| 来源类型 | Article |
| 规范类型 | 其他 |
| Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem. | |
| Pichler A; Poledna S; Thurner S | |
| 发表日期 | 2018 |
| 出处 | Journal of Financial Stability |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk emerges through common asset holdings of financial institutions. Strongly overlapping portfolios lead to similar exposures that are caused by price movements of the underlying financial assets. Based on the knowledge of portfolio holdings of financial agents we quantify systemic risk of overlapping portfolios. We present an optimization procedure, where we minimize the systemic risk in a given financial market by optimally rearranging overlapping portfolio networks, under the constraints that the expected returns and risks of the individual portfolios are unchanged. We explicitly demonstrate the power of the method on the overlapping portfolio network of sovereign exposure between major European banks by using data from the European Banking Authority stress test of 2016. We show that systemic-risk-efficient allocations are accessible by the optimization. In the case of sovereign exposure, systemic risk can be reduced by more than a factor of two, with- out any detrimental effects for the individual banks. These results are confirmed by a simple simulation of fire sales in the government bond market. In particular we show that the contagion probability is reduced dramatically in the optimized network. |
| 主题 | Advanced Systems Analysis (ASA) ; Risk & ; Resilience (RISK) ; Risk, Policy and Vulnerability (RPV) |
| 关键词 | systemic risk, systemic-risk-efficient, overlapping portfolios, financial networks, contagion, network optimization, quadratic programming, government bonds, DebtRank |
| URL | http://pure.iiasa.ac.at/id/eprint/15098/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131183 |
| 推荐引用方式 GB/T 7714 | Pichler A,Poledna S,Thurner S. Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem.. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| 1801.10515.pdf（472KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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