Control of Interbank Contagion Under Partial Information

被引:11
|
作者
Amini, Hamed [1 ]
Minca, Andreea [2 ]
Sulem, Agnes [3 ]
机构
[1] Ecole Polytech Fed Lausanne, Quartier UNIL Dorigny, Swiss Finance Inst, CH-1015 Lausanne, Switzerland
[2] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14850 USA
[3] INRIA Paris Rocquencourt, F-78153 Le Chesnay, France
来源
关键词
systemic risk; optimal control; financial networks; SYSTEMIC RISK; MODEL; STABILITY;
D O I
10.1137/140981538
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We consider a stylized core-periphery financial network in which links lead to the creation of projects in the outside economy but make banks prone to contagion risk. The controller seeks to maximize, under budget constraints, the value of the financial system defined as the total number of projects. Under partial information on interbank links, revealed in conjunction with the spread of contagion, the optimal control problem is shown to become a Markov decision problem. We determine the optimal intervention policy by using dynamic programming. Our numerical results show that the value of the system depends on the connectivity in a nonmonotonous way: it first increases with connectivity and then decreases with connectivity. The maximum value attained depends critically on the budget of the controller. Moreover, we show that for highly connected systems, it is optimal to increase the rate of intervention in the peripheral banks rather than in core banks.
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页码:1195 / 1219
页数:25
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