困境子公司的最优支持——基于系统性风险视角
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
AI总结：
该研究从系统性风险视角分析多层银行控股集团网络的风险传染规律，探究控股结构对金融压力的影响，并从监管角度确定了控股集团对困境子公司的最优支持水平。
摘要：
我们研究一个银行控股集团网络，其中每个控股集团拥有两家不同类型的子公司。子公司可与其他控股集团的同类型子公司进行交易。当子公司原本将无法履行其金融义务时，控股集团会在一定限度内为其子公司提供支持。我们探究当银行控股集团数量庞大时，该银行网络中的风险传染扩散情况，并得出在不同控股集团支持规则下，最终违约的子公司数量。我们还分析了该多层网络对小型冲击的抵御能力。我们的研究揭示了控股结构在金融压力放大过程中可能发挥的作用。研究发现，根据网络的资本化程度不同，控股结构相较于规模更小的独立实体可能更具优势；而在其他情况下，它可能产生危害，实际上加剧风险传染。我们通过一个数值案例研究验证了研究结果，还从监管机构的角度确定了控股集团支持的最优水平。
英文摘要：
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when they would otherwise fail to honor their financial obligations. We investigate the spread of contagion in this banking network when the number of bank holdings is large, and find the final number of defaulted subsidiaries under different rules for the holding support. We also consider resilience of this multilayered network to small shocks. Our work sheds light onto the role that holding structures can play in the amplification of financial stress. We find that depending on the capitalization of the network, a holding structure can be beneficial as compared to smaller separated entities. In other instances, it can be harmful and actually increase contagion. We illustrate our results in a numerical case study and also determine the optimal level of holding support from a regulator perspective.
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。
