英文标题：
《Multichannel Contagion vs Stabilisation in Multiple Interconnected
  Financial Markets》
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作者：
Antoaneta Serguieva
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最新提交年份：
2017
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英文摘要：
  The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to analysing the structure of financial systems, and existing studies have modelled and evaluated interdependencies of different type among financial institutions. These studies, however, have considered the structure as a non-interconnected multiplex - an ensemble of single layer networks comprising the same nodes - rather than as an interconnected multiplex network. No mechanism of multichannel contagion has been modelled and empirically evaluated, and no multichannel stabilisation strategies for pre-emptive contagion containment have been designed. This paper formulates an interconnected multiplex structure, and a contagion mechanism among financial institutions due to bilateral exposures arising from institutions activity within different interconnected markets that compose the overall financial market. We introduce structural measures of absolute systemic risk and resilience, and relative systemic-risk indexes. Based on the contagion mechanism and systemic-risk quantification, this study designs minimum-cost stabilisation strategies that act simultaneously on different markets and their interconnections, in order to effectively contain potential contagion progressing through the overall structure. The stabilisation strategies subtly affect the emergence process of structure to adaptively build in structural resilience and achieve pre-emptive stabilisation at a minimum cost for each institution and at no cost for the system as a whole. We empirically evaluate the new approach using large granular databases, maintained by the Prudential Regulatory Authority of the Bank of England. The capabilities of multichannel stabilisation are confirmed empirically.
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中文摘要：
多层网络理论处于早期阶段，其发展为理解复杂系统提供了重要方法。在过去三年中，采用了多种形式的多层网络来分析金融系统的结构，现有研究对金融机构之间不同类型的相互依赖性进行了建模和评估。然而，这些研究将该结构视为一个非互连多路复用（由相同节点组成的单层网络的集合），而不是一个互连多路复用网络。尚未对多渠道传染的机制进行建模和实证评估，也未设计预防性传染遏制的多渠道稳定策略。本文构建了一个相互关联的多元化结构，以及由于构成整个金融市场的不同相互关联市场中的机构活动而产生的双边风险，金融机构之间的传染机制。我们介绍了绝对系统性风险和弹性的结构度量，以及相关的系统性风险指数。基于传染机制和系统性风险量化，本研究设计了同时作用于不同市场及其相互联系的最低成本稳定策略，以有效遏制整个结构中的潜在传染。稳定策略会微妙地影响结构的出现过程，以自适应地构建结构弹性，并以每个机构的最低成本实现先发制人的稳定，而不会对整个系统产生任何成本。我们使用英格兰银行审慎监管局维护的大型粒度数据库对新方法进行了实证评估。从经验上证实了多通道稳定的能力。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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