英文标题：
《Systemic-risk-efficient asset allocation: Minimization of systemic risk
  as a network optimization problem》
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作者：
Anton Pichler, Sebastian Poledna, and Stefan Thurner
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最新提交年份：
2018
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英文摘要：
  Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk emerges through common asset holdings of financial institutions. Strongly overlapping portfolios lead to similar exposures that are caused by price movements of the underlying financial assets. Based on the knowledge of portfolio holdings of financial agents we quantify systemic risk of overlapping portfolios. We present an optimization procedure, where we minimize the systemic risk in a given financial market by optimally rearranging overlapping portfolio networks, under the constraints that the expected returns and risks of the individual portfolios are unchanged. We explicitly demonstrate the power of the method on the overlapping portfolio network of sovereign exposure between major European banks by using data from the European Banking Authority stress test of 2016. We show that systemic-risk-efficient allocations are accessible by the optimization. In the case of sovereign exposure, systemic risk can be reduced by more than a factor of two, with- out any detrimental effects for the individual banks. These results are confirmed by a simple simulation of fire sales in the government bond market. In particular we show that the contagion probability is reduced dramatically in the optimized network.
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中文摘要：
系统性风险是一种多层网络现象。各层代表各种类型的直接金融风险，包括银行间负债、衍生品或外汇风险。系统性风险的另一个网络层通过金融机构的共同资产持有而出现。严重重叠的投资组合会导致类似的风险敞口，这些风险敞口是由基础金融资产的价格变动引起的。基于对金融机构投资组合持有情况的了解，我们量化了重叠投资组合的系统性风险。我们提出了一个优化过程，在单个投资组合的预期收益和风险不变的约束条件下，通过最优地重新安排重叠的投资组合网络来最小化给定金融市场中的系统性风险。通过使用2016年欧洲银行业管理局压力测试的数据，我们明确证明了该方法对欧洲主要银行之间主权风险重叠投资组合网络的威力。我们表明，通过优化可以实现系统风险有效的配置。在主权风险敞口的情况下，系统性风险可以减少两倍以上，而不会对个别银行造成任何不利影响。这些结果通过对政府债券市场中的火灾销售的简单模拟得到了证实。特别地，我们证明了在优化后的网络中，传染概率显著降低。
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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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