Illiquidity and Insolvency: A Double Cascade Model of Financial Crises
Illiquidity and Insolvency: A Double Cascade Model of Financial Crises
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流动性不足和破产：金融危机的双重级联模型
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发表时间：
2014
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通讯作者：
Quentin Shao
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作者：
T. Hurd;D. Cellai;S. Melnik;Quentin Shao
金融系统性风险的研究范围包括广泛的渠道和影响，包括资产相关性冲击，违约传染，流动性不足传染和资产火灾。例如，某家银行的破产将对其每一家债权银行资产负债表的资产方面造成冲击，在某些情况下，这种“下游”冲击可能导致进一步的破产，这种破产可能会积累起来，造成所谓的破产或违约级联。另一方面，对某家银行造成冲击的资金流动性不足，将对每家债务银行资产负债表的负债端造成冲击。在某些情况下，这种“上游”冲击可能导致更多银行的流动性不足，这可能会造成流动性不足的连锁反应。本文引入了一个刻意简化的金融网络模型，将违约和流动性压力机制结合成一个“双级联映射”。危机的进程和最终结果是通过迭代这个映射到它的不动点来获得的。与简单模型不同，该模型可以量化一家银行的流动性不足或违约如何影响系统中流动性压力和违约的最终总体水平。大网络的渐近级联映射公式推导，可用于有效的网络计算的双重级联。数值实验表明，这些渐近公式同意定性与大型有限网络的Monte Carlo结果，定量除了当初始系统被放置在一个特殊的“刀口”配置。这些实验清楚地支持了主要结论，即在没有甩卖的情况下，金融网络中的平均最终违约水平与银行流动性压力反应的强度和网络中的最终压力水平呈负相关。
The scope of financial systemic risk research encompasses a wide range of channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset firesales. For example, insolvency of a given bank will create a shock to the asset side of the balance sheet of each of its creditor banks and under some circumstances, such "downstream'' shocks can cause further insolvencies that may build up to create what is called an insolvency or default cascade. On the other hand, funding illiquidity that hits a given bank will create a shock to the liability side of the balance sheet of each of its debtor banks. Under some circumstances, such "upstream'' shocks can cause illiquidity in further banks that may build up to create an illiquidity cascade. This paper introduces a deliberately simplified financial network model that combines the default and liquidity stress mechanisms into a "double cascade mapping''. The progress and eventual result of the crisis is obtained by iterating this mapping to its fixed point. Unlike simpler models, this model can therefore quantify how illiquidity or default of one bank influences the eventual overall level of liquidity stress and default in the system. Large-network asymptotic cascade mapping formulas are derived that can be used for efficient network computations of the double cascade. Numerical experiments then demonstrate that these asymptotic formulas agree qualitatively with Monte Carlo results for large finite networks, and quantitatively except when the initial system is placed in an exceptional "knife-edge'' configuration. The experiments clearly support the main conclusion that in the absence of fire sales, the average eventual level of defaults in a financial network is negatively related to the strength of banks' liquidity stress response and the eventual level of stress in the network.