系统性风险的多层网络性质及其对

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英文标题：
《The multi-layer network nature of systemic risk and its implications for
  the costs of financial crises》
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作者：
Sebastian Poledna, Jos\\\'e Luis Molina-Borboa, Seraf\\\'in
  Mart\\\'inez-Jaramillo, Marco van der Leij, and Stefan Thurner
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最新提交年份：
2015
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英文摘要：
  The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of different types of financial contracts, such as credit, derivatives, foreign exchange and securities. The interplay of the various exposure networks can be represented as layers in a financial multi-layer network. In this work we quantify the daily contributions to systemic risk from four layers of the Mexican banking system from 2007-2013. We show that focusing on a single layer underestimates the total systemic risk by up to 90%. By assigning systemic risk levels to individual banks we study the systemic risk profile of the Mexican banking system on all market layers. This profile can be used to quantify systemic risk on a national level in terms of nation-wide expected systemic losses. We show that market-based systemic risk indicators systematically underestimate expected systemic losses. We find that expected systemic losses are up to a factor four higher now than before the financial crisis of 2007-2008. We find that systemic risk contributions of individual transactions can be up to a factor of thousand higher than the corresponding credit risk, which creates huge risks for the public. We find an intriguing non-linear effect whereby the sum of systemic risk of all layers underestimates the total risk. The method presented here is the first objective data driven quantification of systemic risk on national scales that reveal its true levels.
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中文摘要：
无法看到和量化系统性金融风险将付出巨大的社会代价。金融系统的系统性风险在很大程度上是由于其机构之间的相互联系而产生的，这些机构通过信贷、衍生品、外汇和证券等不同类型的金融合同网络联系在一起。各种风险敞口网络的相互作用可以表示为金融多层网络中的层。在这项工作中，我们量化了2007-2013年墨西哥银行体系四个层面对系统性风险的每日贡献。我们发现，专注于单一层面会低估90%的系统性风险。通过将系统性风险水平分配给各银行，我们研究了墨西哥银行系统在所有市场层面上的系统性风险状况。该概况可用于根据全国范围的预期系统性损失量化国家层面的系统性风险。我们表明，基于市场的系统性风险指标系统性地低估了预期的系统性损失。我们发现，目前预期的系统性损失比2007-2008年金融危机之前高出四倍。我们发现，个人交易的系统性风险贡献可能比相应的信用风险高出数千倍，这给公众带来了巨大的风险。我们发现了一个有趣的非线性效应，即所有层面的系统性风险之和低估了总风险。这里介绍的方法是第一个客观数据驱动的量化系统性风险的国家规模，揭示其真实水平。
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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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关键词：系统性风险 系统性 Contribution Institutions Transactions