英文标题：
《What do central counterparties default funds really cover? A
  network-based stress test answer》
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作者：
Giulia Poce, Giulio Cimini, Andrea Gabrielli, Andrea Zaccaria,
  Giuditta Baldacci, Marco Polito, Mariangela Rizzo, Silvia Sabatini
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最新提交年份：
2016
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英文摘要：
  In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress test methodology for central counterparties based on a network characterization of clearing members, whose links correspond to direct credits and debits. This network constitutes the ground for the propagation of financial distress: equity losses caused by an initial shock with both exogenous and endogenous components reverberate within the network and are amplified through credit and liquidity contagion channels. At the end of the dynamics, we determine the vulnerability of each clearing member, which represents its potential equity loss. We apply the proposed framework to the Fixed Income asset class of CC&G, the central counterparty operating in Italy whose main cleared securities are Italian Government Bonds. We consider two different scenarios: a distributed, plausible initial shock, as well as a shock corresponding to the cover 2 regulatory requirement (the simultaneous default of the two most exposed clearing members). Although the two situations lead to similar results after an unlimited reverberation of shocks on the network, the distress propagation is much more hasty in the latter case, with a large number of additional defaults triggered at early stages of the dynamics. Our results thus show that setting a default fund to cover insolvencies only on a cover 2 basis may not be adequate for taming systemic events, and only very conservative default funds, such as CC&G\'s one, can face total losses due to the shock propagation. Overall, our network-based stress test represents a refined tool for calibrating default fund amounts.
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中文摘要：
在过去几年中，人们越来越多地致力于开发有效的压力测试，以量化金融机构的弹性。在这里，我们提出了一种基于清算成员网络特征的中央交易对手压力测试方法，清算成员的链接对应于直接贷记和借记。这一网络构成了财务困境传播的基础：由外部和内部成分的初始冲击造成的股权损失在网络内产生反响，并通过信贷和流动性传染渠道扩大。在动态结束时，我们确定每个结算会员的脆弱性，这代表了其潜在的股权损失。我们将拟议框架应用于CC&G的固定收益资产类别，CC&G是在意大利运营的中央交易对手，其主要清算证券为意大利政府债券。我们考虑两种不同的情况：一种是分布的、合理的初始冲击，另一种是对应于第二套监管要求的冲击（两个风险敞口最大的清算成员同时违约）。虽然这两种情况在网络上无限的震动混响后会导致类似的结果，但在后一种情况下，灾难传播要快得多，在动态的早期阶段会触发大量额外的违约。因此，我们的结果表明，仅在覆盖范围2的基础上设置违约基金来覆盖破产可能不足以控制系统性事件，并且只有非常保守的违约基金，如CC&G的违约基金，才能因冲击传播而面临全部损失。总的来说，我们基于网络的压力测试是一种校准默认基金金额的完善工具。
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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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