发帖
雷达卡
摘要翻译：
过度杠杆，即债务融资的滥用，被认为是金融机构违约的主要因素之一。系统性风险来自于单个违约概率之间的相关性，这些相关性不能被认为是独立的。基于Merton(1974)的结构框架，我们讨论了一个模型，在这个模型中，这些相关性是由银行投资组合中的重叠引起的。投资组合多样化是用来减轻风险项目投资损失的一种策略。我们计算出在给定的过度杠杆水平下必须达到的最佳多样化水平，以仍然减轻系统风险的增加。在我们的模型中，这种最优多样化进一步取决于市场规模和市场条件（如波动性）。它允许区分安全制度和风险制度，前者过度的杠杆不会导致系统风险的增加，后者过度的杠杆无法减轻，导致系统风险的增加。我们的结果对金融监管机构具有相关性。
---
英文标题：
《Quantifying the Impact of Leveraging and Diversification on Systemic
Risk》
---
作者：
Paolo Tasca and Pavlin Mavrodiev and Frank Schweitzer
---
最新提交年份：
2013
---
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
--
---
英文摘要：
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be considered independent. Based on the structural framework by Merton (1974), we discuss a model in which these correlations arise from overlaps in banks' portfolios. Portfolio diversification is used as a strategy to mitigate losses from investments in risky projects. We calculate an optimal level of diversification that has to be reached for a given level of excessive leverage to still mitigate an increase in systemic risk. In our model, this optimal diversification further depends on the market size and the market conditions (e.g. volatility). It allows to distinguish between a safe regime, in which excessive leverage does not result in an increase of systemic risk, and a risky regime, in which excessive leverage cannot be mitigated leading to an increased systemic risk. Our results are of relevance for financial regulators.
---
PDF链接：
https://arxiv.org/pdf/1303.5552
京公网安备 11010802022788号
