Cascading Defaults and Systemic Risk of a Banking Network
Cascading Defaults and Systemic Risk of a Banking Network
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银行网络的级联违约和系统性风险
DOI：
10.2139/ssrn.2278168
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Changhao Zhang
中科院分区：
文献类型：
--
作者：
J. Duan;Changhao Zhang
银行体系的系统性风险来自于银行间联系导致的级联违约。我们提出了一个模型来区分系统性风险及其驱动因素——系统性风险和特殊风险。系统性风险的特征是系统性风险敞口和系统性脆弱性，分别对应于预期损失和违约的普遍性（在压力情景下）。该模型考虑了银行网络、资产负债动态、银行间风险敞口和净额。利用15家英国银行的实际数据，我们发现，与银行的特殊因素相反，系统性冲击更有可能推动系统性风险。我们还展示了一种根据系统重要性对银行进行排名的方法。
Systemic risk of a banking system arises from cascading defaults due to interbank linkages. We propose a model which distinguishes systemic risk from its drivers -- systematic and idiosyncratic risks. Systemic risk is characterised by systemic exposure and systemic fragility, corresponding to the expected losses and pervasiveness of defaults respectively (under a stress scenario). The model takes into account the banking network, asset-liability dynamics, interbank exposures and netting. Using actual data for 15 British banks, we find that systematic shocks are more likely to drive systemic risk, as opposed to banks’ idiosyncratic elements. We also demonstrate a method for ranking banks according to systemic importance.