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Size and complexity in model financial systems

机译：示范金融系统的规模和复杂性

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摘要

The global financial crisis has precipitated an increasing appreciation of the need for a systemic perspective toward financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards recognize this role? How is stability shaped by concentration and diversification in the financial system? We explore these questions using a deliberately simplified, dynamic model of a banking system that combines three different channels for direct transmission of contagion from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via counterparty credit risk. Importantly, we also introduce a mechanism for capturing how swings in "confidence" in the system may contribute to instability. Our results highlight that the importance of relatively large, well-connected banks in system stability scales more than proportionately with their size: the impact of their collapse arises not only from their connectivity, but also from their effect on confidence in the system. Imposing tougher capital requirements on larger banks than smaller ones can thus enhance the resilience of the system. Moreover, these effects are more pronounced in more concentrated systems, and continue to apply, even when allowing for potential diversification benefits that may be realized by larger banks. We discuss some tentative implications for policy, as well as conceptual analogies in ecosystem stability and in the control of infectious diseases.
机译：全球金融危机已使人们越来越认识到需要有系统的观点来实现金融稳定。例如：大型银行在系统性风险中扮演什么角色？资本充足率标准应如何认识到这一作用？金融体系的集中度和多元化如何影响稳定性？我们使用一种故意简化的，动态的银行系统模型来探讨这些问题，该模型结合了三种不同的渠道将传染病直接从一家银行传递到另一家银行：流动性ard积，资产价格传染以及通过交易对手信用风险传播违约。重要的是，我们还引入了一种机制来捕获系统中“信心”的波动如何可能导致不稳定。我们的结果表明，规模相对较大且关系良好的银行在系统稳定性方面的规模与其规模的比例成比例地增加：崩溃的影响不仅来自于它们的连通性，而且还源于其对系统信心的影响。与较小的银行相比，对较大的银行施加更严格的资本要求可以提高系统的弹性。此外，这些影响在更集中的系统中更加明显，并且即使在考虑到大型银行可能实现的潜在多元化收益的情况下也继续适用。我们讨论了对政策的一些初步含义，以及生态系统稳定性和传染病控制方面的概念类比。

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