DOUBLE CASCADE MODEL OF FINANCIAL CRISES
DOUBLE CASCADE MODEL OF FINANCIAL CRISES
复制标题
金融危机的双重级联模型
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
Quentin Shao
中科院分区：
文献类型：
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作者：
T. Hurd;D. Cellai;S. Melnik;Quentin Shao
金融系统性风险的研究范围包括广泛的银行间渠道和影响，包括资产相关性冲击、违约传染、流动性不足传染和资产甩卖。本文引入了一个金融网络模型，它将违约和流动性压力机制结合成一个“双级联映射”。危机的进程和最终结果是通过迭代这个映射到它的不动点来获得的。与简单模型不同，该模型可以量化一家银行的流动性不足或违约如何影响系统中流动性压力和违约的整体水平。大网络的渐近级联映射公式推导，可用于有效的网络计算的双重级联。数值实验表明，这些渐近公式同意定性与大型有限网络的Monte Carlo结果，定量除了当初始系统被放置在一个特殊的“刀口”配置。这些实验清楚地支持了主要结论，即当银行通过囤积流动性来应对流动性压力时，在没有资产甩卖的情况下，金融网络中的违约水平与银行流动性囤积的强度和网络中的最终压力水平呈负相关。
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial network model that combines the default and liquidity stress mechanisms into a “double cascade mapping”. The progress and eventual result of the crisis is obtained by iterating this mapping to its fixed point. Unlike simpler models, this model can therefore quantify how illiquidity or default of one bank influences the overall level of liquidity stress and default in the system. Large-network asymptotic cascade mapping formulas are derived that can be used for efficient network computations of the double cascade. Numerical experiments then demonstrate that these asymptotic formulas agree qualitatively with Monte Carlo results for large finite networks, and quantitatively except when the initial system is placed in an exceptional “knife-edge” configuration. The experiments clearly support the main conclusion that when banks respond to liquidity stress by hoarding liquidity, then in the absence of asset fire sales, the level of defaults in a financial network is negatively related to the strength of bank liquidity hoarding and the eventual level of stress in the network.