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摘要翻译：
近年来，人们对网络的研究越来越感兴趣，尤其是在生物学、计算机科学和社会学等领域。从网络角度处理欧洲主权债务危机等复杂金融问题是很自然的。本文从债务-信用关系的角度构建了一个网络模型，而不是用传统的方法来度量违约风险。根据该模型，利用国际清算银行(BIS)的综合外国债权季度报告和这些报告国之间的债务/国内生产总值比率审查了风险指数。实证结果表明，该指标不仅可以帮助监管者和实践者确定主权债务的互联性状况，而且可以指出主权债务违约风险的程度。我们的方法为量化系统性风险的研究提供了新的思路。
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英文标题：
《Measuring the default risk of sovereign debt from the perspective of
network》
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作者：
Hongwei Chuang, Hwai-Chung Ho
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最新提交年份：
2013
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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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英文摘要：
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the perspective of network. In this article, we construct a network model according to the debt--credit relations instead of using the conventional methodology to measure the default risk. Based on the model, a risk index is examined using the quarterly report of consolidated foreign claims from the Bank for International Settlements (BIS) and debt/GDP ratios among these reporting countries. The empirical results show that this index can help the regulators and practitioners not only to determine the status of interconnectivity but also to point out the degree of the sovereign debt default risk. Our approach sheds new light on the investigation of quantifying the systemic risk.
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PDF链接：
https://arxiv.org/pdf/1304.3814
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