发帖
雷达卡
英文标题：
《Efficient immunization strategies to prevent financial contagion》
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作者：
Teruyoshi Kobayashi, Kohei Hasui
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最新提交年份：
2013
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英文摘要：
Many immunization strategies have been proposed to prevent infectious viruses from spreading through a network. In this study, we propose efficient immunization strategies to prevent a default contagion that might occur in a financial network. An essential difference from the previous studies on immunization strategy is that we take into account the possibility of serious side effects. Uniform immunization refers to a situation in which banks are \"vaccinated\" with a common low-risk asset. The riskiness of immunized banks will decrease significantly, but the level of systemic risk may increase due to the de-diversification effect. To overcome this side effect, we propose another immunization strategy, counteractive immunization, which prevents pairs of banks from failing simultaneously. We find that counteractive immunization can efficiently reduce systemic risk without altering the riskiness of individual banks.
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中文摘要：
人们提出了许多免疫策略来防止传染性病毒通过网络传播。在这项研究中，我们提出了有效的免疫策略，以防止金融网络中可能发生的违约传染。与以往免疫策略研究的一个本质区别是，我们考虑了严重副作用的可能性。统一免疫指的是银行用共同的低风险资产“接种”的情况。免疫银行的风险将显著降低，但由于去多元化效应，系统性风险水平可能会增加。为了克服这种副作用，我们提出了另一种免疫策略，即反免疫，它可以防止成对的银行同时倒闭。我们发现，反免疫可以有效地降低系统性风险，而不会改变单个银行的风险。
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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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