金融网络中的信用冻结、均衡多重性与最优救助
Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks
AI总结：
本文研究金融网络中依赖循环导致的均衡多重性与信用冻结问题，给出银行偿付能力的充要条件，刻画最小救助支付额，并证明该问题计算困难但在特定网络结构下存在直观最优解。
摘要：
我们分析了金融网络中组织之间的相互依赖关系如何可能导致多个可能的均衡结果。当且仅当网络中存在某种类型的依赖循环，允许自我实现的违约链时，才会出现多重性。我们给出了银行在任何均衡中具有偿付能力的充分必要条件。基于这些条件，我们刻画了确保系统性偿付能力所需的最小救助支付额，以及如何通过担保一组特定的债务支付来确保偿付能力。用于消除自我实现违约循环（信用冻结）的救助注入资金可以完全收回，而用于防止循环之外级联违约的救助资金则无法收回。我们证明了最小救助问题在计算上是困难的，但给出了最优支付的上界，并表明该问题在特定网络结构（如具有不相交循环或核心-边缘结构的网络）中具有直观的解。
英文摘要：
We analyze how interdependencies between organizations in financial networks can lead to multiple possible equilibrium outcomes. A multiplicity arises if and only if there exists a certain type of dependency cycle in the network that allows for self-fulfilling chains of defaults. We provide necessary and sufficient conditions for banks' solvency in any equilibrium. Building on these conditions, we characterize the minimum bailout payments needed to ensure systemic solvency, as well as how solvency can be ensured by guaranteeing a specific set of debt payments. Bailout injections needed to eliminate self-fulfilling cycles of defaults (credit freezes) are fully recoverable, while those needed to prevent cascading defaults outside of cycles are not. We show that the minimum bailout problem is computationally hard, but provide an upper bound on optimal payments and show that the problem has intuitive solutions in specific network structures such as those with disjoint cycles or a core-periphery structure.
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。
