Cascades in multiplex financial networks with debts of different seniority
Cascades in multiplex financial networks with debts of different seniority
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DOI：
10.1103/physreve.91.062813
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发表时间：
2015-06-24
影响因子：
2.4
通讯作者：
Kobayashi, Teruyoshi
中科院分区：
文献类型：
--
作者：
Brummitt, Charles D.;Kobayashi, Teruyoshi
债务优先级决定了破产机构偿还债务的顺序，是金融危机的一个重要特征，有时也是有争议的，但它对整个系统稳定性的影响还没有得到很好的理解。我们在一个多重网络中捕捉债务的优先级，多重网络是一个由多种类型的边连接的节点图。在这里，银行之间的优势是指具有一定资历的债务合同。接下来我们研究级联缺省。存在多种类型的破产，以银行无法偿还所有债务的最高资历为指标。自利的银行更希望所有的贷款都由最高层发放。然而，混合不同资历级别的债务使系统更加稳定，因为它缩小了破产广泛传播的网络密度集。我们计算的最优比例的优先级，初级债务，我们称之为最优的资历比，两个不相关的埃尔多斯-雷尼网络。如果金融机构削弱了它们对破产的缓冲，那么最优优先级比率就会上升;换句话说，如果违约门槛下降，那么更多的贷款应该是优先级较高的。我们将分析结果推广到任意多个级别的资历和重尾度分布。
The seniority of debt, which determines the order in which a bankrupt institution repays its debts, is an important and sometimes contentious feature of financial crises, yet its impact on system wide stability is not well understood. We capture seniority of debt in a multiplex network, a graph of nodes connected by multiple types of edges. Here an edge between banks denotes a debt contract of a certain level of seniority. Next we study cascading default. There exist multiple kinds of bankruptcy, indexed by the highest level of seniority at which a bank cannot repay all its debts. Self-interested banks would prefer that all their loans be made at the most senior level. However, mixing debts of different seniority levels makes the system more stable in that it shrinks the set of network densities for which bankruptcies spread widely. We compute the optimal ratio of senior to junior debts, which we call the optimal seniority ratio, for two uncorrelated Erdos-Renyi networks. If institutions erode their buffer against insolvency, then this optimal seniority ratio rises; in other words, if default thresholds fall, then more loans should be senior. We generalize the analytical results to arbitrarily many levels of seniority and to heavy-tailed degree distributions.