金融网络的传染与稳定性
Contagion and Stability in Financial Networks
摘要：
本文研究了金融传染的两种机制，即银行对同一风险源的相关暴露和银行在银行间市场的直接暴露。它将考虑一个通过银行间市场连接的随机银行网络，并将讨论在不同网络连接水平下，银行暴露于相同风险来源的理想水平，即投资于类似的投资组合，同时从银行同时倒闭给经济带来的系统性成本的角度来审视。它表明，对于所有级别的网络连接，一定程度的多样化个别银行多样化在任何条件下都不是最佳的。因此，给定一个可接受的系统成本水平，监管者可以让银行通过远离非最优区域来减少其资本缓冲。
英文摘要：
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random network of banks which are connected through the inter-bank market and will discuss the desirable level of banks exposure to the same sources of risk, that is investment in similar portfolios, for different levels of network connectivity when peering through the lens of the systemic cost incurred to the economy from the banks simultaneous failure. It demonstrates that for all levels of network connectivity, certain levels of diversifying individual banks diversifications are not optimum under any condition. So, given an acceptable level of systemic cost, the regulator could let banks decrease their capital buffers by moving away from the non-optimum area.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
