Overlapping portfolios, contagion, and financial stability

被引：115

作者：

Caccioli, Fabio ^{[1
,2
]}

Farmer, J. Doyne ^{[3
,4
,5
]}

Foti, Nick ^{[3
]}

Rockmore, Daniel ^{[3
,6
,7
]}

机构：

[1] UCL, Dept Comp Sci, London WC1E 6BT, England

[2] Univ Cambridge, Cambridge judge Business Sch, Ctr Risk Studies, Cambridge CB21 AG, England

[3] Santa Fe Inst, Santa Fe, NM 87501 USA

[4] Univ Oxford, Oxford Martin Sch, Inst New Econ Thinking, Oxford OX2 6ED, England

[5] Univ Oxford, Math Inst, Oxford OX2 6ED, England

[6] Dartmouth Coll, Dept Comp Sci, Hanover, NH 03755 USA

[7] Dartmouth Coll, Dept Math, Hanover, NH 03755 USA

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2015年 / 51卷

基金：

美国国家科学基金会;

关键词：

Systemic risk; Network models; Contagion; NETWORK STRUCTURE; SYSTEMIC RISK; INTERBANK; EXPOSURES; CASCADES; TOPOLOGY; MARKET; MODEL;

D O I：

10.1016/j.jedc.2014.09.041

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the problem of interacting channels of contagion in financial networks. The first channel of contagion is counterparty failure risk; this is captured empirically using data for the Austrian interbank network. The second channel of contagion is overlapping portfolio exposures; this is studied using a stylized model. We perform stress tests according to different protocols. For the parameters we study neither channel of contagion results in large effects on its own. In contrast, when both channels are active at once, bankruptcies are much more common and have large systemic effects. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：50 / 63

页数：14

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