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作者：Amini, Hamed; Minca, Andreea
作者单位：University of Miami; Cornell University
摘要：We propose a framework for testing the possibility of large cascades in financial networks. This framework accommodates a variety of specifications for the probabilities of emergence of contagious links conditional on a macroeconomic shock, where a contagious link leads to the default of a bank following the default of its counterparty. Under general contagion mechanisms and incomplete information, the financial network is modeled as an inhomogeneous random graph, where the conditional probabi...
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作者：Chen, Nan; Liu, Xin; Yao, David D.
作者单位：Chinese University of Hong Kong; Yangzhou University; Columbia University
摘要：Financial institutions are interconnected directly by holding debt claims against each other (the network channel), and they are also bound by the market when selling assets to raise cash in distressful circumstances (the liquidity channel). The goal of our study is to investigate how these two channels of risk interact to propagate individual defaults to a systemwide catastrophe. We formulate a constrained optimization problem that incorporates both channels of risk, and exploit the problem s...
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作者：Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
作者单位：Universita Ca Foscari Venezia; City St Georges, University of London; Scuola Normale Superiore di Pisa
摘要：By exploiting basic common practice accounting and risk-management rules, we propose a simple analytical dynamical model to investigate the effects of microprudential changes on macroprudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that allows reducing the cost of portfolio diversification in a financial system populated by financial institutions having capital requirements in the form of value-at-risk (VaR) constraint and following stan...
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作者：Capponi, Agostino; Chen, Peng-Chu; Yao, David D.
作者单位：Columbia University; Purdue University System; Purdue University
摘要：The objective of this study is to develop a majorization- based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the interconnectedness of banks in a financial network. We develop notions of balancing and unbalancing networks to bring out the qualitatively different implications of liability concentration on the system's loss ...
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作者：Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai
作者单位：Columbia University
摘要：Regulatory changes are transforming the multitrillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework depends on the CCPs' resilience. Margin requirements are a CCP's first line of defense against the default of a counterparty. To capture liquidity costs at default, margin requirements need to increase superlinearly in position size. However, convex margin requirements create a...
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作者：Amini, Hamed; Filipovic, Damir; Minca, Andreea
作者单位：University of Miami; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Cornell University
摘要：We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all.
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作者：Kou, Steven; Peng, Xianhua
作者单位：National University of Singapore; National University of Singapore; Hong Kong University of Science & Technology
摘要：This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of general elicitability (i.e., there exists an objective function such that minimizing the expected objective function yields the risk measu...
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作者：Cont, Rama; Duffie, Darrell; Glasserman, Paul; Rogers, Chris; Vega-Redondo, Fernando
作者单位：Imperial College London; Stanford University; Columbia University; University of Cambridge; Bocconi University
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作者：Kley, Oliver; Klueppelberg, Claudia; Reinert, Gesine
作者单位：Technical University of Munich; University of Oxford
摘要：We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Paretotailed claims and multivariate regular variation we obtain asymptotic results for the value-at-risk and the conditional tail expectation. We show that the dependence on the network structure plays a fundamental role in their asymptotic behaviour. As is well known in a nonnetwork setting, if the Pareto exponent is larger than 1, then for the individual agent (reinsurance company...
