Network versus portfolio structure in financial systems
Network versus portfolio structure in financial systems
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DOI：
10.1140/epjb/e2013-40072-9
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发表时间：
2013-10-16
影响因子：
1.6
通讯作者：
Kobayashia, Teruyoshi
中科院分区：
文献类型：
--
作者：
Kobayashia, Teruyoshi
自2007-2009年全球金融危机以来，如何稳定金融体系的问题引起了相当大的关注。最近，比尔等人。[程序。娜塔莉。阿卡德。SCI。美国第108,12647(2011年)号文件]表明，银行间较高的投资组合多样性将降低同时违约的风险，但代价是增加个别违约的可能性，从而降低系统性风险。然而，在实践中，银行违约具有外部性，因为它会损害其他银行的资产负债表。本文探讨了这些不同的风险来源--同时风险和外部性--如何导致系统性风险。结果表明，只要资产收益率存在负相关关系，系统风险最小化的外部资产配置就会随着金融网络拓扑结构的不同而变化。在该模型中，一个广为人知的中心性衡量标准PageRank反映了一家银行被适当定义的“感染力”。一个重要的结果是，最具感染力的银行不一定总是最安全的银行。在某些情况下，最具感染力的节点应该充当防火墙，以防止大规模集体违约。引入一种反作用力的投资组合结构将显著降低系统性风险。
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. [Proc. Natl. Acad. Sci. USA 108, 12647 (2011)] demonstrated that higher portfolio diversity among banks would reduce systemic risk by decreasing the risk of simultaneous defaults at the expense of a higher likelihood of individual defaults. In practice, however, a bank default has an externality in that it undermines other banks' balance sheets. This paper explores how each of these different sources of risk, simultaneity risk and externality, contributes to systemic risk. The results show that the allocation of external assets that minimizes systemic risk varies with the topology of the financial network as long as asset returns have negative correlations. In the model, a well-known centrality measure, PageRank, reflects an appropriately defined "infectiveness" of a bank. An important result is that the most infective bank needs not always to be the safest bank. Under certain circumstances, the most infective node should act as a firewall to prevent large-scale collective defaults. The introduction of a counteractive portfolio structure will significantly reduce systemic risk.