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

在我们的现代世界中，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。尽管系统性风险并不是市场和金融机构独有的，但一般来说，金融机构倒闭的深远后果要比非金融机构倒闭的影响严重得多。特定行业内个别公司的倒闭不会蔓延到整个企业系统，但一家大银行的倒闭可能会将经济带到灾难的边缘。这项提议将使用经济学、物理学、计算机科学和统计学的通行费来建立一个模型，该模型将监测金融系统，并开发一个针对即将到来的金融危机的早期预警系统。该项目的目标是使用复杂性科学和相互依存网络理论的概念，根据不同经济和金融网络的复杂相互依存关系，为潜在的金融危机级联创建一种信号机制。这项研究将展示互动网络中的短程和长程相关性，并将不同金融网络的依赖关系识别和描述为一个复杂的系统。它将使用将一个网络节点的故障连接到另一个网络节点的故障的依赖链路来对危机的连锁效应进行建模。该提案将结合来自银行分析、投资者情绪、主权债务和监管框架的信息，创建监控系统，并为全球金融体系提供潜在的预警。

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.