Leverage and Systemic Risk

最近的全球经济危机说明了金融杠杆如何在金融系统的不同部门之间产生关联，以及金融部门的问题如何影响实体经济。该研究团队将开发基于代理人的新型量化模型，以更深入地了解金融体系中极端或系统性风险的原因，特别是杠杆、网络结构和制度规则的作用。该项目的目标包括确定最佳杠杆水平；了解网络结构对系统性风险的影响；预测违约率；了解杠杆在资产间传染中的作用；了解时间粒度在风险监控中的作用；为银行找到改进的风险控制方案；以及探索防止金融失败的干预政策。纽约联邦储备银行和英国央行将为模型校准目的提供访问数据的途径。所开发的模型应该为能够促进金融体系稳定的政策提供指导。洞察各种杠杆水平的影响、系统性影响较小的还款时间表，或者更好地了解银行和贷款人网络的性质，可能有助于缓解未来的金融危机。

The recent global economic crisis illustrates how financial leverage can generate couplings between different sectors of the financial system and how problems in the financial sector can affect the real economy. This research team will develop new types of agent-based quantitative models to enable a deeper understanding of the causes of extreme or systemic risks in the financial system, focusing in particular on the roles of leverage, network structure, and institutional rules.The goals of the project include determining optimal leverage levels; understanding the effects of network structure on systemic risks; predicting default rates; understanding the role of leverage in contagion between assets; understanding the role of time granularity in risk monitoring; finding improved risk control schemes for banks; and exploring intervention policies for preventing financial failure. The Federal Reserve Bank of New York and the Bank of England will provide access to data for model calibration purposes. The models developed should provide guidance about policies that can foster stability in the financial system. Insight into the effects of various leverage levels, repayment schedules with less systemic impact, or a better understanding of the properties of networks of banks and lenders might be helpful in mitigating future financial crises.