英文标题：
《Entangling credit and funding shocks in interbank markets》
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作者：
Giulio Cimini and Matteo Serri
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最新提交年份：
2016
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英文摘要：
  Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations. On the other hand, solvency constraints may force banks to recover lost fundings by selling their illiquid assets, resulting in effective losses in the presence of fire sales - that is, when funding shortcomings are widespread over the market. Because of the complex structure of the network of interbank exposures, these losses reverberate among banks and eventually get amplified, with potentially catastrophic consequences for the whole financial system. Building on Debt Rank [Battiston et al., 2012], in this work we define a systemic risk metric that estimates the potential amplification of losses in interbank markets accounting for both credit and liquidity contagion channels: the Debt-Solvency Rank. We implement this framework on a dataset of 183 European banks that were publicly traded between 2004 and 2013, showing indeed that liquidity spillovers substantially increase systemic risk, and thus cannot be neglected in stress-test scenarios. We also provide additional evidence that the interbank market was extremely fragile up to the 2008 financial crisis, becoming slightly more robust only afterwards.
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中文摘要：
信贷和流动性风险是银行间借贷市场金融传染的主要渠道。一方面，当交易对手陷入困境，因此无法履行义务时，银行就会面临潜在的损失。另一方面，偿付能力约束可能会迫使银行通过出售其非流动资产来弥补损失的资金，从而在出现大甩卖的情况下——也就是说，当市场上普遍存在资金短缺时——造成实际损失。由于银行间风险敞口网络的复杂结构，这些损失会在银行间产生反响，并最终扩大，对整个金融系统造成潜在的灾难性后果。基于债务等级[Battiston et al.，2012]，在这项工作中，我们定义了一个系统性风险指标，用于估计银行间市场中损失的潜在放大，同时考虑信贷和流动性传染渠道：债务偿付能力等级。我们在2004年至2013年间公开交易的183家欧洲银行的数据集上实施了这一框架，这表明流动性溢出确实大大增加了系统性风险，因此在压力测试场景中不可忽视。我们还提供了额外的证据，表明银行间市场在2008年金融危机之前极为脆弱，之后才变得更加强劲。
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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
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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