Leverage and Systemic Risk

杠杆和系统性风险

• 批准号: 0965673
• 负责人: James Farmer
• 金额: $ 45万
• 依托单位: Santa Fe Institute
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2010
• 资助国家: 美国
• 起止时间: 2010-10-01 至 2014-09-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0965673&HistoricalAwards=false
• 关键词: Leverage; Systemic; Risk

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.

最近的全球经济危机说明了金融杠杆如何能够在金融体系的不同部门之间产生耦合，以及金融部门的问题如何能够影响真实的经济。 该研究小组将开发新型的基于主体的定量模型，以更深入地了解金融系统中极端或系统性风险的原因，特别是侧重于杠杆作用，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，分析金融系统中的风险。了解杠杆在资产之间传染中的作用;了解时间粒度在风险监测中的作用;为银行寻找更好的风险控制方案;以及探索预防金融失败的干预政策。纽约联邦储备银行和英格兰银行将为模型校准提供数据。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。深入了解各种杠杆水平的影响，系统性影响较小的还款时间表，或更好地了解银行和贷款人网络的性质，可能有助于减轻未来的金融危机。