دانلود رایگان مقاله انگلیسی بهینه سازی در کاهش مخاطرات ریسک در میان موسسات مالی - الزویر 2018

abstract

Financial institutions are interconnected by holding debt claims against each other. A default bank may cause its creditors to default, and the risk may be further propagated to up-stream institutes (risk contagion). Such interconnection is a key contributing factor to the past worldwide financial crisis. We show that a good mechanism of default liquidation may improve the total wealth of the financial system and therefore may curb the risk contagion. We formulate this problem as a nonlinear optimization problem with constraints and propose an optimal liquidation policy to minimize the system’s loss. We show that the problem resembles a Markov decision problem (MDP) and therefore we can apply the direct-comparison based optimization approach to solve this problem. Higher order directional derivatives and some optimality properties are obtained. Furthermore, we derive an iterative algorithm which combines both the policy iteration and the gradient based approach to find a local optimal policy, and under some conditions, a global optimal policy. Our work provides a new direction in curbing the risk contagion in financial networks; and it illustrates the advantages of the direct-comparison based approach, originated in the field of discrete event dynamic system, in nonlinear optimization problems.

Conclusion

In this paper, we study the risk contagion problem and characterize analytically the effect of the liquidation mechanism on the total wealth of financial networks. We formulate contagion reduction as a performance optimization problem with nonlinear constraints. We apply the direct-comparison based approach to solve this problem. In this approach, we derive the performance difference formula which clearly shows the details of the differences of any two liquidation schemes, and we derive the directional derivatives of the performance measures in the policy space. Some optimality properties are obtained. Furthermore, we develop a policy iteration–gradient combined algorithm for the optimal liquidation scheme. Finally, we provide some examples to illustrate the efficiency of our algorithm for reducing the system’s loss and the number of default banks. Compared with the pro rata scheme, our proposed optimal liquidation scheme reduces the system’s total debts and save banks from defaulting. This provides a new direction for curbing the contagion among financial institutes for the government and central bank to consider during financial crisis. The direct-comparison based approach to performance optimization was first developed for discrete event dynamic systems, and has been applied to many theoretical as well as practical problems. In this paper, we find that surprisingly the performance difference formula for the risk contagion problem looks similar to that in MDPs. Our research indicates that this approach can also be applied to static problems such as the risk contagion problem. In addition, since for some other problems, ‘‘fairness’’ is not an essence, our results of this paper can be extended to these contexts, such as power grids systems, logistics systems, and some other network systems.