系统风险是通过系统对初始冲击的弹性来衡量系统风险
Luka Klinčić1, Vinko Zlatić2, Guido Caldarelli3,4,5,6,7
1Department of Physics, Faculty of Science, University of Zagreb, Bijenička c. 32, 10000 Zagreb, Croatia.
Physical review. E
|November 18, 2023
概括
本研究引入了系统性风险的新措施,重点关注金融系统在破产之前可以承受多大的外部冲击. 这种方法提供了一种更直观和标准化的方法来评估金融系统失败风险.
科学领域:
- 金融经济学 金融经济学
- 网络理论 网络理论
- 风险管理 风险管理
背景情况:
- 当前的系统风险分析往往忽视了初始冲击的性质.
- 现有的措施重点关注外部事件的影响,而不是系统弹性.
- 需要一个对称的方法来量化冲击吸收能力.
研究的目的:
- 引入系统风险评估的新措施.
- 量化金融系统的减震能力.
- 为评估金融系统失败风险提供标准化的方法.
主要方法:
- 线性债务排名 (Linearized DebtRank) 清晰地描述了金融危机的开始.
- 谱图理论用于计算局部和均的外源冲击.
- 蒙特卡洛模拟用于分析异质冲击.
主要成果:
- 开发了一套衡量系统吸收外部冲击的能力的测量方法.
- 通过分析抗冲击能力,成功估计了系统风险.
- 证明了局部,均和异质冲击的行为.
结论:
- 提出的方法为系统风险评估提供了一个全面和直观的框架.
- 这种方法使金融系统失败风险的标准化评估成为可能.
- 这些发现有助于更强大的金融稳定性分析.
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