Systemic risk management in financial networks with credit default swaps
Systemic risk management in financial networks with credit default swaps
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DOI：
10.21314/jntf.2017.034
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发表时间：
2017-09-01
影响因子：
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通讯作者：
Thurner, Stefan
中科院分区：
文献类型：
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作者：
Leduc, Matt V.;Poledna, Sebastian;Thurner, Stefan
在本文中，我们研究了银行间系统中的破产级联，其中银行被允许用其他银行出售的信用违约互换（CDS）来为其贷款提供保险。我们发现，通过适当地将金融风险从一个机构转移到另一个机构，CDS市场可以被设计成重新连接银行间风险网络，使其更能抵御破产级联。在设计一个系统性的保险附加费将被添加到CDS利差，监管机构将考虑有关银行间网络的拓扑结构的信息。因此，CDS合约实际上是根据它们对增加系统性风险的贡献程度而受到惩罚的。降低系统性风险的CDS合约仍然免税。我们使用基于代理人的模型（CRISIS宏观金融模型）模拟这种受监管的CDS市场，并证明它会导致银行间系统对破产级联更具弹性。
In this paper we study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps (CDSs) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of interbank exposures, in ways that make it more resilient to insolvency cascades. In devising a systemic insurance surcharge to be added to the CDS spread, a regulator will consider information about the topology of the interbank network. Thus, CDS contracts are effectively penalized according to how much they contribute to increasing systemic risk. CDS contracts that reduce systemic risk remain untaxed. We simulate this regulated CDS market using an agent-based model (CRISIS macro-financial model) and demonstrate that it leads to an interbank system that is more resilient to insolvency cascades.