摘要翻译：
全球金融体系已变得高度关联和复杂。实践证明，现有的金融风险模型、度量和报告未能捕捉到一些重要的系统维度。直到最近，才在高层建立了咨询委员会，并直接针对系统性风险制定了法规。在同一方向上，越来越多的研究人员使用网络分析来建模金融网络中的系统风险。目前的方法主要集中在国家和国际两级的银行间支付网络流动。这项工作建立在现有方法的基础上，以说明微观层面的系统性风险评估。特别是通过对希腊某大银行“支票担保”网络的实际案例的分析，介绍了银行内部金融风险关联的分析。我们的模型提供了有关中断对银行贷款网络中金融实体的负面溢出效应的有用信息，并可以补充现有的只考虑特殊客户财务状况的信用评分模型。最重要的是，建议的方法可用于整个金融体系的许多部分，为监管当局提供了一个有用的工具，以评估更准确的系统风险估计数。
---
英文标题：
《Looking for grass-root sources of systemic risk: the case of
  "cheques-as-collateral" network》
---
作者：
Michalis Vafopoulos
---
最新提交年份：
2011
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Computer Science        计算机科学
二级分类：Social and Information Networks        社会和信息网络
分类描述：Covers the design, analysis, and modeling of social and information networks, including their applications for on-line information access, communication, and interaction, and their roles as datasets in the exploration of questions in these and other domains, including connections to the social and biological sciences. Analysis and modeling of such networks includes topics in ACM Subject classes F.2, G.2, G.3, H.2, and I.2; applications in computing include topics in H.3, H.4, and H.5; and applications at the interface of computing and other disciplines include topics in J.1--J.7. Papers on computer communication systems and network protocols (e.g. TCP/IP) are generally a closer fit to the Networking and Internet Architecture (cs.NI) category.
涵盖社会和信息网络的设计、分析和建模，包括它们在联机信息访问、通信和交互方面的应用，以及它们作为数据集在这些领域和其他领域的问题探索中的作用，包括与社会和生物科学的联系。这类网络的分析和建模包括ACM学科类F.2、G.2、G.3、H.2和I.2的主题；计算应用包括H.3、H.4和H.5中的主题；计算和其他学科接口的应用程序包括J.1-J.7中的主题。关于计算机通信系统和网络协议（例如TCP/IP）的论文通常更适合网络和因特网体系结构（CS.NI）类别。
--
一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--

---
英文摘要：
  The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards have been established in high level and regulations are directly targeted to systemic risk. In the same direction, a growing number of researchers employ network analysis to model systemic risk in financial networks. Current approaches are concentrated on interbank payment network flows in national and international level. This work builds on existing approaches to account for systemic risk assessment in micro level. Particularly, we introduce the analysis of intra-bank financial risk interconnections, by examining the real case of "cheques-as-collateral" network for a major Greek bank. Our model offers useful information about the negative spillovers of disruption to a financial entity in a bank's lending network and could complement existing credit scoring models that account only for idiosyncratic customer's financial profile. Most importantly, the proposed methodology can be employed in many segments of the entire financial system, providing a useful tool in the hands of regulatory authorities in assessing more accurate estimates of systemic risk.
---
PDF链接：
https://arxiv.org/pdf/1112.1156