دانلود رایگان مقاله انگلیسی تاثیر مشترک هزینه ورشکستگی، فروش اموال حریق زده و عبور از خطر در سیستم مالی در شبکه مالی - اشپرینگر 2017

Abstract

The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements.

Conclusion

The paper presents a comprehensive model of a financial system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market, we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium was analyzed in several comparative case studies for both simple Erdos–R ¨ enyi and more realistic ´ core-periphery and multi-layer random networks:

(i) Systemic risk was studied by shocking the system and computing the average number of defaults, its variance, and distribution. Outcomes are centered on extreme scenarios. The risk of extreme adverse events is present, even if averages indicate a relatively safe system. Regulatory policies should provide substantial safety margins in order to guarantee stability.

(ii) Fire sales strongly increase systemic risk, while cross-holdings may improve the resilience of the banking sector. Central banks might mitigate the risk of default cascades by purchasing illiquid assets and cross-holdings. Quantitative easing strengthens the system.

(iii) Bankruptcy costs are a main driver of systemic risk. Regulators should improve the efficiency of bankruptcy procedures and limit the associated deadweight losses. Policies might include reducing the complexity of financial products as well as operational procedures and requiring last wills of financial institutions.

(iv) Capital requirements are a powerful instrument, but capital adequacy ratios based on risk-weighted assets are an extremely rough measure of systemic risk. Instead, modern systemic risk measures that use capital efficiently could be implemented.

(v) We analyzed different interbank network structures and heterogeneous business models. Our qualitative results were robust. Quantitative predictions, however, require a precise specification of all driving mechanisms.