous degree distributions are shown to be more resilient to contagion triggered by the failure of a random bank, but more fragile with respect to contagion triggered by the failure of highly connected nodes. A power law distribution of balance sheet size is shown to induce an inefficient diversification that makes the system more prone to contagion events. A targeted policy aimed at reinforcing the stability of the biggest banks is shown to improve the stability of the system in the regime of high average degree. Finally, disassortative mixing, such as that observed in real banking networks, is shown to enhance the stability of the system.
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PDF链接：
https://arxiv.org/pdf/1109.1213

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关键词：相关性 异质性 distribution correlations Quantitative 传染 具有 研究 system networks