奥地利银行间市场风险分散的动态网络模型
A dynamic network model to measure exposure diversification in the Austrian interbank market
摘要：
我们提出了一个统计模型的加权时间网络能够衡量金融系统的异质性水平。我们的模型侧重于金融机构的多样化程度，也就是说，它们是否更倾向于在合作伙伴之间平均分配其资产，或者它们是否更倾向于将其承诺集中于有限数量的机构。至关重要的是，引入了一个马尔可夫性来捕获时间依赖性，并使我们的措施在时间上具有可比性。我们将该模型应用于奥地利银行间风险敞口的原始数据集。时间跨度包括2008年金融危机的爆发和发展以及2011年欧洲主权债务危机的开始。我们的分析强调了网络同质性的总体增长趋势，即核心银行倾向于在其合作伙伴之间更平等地分配其市场风险。
英文摘要：
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather concentrate their commitment towards a limited number of institutions. Crucially, a Markov property is introduced to capture time dependencies and to make our measures comparable across time. We apply the model on an original dataset of Austrian interbank exposures. The temporal span encompasses the onset and development of the financial crisis in 2008 as well as the beginnings of European sovereign debt crisis in 2011. Our analysis highlights an overall increasing trend for network homogeneity, whereby core banks have a tendency to distribute their market exposures more equally across their partners.
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