Networks of common asset holdings: aggregation and measures of vulnerability
Networks of common asset holdings: aggregation and measures of vulnerability
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DOI：
10.21314/jntf.2018.045
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发表时间：
2018-09-01
影响因子：
--
通讯作者：
Minca, Andreea
中科院分区：
文献类型：
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作者：
Braverman, Anton;Minca, Andreea
本文量化了金融机构之间由共同资产持有引起的相互关系。出现了一个网络表示，其中节点代表投资组合和边缘权重聚合的共同资产持有以及这些持有的流动性。作为一个构建模块，我们引入了一个简单的订单不平衡模型，估计流动性冲击造成的价格影响。在我们的模型中，资产价格由竞争性风险中性做市商设定，买方和卖方的到达率取决于共同的资产持有量。我们说明了我们的聚合方法的相关性和由此产生的网络表示共同基金资产持有的数据。我们比较了三个相关的网络脆弱性的措施，并证明了共同基金的回报和这些措施之间的强烈依赖。
This paper quantifies the interrelations induced among financial institutions by common asset holdings. A network representation emerges in which nodes represent portfolios and edge weights aggregate the common asset holdings as well as the liquidity of these holdings. As a building block, we introduce a simple model of order imbalance that estimates price impacts caused by liquidity shocks. In our model, asset prices are set by a competitive risk-neutral market maker, and the arrival rates for buyers and sellers depend on the common asset holdings. We illustrate the relevance of our aggregation method and the resulting network representation using data on mutual fund asset holdings. We compare three related measures of vulnerability in the network and demonstrate a strong dependence between mutual fund returns and these measures.