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首页> 外文期刊>Journal of Economic Dynamics and Control >What is the minimal systemic risk in financial exposure networks?
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What is the minimal systemic risk in financial exposure networks?

机译：财务曝光网络中最小的全身风险是多少？

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We quantify how much systemic risk can be eliminated in financial contract networks by rearranging their network topology. By using mixed integer linear programming, financial linkages are optimally organized, whereas the overall economic conditions of banks, such as capital buffers, total interbank assets and liabilities, and average risk-weighted exposure remain unchanged. We apply the new optimization procedure to 10 snapshots of the Austrian interbank market where we focus on the largest 70 banks covering 71% of the market volume. The optimization reduces systemic risk (measured in DebtRank) by about 70%, showing the huge potential that changing the network structure has on the mitigation of financial contagion. Existing capital levels would need to be scaled up by a factor of 3.3 to obtain similar levels of DebtRank. These findings underline the importance of macroprudential rules that focus on the structure of financial networks. The new optimization procedure allows us to benchmark actual networks to networks with minimal systemic risk. We find that simple topological measures, like link density, degree assortativity, or clustering coefficient, fail to explain the large differences in systemic risk between actual and optimal networks. We find that if the most systemically relevant banks are tightly connected, overall systemic risk is higher than if they are unconnected. (C) 2020 The Author(s). Published by Elsevier B.V.
机译：我们通过重新排列其网络拓扑，量化在金融合同网络中可以消除多少系统风险。通过使用混合整数线性规划，金融联系是最佳组织的，而银行的整体经济条件，如资本缓冲区，银行间资产和负债，以及平均风险加权暴露保持不变。我们将新的优化程序应用于奥地利银行间市场的10个快照，我们专注于占市场上71％的最大70家银行。优化降低了大约70％的系统风险（在DebTrank中测量），显示了改变网络结构对金融传染缓解的巨大潜力。现有资本水平需要按比例为3.3倍以获得类似水平的DebTrank。这些调查结果强调了专注于金融网络结构的宏观规范规则的重要性。新的优化程序允许我们将实际网络基准测试到具有最小系统性风险的网络。我们发现简单的拓扑措施，如链接密度，程度差异或聚类系数，未能解释实际和最佳网络之间的系统风险的巨大差异。我们发现，如果最具系统相关的银行密切联系，总体系统风险高于无连接的风险。 （c）2020提交人。由elsevier b.v出版。

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