多渠道传染与多个相互关联的金融市场的稳定
Multichannel Contagion vs Stabilisation in Multiple Interconnected Financial Markets
摘要：
多层网络理论还处于早期阶段，它的发展为理解复杂系统提供了重要的方法。在过去三年中，已引入了多种形式的多层网络来分析金融体系的结构，现有的研究已经模拟和评估了金融机构之间不同类型的相互依赖关系。然而，这些研究将该结构视为非互连的多路复用-包括相同节点的单层网络的集合-而不是互连的多路复用网络。没有建立多渠道传染机制的模型和经验评估，也没有为先发制人的传染遏制设计多渠道稳定战略。本文阐述了一个相互关联的多元化结构，以及由于机构在构成整个金融市场的不同相互关联的市场中的活动而产生的双边风险而在金融机构之间产生的传染机制。我们引入了绝对系统性风险和弹性的结构性度量，以及相对系统性风险指数。基于传染机制和系统性风险量化，本研究设计了同时作用于不同市场及其相互关联的最小成本稳定策略，以有效遏制潜在的传染在整体结构中蔓延。稳定战略微妙地影响了结构的出现过程，以适应性地建立结构弹性，并以最小的成本为每个机构实现先发制人的稳定，而对整个系统没有成本。我们经验评估的新方法，使用大颗粒数据库，保持审慎监管局的英格兰银行。经验证实了多通道稳定的能力。
英文摘要：
The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to analysing the structure of financial systems, and existing studies have modelled and evaluated interdependencies of different type among financial institutions. These studies, however, have considered the structure as a non-interconnected multiplex - an ensemble of single layer networks comprising the same nodes - rather than as an interconnected multiplex network. No mechanism of multichannel contagion has been modelled and empirically evaluated, and no multichannel stabilisation strategies for pre-emptive contagion containment have been designed. This paper formulates an interconnected multiplex structure, and a contagion mechanism among financial institutions due to bilateral exposures arising from institutions activity within different interconnected markets that compose the overall financial market. We introduce structural measures of absolute systemic risk and resilience, and relative systemic-risk indexes. Based on the contagion mechanism and systemic-risk quantification, this study designs minimum-cost stabilisation strategies that act simultaneously on different markets and their interconnections, in order to effectively contain potential contagion progressing through the overall structure. The stabilisation strategies subtly affect the emergence process of structure to adaptively build in structural resilience and achieve pre-emptive stabilisation at a minimum cost for each institution and at no cost for the system as a whole. We empirically evaluate the new approach using large granular databases, maintained by the Prudential Regulatory Authority of the Bank of England. The capabilities of multichannel stabilisation are confirmed empirically.
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。
