EAGER: Modeling systemic risk: Finding precursors of emerging financial crises

在我们的现代世界，电力、供水、电信、银行和金融等影响日常生活各个领域的关键基础设施系统通常是相互依存的。尽管系统性风险并非市场和金融机构所独有，但金融机构倒闭的深远影响通常比非金融机构倒闭的影响要大得多。一个特定行业内个别公司的倒闭不会波及整个企业体系，但一家大银行的倒闭可能会把经济带到灾难的边缘。该提案将利用经济学、物理学、计算机科学和统计学的相关知识，建立一个监测金融系统的模型，并为即将到来的金融危机开发一个预警系统。该项目的目标是利用复杂性科学和相互依赖网络理论的概念，基于不同经济和金融网络的复杂相互依赖性，创建潜在金融危机级联的信号机制。研究将展示相互作用网络中的短期和长期相关性，并识别和描述不同金融网络作为一个复杂系统的依赖关系。它将使用依赖链接来模拟危机的级联效应，这些链接将一个网络节点的故障连接到另一个网络节点的故障。该提议将整合来自银行分析、投资者情绪、主权债务和监管框架的信息，以创建一个监测系统，并可能为全球金融体系提供预警。

In our modern world, the critical infrastructure systems like electric power, water supply telecommunications and banking and finance that affect all areas of daily life are usually interdependent. Even though systemic risk is not unique to markets and financial institutions, the far-reaching consequences from the failure of a financial institution are in general much more significant than the impact of the demise of a non-financial institution. The failure of individual companies within a particular industry will not propagate throughout the corporate system, but the failure of a one large bank can bring the economy to the brink of disaster. This proposal will use tolls from economics, physics, computer science and statistics to build a model that will monitor financial systems and develop an early warning system for impending financial crises. The goal of this project is to use concepts from complexity science and interdependent network theory to create a signaling mechanism for potential financial crisis cascades based on the complex interdependencies of different economic and financial networks. The research will demonstrate short-range and long-range correlations in interacting networks and identify and describe the dependencies of different financial networks as a complex system. It will model the cascading effect of a crisis using dependency links that connect the failure of one network node to the failure of another network node. The proposal will combine information from bank analysis, investor sentiments, sovereign debt and regulatory frameworks to create monitoring system and a potential early warning for the global financial system.