Risk Sharing and Contagion in Networks

• 成果类型: Article
• 署名作者: Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando
• 署名单位: University of London; University College London; European University Institute; Universita Ca Foscari Venezia; Bocconi University; Bocconi University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx077
• 发表日期: 2017
• 页码: 3086
• 关键词: Financial networks; Systemic risk; social networks; business groups; insurance; STABILITY; banking; integration; complexity; keiretsu

摘要

We investigate the socially optimal design of financial networks, that allows to tackle the trade-off between risk sharing and contagion. We identify conditions on the shock distribution under which full integration or maximal segmentation is optimal. We also show that, under different conditions, the optimal network displays different levels of strength of linkages to other firms or intermediate degrees of segmentation. In the latter case, the individual and social incentives to establish linkages are not necessarily aligned. When firms face heterogeneous distributions of risks, they should optimally form linkages only with firms facing risks of the same kind. (JEL D85, C72, G21)