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首页> 外文期刊>Journal of Economic Dynamics and Control >Systemic risk, financial contagion and financial fragility
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Systemic risk, financial contagion and financial fragility

机译：系统性风险，财务传染和财务脆弱性

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Although it is hard to arrive at a widely accepted definition for Systemic Risk; it is generally acknowledged that it is the risk of the occurrence of an event that threatens the well functioning of the system of interest (financial, payments, banking, etc.) sometimes to the point of making its operation impossible. We model systemic risk with two main components: a random shock that weakens one or more financial institutions and a transmission mechanism which transmits and possibly exacerbates such negative effects to the rest of the system.Our model could be conceptually represented by a network already described in previous works. In this work we show how is possible to estimate the distribution of losses for the banking system with our model. Additionally, we show how it is possible to separate the distribution of losses into two components: the losses incurred by the initial shock and the losses resulting from the contagion process. Finally, once the distribution is estimated, we can derive standard risk measures for the system as a whole.Another important contribution of this work is that we can follow the evolution of certain risk measures like the expected loss or the CVaR in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, we can decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and we can determine if the system is more prone to experience contagious difficulties during a certain period of time.
机译：尽管很难得出广泛接受的系统性风险定义；通常公认的是，发生事件的风险威胁到利益系统（金融，支付，银行等）的良好运行，有时甚至使其无法运行。我们用两个主要组成部分对系统风险进行建模：随机冲击会削弱一个或多个金融机构，而传递机制则会将这种负面影响传递给系统的其余部分，并可能加剧这种负面影响。以前的作品。在这项工作中，我们展示了如何使用我们的模型来估计银行系统的损失分布。此外，我们展示了如何将损失的分布分为两个部分：初始冲击所产生的损失和传染过程所造成的损失。最后，一旦估计了分布，我们就可以得出整个系统的标准风险度量。这项工作的另一个重要贡献是，我们可以跟踪某些风险度量的演变，例如预期损失或CVaR，以评估是否该系统或多或少地具有风险，实际上或多或少地脆弱。此外，我们可以将整个银行系统的损失分布分解为系统性和传染性元素，并且可以确定该系统在特定时期内是否更容易遭受传染性困难。

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