英文标题：
《Systemic Losses Due to Counter Party Risk in a Stylized Banking System》
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作者：
Annika Birch and Tomaso Aste
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最新提交年份：
2014
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英文摘要：
  We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks\' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from normally operating to distressed whenever its liabilities are larger than the banks\' assets. The banks are connected through an interbank lending network and, whenever a bank is distressed, its creditor cannot expect the loan from the distressed bank to be repaid, potentially becoming distressed themselves. We solve the problem analytically for a homogeneous system and test the robustness and generality of the results with simulations of more complex systems. We investigate the parameter space and the corresponding distribution of operating banks mapping the conditions under which the whole system is stable or unstable. This allows us to determine how financial stability of a banking system is influenced by regulatory decisions, such as leverage; we discuss the effect of central bank actions, such as quantitative easing and we determine the cost of rescuing a distressed banking system using re-capitalisation. Finally, we estimate the stability of the UK and US banking systems in the years 2007 and 2012 showing that both banking systems were more unstable in 2007 and connectedness on the interbank market partly caused the banking crisis.
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中文摘要：
我们报告了一项关于一个程式化的银行级联模型的研究，该模型利用负债和资产来定义银行的资产负债表，调查交易对手失败导致的系统性风险。在我们的程式化系统中，银行可以处于两种状态：正常经营或不良状态，当其负债大于银行资产时，银行的状态就会从正常经营变为不良状态。这些银行通过银行间贷款网络连接起来，每当一家银行陷入困境时，其债权人就无法指望从陷入困境的银行获得的贷款得到偿还，从而可能自己陷入困境。我们解析地解决了一个齐次系统的问题，并通过对更复杂系统的仿真测试了结果的鲁棒性和通用性。我们研究了映射整个系统稳定或不稳定条件的操作银行的参数空间和相应分布。这使我们能够确定监管决策（如杠杆）如何影响银行系统的金融稳定性；我们讨论了量化宽松等央行行动的影响，并确定了利用资本重组拯救陷入困境的银行系统的成本。最后，我们对2007年和2012年英国和美国银行系统的稳定性进行了估计，结果表明，2007年英国和美国的银行系统都更加不稳定，银行间市场的连通性在一定程度上导致了银行业危机。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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