银行间拆借如何放大重叠的投资组合传染：奥地利银行网络的案例研究
How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network
摘要：
尽管越来越多的理论文献在银行间借贷网络失败的级联，实证结果似乎表明，直接暴露的网络是不是金融传染的主要渠道。在本文中，我们表明，网络的银行间风险敞口，但可以显着放大传染，由于重叠的投资组合。为了说明这一点，我们考虑了奥地利银行间网络的情况，并根据不同的协议对其进行压力测试。我们特别考虑由于（i）交易对手损失;（ii）展期风险;及（iii）重叠投资组合而导致的传染。我们发现，如果这些传染机制被认为是孤立的，由交易对手损失和展期风险造成的破产的平均数量是相当小的。然而，一旦投资组合重叠也被考虑在内，我们观察到，直接银行间风险敞口网络显著有助于系统性风险。
英文摘要：
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we show that networks of interbank exposures can however significantly amplify contagion due to overlapping portfolios. To illustrate this point, we consider the case of the Austrian interbank network and perform stress tests on it according to different protocols. We consider in particular contagion due to (i) counterparty loss; (ii) roll-over risk; and (iii) overlapping portfolios. We find that the average number of bankruptcies caused by counterparty loss and roll-over risk is fairly small if these contagion mechanisms are considered in isolation. Once portfolio overlaps are also accounted for, however, we observe that the network of direct interbank exposures significantly contributes to systemic risk.
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