英文标题：
《Bank Panics and Fire Sales, Insolvency and Illiquidity》
---
作者：
T. R. Hurd
---
最新提交年份：
2017
---
英文摘要：
  Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that can propagate distress contagiously both directly within the banking network itself and indirectly, between the network and the external economy. These contagious effects, and the potential events that trigger these effects, can explain most aspects of past crises, and are thought to be likely to dominate future financial crises. Since the current international financial regulatory regime based on the Basel III Accord does a good job of ensuring that banks are resilient to such contagion effects taken one at a time, systemic risk theorists increasingly understand that future crises are likely to be dominated by the spillovers between distinct contagion channels. The present paper aims to provide a model for systemic risk that is comprehensive enough to include the important contagion channels identified in the literature. In such a model one can hope to understand the dangerous spillover effects that are expected to dominate future crises. To rein in the number and complexity of the modelling assumptions, two requirements are imposed, neither of which is yet well-known or established in the main stream of systemic risk research. The first, called stock-flow consistency, demands that the financial system follows a rigorous set of rules based on accounting principles. The second requirement, called Asset-Liability symmetry, implies that every proposed contagion channel has a dual channel obtained by interchanging assets and liabilities, and that these dual channel pairs have a symmetric mathematical representation.
---
中文摘要：
银行系统危机是一种复杂的事件，在短时间内可能对银行本身和外部经济造成广泛的损害。迄今为止，危机文献已经确定了许多不同的影响或渠道，这些影响或渠道可以直接在银行网络内部传播危机，也可以在网络和外部经济之间间接传播危机。这些传染效应以及引发这些效应的潜在事件可以解释过去危机的大部分方面，并被认为可能主导未来的金融危机。由于当前基于《巴塞尔协议III》的国际金融监管制度在确保银行能够抵御这种一次一个的传染效应方面做得很好，系统风险理论家越来越认识到，未来的危机可能会由不同传染渠道之间的溢出效应所主导。本文旨在为系统性风险提供一个模型，该模型足够全面，可以包括文献中确定的重要传染渠道。在这样一个模型中，人们可以希望了解预计将主导未来危机的危险溢出效应。为了控制建模假设的数量和复杂性，提出了两项要求，这两项要求都尚未为系统风险研究主流所熟知或确立。第一种称为存量流量一致性，要求金融系统遵循一套基于会计原则的严格规则。第二个要求，称为资产负债对称性，意味着每个拟议的传染渠道都有一个通过交换资产和负债获得的双渠道，并且这些双渠道对具有对称的数学表示。
---
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
--
一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

---
PDF下载：
-->