Contagion and equilibria in diversified financial networks

• 成果类型: Article
• 署名作者: Amelkin, Victor; Venkatesh, Santosh; Vohra, Rakesh
• 署名单位: Amazon.com; University of Pennsylvania; University of Pennsylvania
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105819
• 发表日期: 2024
• 关键词: Financial network; Random network; Systemic risk; equilibrium; DYNAMICS; Concentration of measure

摘要

Diversified cross -shareholding networks are thought to be more resilient to shocks, but diversification also increases the channels by which a shock can spread. To resolve these competing intuitions we introduce a stochastic model of a diversified cross -shareholding network in which a firm's valuation depends on its cash endowment and the shares it owns in other firms. We show that a concentration of measure phenomenon emerges: almost all realized network instances drawn from any probability distribution in a wide class are resilient to contagion if endowments are sufficiently large. Furthermore, the size of a shock needed to trigger widespread financial distress increases with the exposure of firms to each other. Distributions in this class are characterized by the property that a firm's equity shares owned by others are weakly dependent yet lack dominant shareholders.