发帖
雷达卡
英文标题：
《Assessing systemic risk due to fire sales spillover through maximum
entropy network reconstruction》
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作者：
Domenico Di Gangi, Fabrizio Lillo, Davide Pirino
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最新提交年份：
2018
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英文摘要：
Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemic risk due to fire sales spillover and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015). By using the Maximum Entropy principle we propose a method to assess aggregated and single bank\'s systemicness and vulnerability and to statistically test for a change in these variables when only the information on the size of each bank and the capitalization of the investment assets are available. We prove the effectiveness of our method on 2001-2013 quarterly data of US banks for which portfolio composition is available.
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中文摘要：
评估金融市场的系统性风险非常重要，但它通常需要不可用或频率非常低的数据。因此，利用部分信息进行系统性风险评估对监管机构和其他利益相关者可能非常有用。在本文中，我们使用Greenwood et al.（2015）定义的风险度量，考虑了因火爆销售溢出和投资组合再平衡而产生的系统性风险。通过使用最大熵原理，我们提出了一种方法来评估综合和单一银行的系统性和脆弱性，并在只有每家银行的规模和投资资产的资本化信息可用时，对这些变量的变化进行统计测试。我们通过2001-2013年美国银行季度数据证明了我们的方法的有效性，这些银行的投资组合是可用的。
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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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