英文标题：
《Systemic Greeks: Measuring risk in financial networks》
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作者：
Nils Bertschinger, Julian Stobbe
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最新提交年份：
2018
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英文摘要：
  Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing inspiration from the field of complex networks, these attempts are largely unaware of models and theories for credit risk of individual firms. Here, we note that recent network valuation models extend the seminal structural risk model of Merton (1974). Furthermore, we formally compute sensitivities to various risk factors -- commonly known as Greeks -- in a network context. In particular, we propose the network $\\Delta$ as a quantitative measure of systemic risk and illustrate our findings on some numerical examples.
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中文摘要：
自最近的金融危机以来，系统性风险的概念受到了相当大的关注。特别是，相互关联的金融公司之间的交叉持股所产生的传染效应已经得到了广泛的研究。受到复杂网络领域的启发，这些尝试基本上不了解单个企业信用风险的模型和理论。在此，我们注意到，最近的网络估值模型扩展了默顿（1974）的开创性结构风险模型。此外，我们在网络环境中正式计算了对各种风险因素（通常称为希腊人）的敏感性。特别是，我们提出网络$\\ Delta$作为系统性风险的定量度量，并通过一些数值例子说明了我们的发现。
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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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