Direct Contagion in Financial Networks with Mark-to-Market and Historical Cost Accounting Rules
Direct Contagion in Financial Networks with Mark-to-Market and Historical Cost Accounting Rules
复制标题
按市值计价和历史成本会计规则对金融网络的直接传染
DOI：
10.5539/ijef.v2n5p27
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Mario Eboli
中科院分区：
文献类型：
--
作者：
Mario Eboli
在本文中，我们比较了两种会计规则（按市值计价和历史成本制度）对金融网络中直接资产负债表传染动态的影响。这是通过金融系统的流动网络表示以及负面冲击导致的损失传播来完成的。我们表明，对于任何网络和任何冲击，按市值计价规则产生的损失流量大于按历史成本会计产生的损失流量。这意味着，在按市值计价的会计制度下，金融网络在传染范围和阈值方面比在历史成本制度下更容易受到违约传染的影响。
In this paper we compare the effects of two accounting rules, the mark-to-market and the historical cost regimes, on the dynamics of direct, balance sheet contagion in financial networks. This is done using a flow-network representation of a financial system and of the propagation of losses that crosses it as a consequence of a negative shock. We show that, for any network and any shock, the flow of losses generated with the mark-to-market rule is larger than the one generated by accounting at historical cost. This implies that a financial network is more exposed to default contagion, both in terms of scope and threshold of contagion, under the marking-to-market accounting regime, than with the historical cost regime.