论文标题
部分可观测时空混沌系统的无模型预测
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
论文作者
论文摘要
我们考虑一个银行持有网络，每个股份都有两个不同类型的子公司。子公司可以与另一个类型的另一家控股子公司进行交易。持有股份在否则未能履行其财务义务时，将其子公司提高到一定水平。当银行持有数量较大时，我们调查了传染量在该银行网络中的传播，并根据不同规则找到违约的子公司的最终数量。我们还考虑了这个多层网络对小冲击的弹性。我们的工作阐明了持有结构可以在财务压力扩增中发挥作用的作用。我们发现，根据网络的资本化，与较小的分离实体相比，持有结构可能是有益的。在其他情况下，它可能是有害的，并且实际上会增加传染性。我们在数值案例研究中说明了我们的结果，还从监管机构的角度确定了最佳持有支持水平。
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when they would otherwise fail to honor their financial obligations. We investigate the spread of contagion in this banking network when the number of bank holdings is large, and find the final number of defaulted subsidiaries under different rules for the holding support. We also consider resilience of this multilayered network to small shocks. Our work sheds light onto the role that holding structures can play in the amplification of financial stress. We find that depending on the capitalization of the network, a holding structure can be beneficial as compared to smaller separated entities. In other instances, it can be harmful and actually increase contagion. We illustrate our results in a numerical case study and also determine the optimal level of holding support from a regulator perspective.
