基于投资组合关联的金融系统性风险影响因素研究?

基于Caccioli等的金融网络模型构建了一个银行-资产网络模型来研究具有资产重叠的金融系统的风险传染机制.用金融系统发生危机(大规模破产)的概率表征金融风险的频度,用发生危机时机构实际破产比例表征金融风险的强度,并视风险频度和强度为金融系统稳定性的基本特征.通过模型模拟发现,金融系统的稳定性受到投资组合分散化程度、市场拥挤度、机构财务杠杆率、机构投资组合相似度、初始市场冲击等因素的影响.特别地,尽管持有资产种类的多样化有利于独立金融机构的运营,但过度的多样性会威胁金融系统整体的稳定.

Analysis of financial contagion based on overlapping portfolios

The financial network of Coccioli and colleagues is adapted to establish a bank-and-asset network to better understand how financial contagion works due to overlapping portfolios.In the new model,contagion (large-scale bankruptcy)probability is used to indicate frequency of financial risk and proportion of bankruptcy in a crisis is used to indicate intensity of financial contagion.Frequency and intensity of risk are regarded as basic characteristics of financial system stability.Instability of financial system is likely to occur as a function of parameters such as bank diversification,market crowding,initial financial leverage,portfolio similarity and initial shock.Occasionally too much diversification may destabilize the financial system but diversification can help manage individual institutions.