Fair immunization and network topology of complex financial ecosystems
Fair immunization and network topology of complex financial ecosystems
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复杂金融生态系统的公平免疫和网络拓扑
DOI：
10.1016/j.physa.2023.128456
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发表时间：
2023
期刊：
影响因子：
--
通讯作者：
Giansante S
中科院分区：
文献类型：
--
作者：
Giansante S
最近金融危机的后果表明，稳定金融生态系统的代价是多么高昂，多么不公平。主要原因是金融互动的复杂程度给监管机构带来了问题。我们提供了一个分析框架，分解复杂的生态系统在其整体水平的不稳定性和机构的不稳定性的贡献。然后，这些成分被用来研究生态系统的途径走向稳定的免疫接种计划。后者可以设计成根据机构对不稳定的贡献程度来惩罚它们，从而加强公平。我们表明，公平的免疫接种计划也可以是具有成本效益的，其特征是一个分层的网络结构的相互作用集中在几个核心节点，同时形成许多封闭的循环，加剧了不稳定的生态系统。对于分层较少的网络拓扑结构，我们观察到公平性和免疫成本之间的权衡，允许监管机构选择最符合其目标的组合。报告还介绍了在国际结算银行报告国银行系统的真实的跨界金融网络上实施免疫计划的情况。
The aftermath of the recent financial crisis has shown how expensive and unfair the stabilization of financial ecosystems can be. The main cause is the level of complexity of financial interactions that poses a problem for regulators. We provide an analytical framework that decomposes complex ecosystems in both their overall level of instability and the contribution of institutions to instability. These ingredients are then used to study the pathways of the ecosystems towards stability by means of immunization schemes. The latter can be designed to penalize institutions proportionally to their contribution to instability, and therefore enhance fairness. We show that fair immunization schemes can also be cost-efficient when employed on ecosystems characterized by a tiered network structure of interactions concentrated among few core nodes that at the same time form many closed cycles that exacerbate instability. For less tiered network topologies we observe a trade-off between fairness and dollar-cost of immunization, allowing regulators to choose the combination that best meets their objectives. The implementation of immunization schemes on real cross-border financial networks of the Bank of International Settlement (BIS) reporting country banking systems is also provided.
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