英文标题：
《Obligations with Physical Delivery in a Multi-Layered Financial Network》
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作者：
Zachary Feinstein
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最新提交年份：
2019
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英文摘要：
  This paper provides a general framework for modeling financial contagion in a system with obligations in multiple illiquid assets (e.g., currencies). In so doing, we develop a multi-layered financial network that extends the single network of Eisenberg and Noe (2001). In particular, we develop a financial contagion model with fire sales that allows institutions to both buy and sell assets to cover their liabilities in the different assets and act as utility maximizers.   We prove that, under standard assumptions and without market impacts, equilibrium portfolio holdings exist and are unique. However, with market impacts, we prove that equilibrium portfolio holdings and market prices exist which clear the multi-layered financial system. In general, though, these clearing solutions are not unique. We extend this result by considering the t\\^atonnement process to find the unique attained equilibrium. The attained equilibrium need not be continuous with respect to the initial shock; these points of discontinuity match those stresses in which a financial crisis becomes a systemic crisis. We further provide mathematical formulations for payment rules and utility functions satisfying the necessary conditions for these existence and uniqueness results.   We demonstrate the value of our model through illustrative numerical case studies. In particular, we study a counterfactual scenario on the event that Greece re-instituted the drachma on a dataset from the European Banking Authority.
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中文摘要：
本文提供了一个通用框架，用于在多个非流动资产（如货币）中有债务的系统中建模金融传染。通过这样做，我们开发了一个多层金融网络，扩展了Eisenberg和Noe（2001）的单一网络。特别是，我们开发了一个具有甩卖的金融传染模型，该模型允许机构买卖资产以弥补其在不同资产中的负债，并充当效用最大化者。我们证明，在标准假设下，在没有市场影响的情况下，均衡投资组合持有是存在的，并且是唯一的。然而，在市场影响下，我们证明了均衡投资组合持有量和市场价格的存在，从而明确了多层金融系统。但总的来说，这些清算解决方案并不是唯一的。我们通过考虑平衡过程来扩展这个结果，以找到唯一的达到平衡。所获得的平衡不需要相对于初始冲击是连续的；这些不连续点与金融危机成为系统性危机的压力相匹配。我们进一步提供了满足这些存在唯一性结果必要条件的支付规则和效用函数的数学公式。我们通过说明性的数值案例研究来证明我们的模型的价值。特别是，我们研究了希腊在欧洲银行管理局（European Banking Authority）的数据集上重新制定德拉克马的反事实情景。
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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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