Systemic risk, financial contagion and financial fragility
Systemic risk, financial contagion and financial fragility
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DOI：
10.1016/j.jedc.2010.06.004
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发表时间：
2010-11-01
影响因子：
1.9
通讯作者：
Gallo Dey, Fabrizio Lopez
中科院分区：
文献类型：
--
作者：
Martinez-Jaramillo, Serafin;Perez Perez, Omar;Gallo Dey, Fabrizio Lopez
虽然很难对系统性风险达成一个广泛接受的定义，但人们普遍认为，系统性风险是指发生威胁到利息系统（金融、支付、银行等）良好运作的事件的风险。有时甚至到了无法操作的地步。我们用两个主要组成部分来模拟系统性风险：削弱一个或多个金融机构的随机冲击，以及将这种负面影响传递给系统其他部分并可能加剧这种负面影响的传递机制。在这项工作中，我们展示了如何可能估计我们的模型的银行系统的损失分布。此外，我们展示了如何将损失的分布分为两个部分：初始冲击造成的损失和传染过程造成的损失。最后，一旦估计了分布，我们就可以得到整个系统的标准风险度量，这项工作的另一个重要贡献是，我们可以跟踪某些风险度量（如预期损失或CVaR）的演变，以评估系统的风险是越来越大还是越来越小，事实上，是越来越脆弱还是越来越脆弱。此外，我们可以将整个银行系统的损失分布分解为系统性和传染性因素，我们可以确定系统是否更容易在一定时期内经历传染性困难。(C)2010爱思唯尔有限公司版权所有。
Although it is hard to arrive at a widely accepted definition for Systemic Risk; it is generally acknowledged that it is the risk of the occurrence of an event that threatens the well functioning of the system of interest (financial, payments, banking, etc.) sometimes to the point of making its operation impossible. We model systemic risk with two main components: a random shock that weakens one or more financial institutions and a transmission mechanism which transmits and possibly exacerbates such negative effects to the rest of the system.Our model could be conceptually represented by a network already described in previous works. In this work we show how is possible to estimate the distribution of losses for the banking system with our model. Additionally, we show how it is possible to separate the distribution of losses into two components: the losses incurred by the initial shock and the losses resulting from the contagion process. Finally, once the distribution is estimated, we can derive standard risk measures for the system as a whole.Another important contribution of this work is that we can follow the evolution of certain risk measures like the expected loss or the CVaR in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, we can decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and we can determine if the system is more prone to experience contagious difficulties during a certain period of time. (C) 2010 Elsevier B.V. All rights reserved.