英文标题：
《Clearing algorithms and network centrality》
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作者：
Christoph Siebenbrunner
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最新提交年份：
2017
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英文摘要：
  I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide shock. This result provides a formal explanation for earlier empirical results which showed that Katz-type centrality measures are closely related to contagiousness. It also allows assessing the assumptions that one is making when using such centrality measures as systemic risk indicators. I conclude that these assumptions should be considered too strong and that, from a theoretical perspective, clearing models should be given preference over centrality measures in systemic risk analyses.
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中文摘要：
我表明，在与全系统冲击相对应的条件下，金融系统传染分析中常用的标准清算模型的解可以表示为广义卡茨中心性测度的一种特定形式。这一结果为早期的实证结果提供了正式的解释，这些结果表明，卡茨型中心性测度与传染性密切相关。它还允许评估在使用系统性风险指标等中心性指标时所做的假设。我的结论是，这些假设应该被认为过于强大，并且从理论角度来看，在系统性风险分析中，清算模型应该优先于中心性指标。
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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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