Network valuation in financial systems

被引：56

作者：

Barucca, Paolo ^{[1
]}

Bardoscia, Marco ^{[2
]}

Caccioli, Fabio ^{[1
,3
,4
]}

D'Errico, Marco ^{[5
]}

Visentin, Gabriele ^{[6
]}

Caldarelli, Guido ^{[7
,8
,9
,10
]}

Battiston, Stefano ^{[11
]}

机构：

[1] UCL, Dept Comp Sci, London, England

[2] Bank England, London, England

[3] London Sch Econ, Syst Risk Ctr, London, England

[4] London Math Lab, London, England

[5] European Cent Bank, European Syst Risk Board Secretariat, Frankfurt, Germany

[6] Univ Zurich, Inst Math, Zurich, Switzerland

[7] IMT Sch Adv Studies Lucca, Lucca, Italy

[8] Sapienza Univ Roma, Dipartimento Fis, Ist Sistemi Complessi CNR UoS Sapienza, Rome, Italy

[9] Univ Venezia Ca Foscari, European Ctr Living Technol, Venice, Italy

[10] London Inst Math Sci, London, England

[11] Univ Zurich, Dept Banking & Finance, Zurich, Switzerland

来源：

MATHEMATICAL FINANCE | 2020年 / 30卷 / 04期

基金：

欧盟地平线“2020”; 英国经济与社会研究理事会;

关键词：

contagion; credit risk; financial networks; mark-to-market losses; systemic risk; CORPORATE-DEBT; RISK; CONTAGION; STABILITY;

D O I：

10.1111/mafi.12272

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximizes individual and total equity values for all banks. We apply our model to the assessment of systemic risk and in particular for the case of stress testing. Further, we provide a fixed-point algorithm to carry out the network valuation and the conditions for its convergence.

引用

页码：1181 / 1204

页数：24

共 56 条

[1] Systemic Risk and Stability in Financial Networks [J].