دانلود رایگان مقاله انگلیسی مدل سازی، تحلیل و کاهش مخاطرات در سیستم های مالی - الزویر 2018

Abstract

Recent financial turmoil (e.g., the 2008-2009 global financial crisis) has resulted in financial contagion-induced instability becoming one of the major concerns in the fields of economics and finance. In this paper, we extend the network analysis of financial contagion from three perspectives. First, given that cross-holding of claims and obligations among financial institutions can be viewed as input-output linkages, we model the financial system and the contagion mechanism by introducing the classic Leontief input–output framework. Second, based on this modeling process, we propose a simple contagion algorithm to study how financial system heterogeneity influences its stability. Third, to mitigate financial contagion, we propose several concrete intervention policies based on two widely used prudential approaches—forced mergers and capital injections. The performance of these intervention policies is then evaluated by comprehensive numerical experiments. Our study has significant implications for financial regulation and supervision.

6. Conclusion and Discussion

In this paper, we focus on extending the network analysis of financial contagion from three perspectives. First, given that the relationships formed by the cross-holding of claims and obligations can be viewed as input-output linkages, we model the financial system and the contagion mechanism by introducing the classic Leontief input–output framework. Based on this modeling process, we propose a simple contagion algorithm to evaluate it further. Second, based on this contagion algorithm, we study how financial system heterogeneity influences its stability. Heterogeneity is measured by the diversification of bilateral exposures and interconnectedness. Based on the results of numerical simulation, we conclude that an increase in the diversification of bilateral exposures and interconnectedness—reflected by the variance of exposure and variance of degree—has a negative influence on financial stability. High variance of exposures and degree intensify financial contagion by increasing both the extent and probability of contagion. Third, to mitigate financial contagion, we propose several concrete intervention policies based on two widely used intervention policies—forced mergers and capital injection. We implement the intervention policies on systemically important financial institutions, which are determined by high bilateral exposures or high interconnectedness. The performances of these intervention policies are evaluated by comprehensive numerical experiments. Different policies perform differently in mitigating financial contagion. We illustrate that capital injections is an effective instrument for mitigating financial contagion, reducing bilateral exposure in the financial system by recapitalizing and deleveraging financial institutions. However, forced mergers is not always effective. Although forced mergers help to recapitalize financial institutions, they also lead to restructuring of the whole financial system, and this restructuring mechanism may influence systemic risk.