OFR: Working Paper Series (Topic)最新文献

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Contagion in Financial Networks 金融网络的传染
OFR: Working Paper Series (Topic) Pub Date : 2015-10-20 DOI: 10.2139/ssrn.2681392
P. Glasserman, Peyton Young
{"title":"Contagion in Financial Networks","authors":"P. Glasserman, Peyton Young","doi":"10.2139/ssrn.2681392","DOIUrl":"https://doi.org/10.2139/ssrn.2681392","url":null,"abstract":"The recent financial crisis has prompted much new research on the interconnectedness of the modern financial system and the extent to which it contributes to systemic fragility. Network connections diversify firms' risk exposures, but they also create channels through which shocks can spread by contagion. We review the extensive literature on this issue, with the focus on how network structure interacts with other key variables such as leverage, size, common exposures, and short-term funding. We discuss various metrics that have been proposed for evaluating the susceptibility of the system to contagion and suggest directions for future research.","PeriodicalId":124608,"journal":{"name":"OFR: Working Paper Series (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114820216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 40
A Map of Funding Durability and Risk 融资持久性和风险地图
OFR: Working Paper Series (Topic) Pub Date : 2014-05-29 DOI: 10.2139/ssrn.2475041
Andréa Aguiar, Richard M. Bookstaber, T. Wipf
{"title":"A Map of Funding Durability and Risk","authors":"Andréa Aguiar, Richard M. Bookstaber, T. Wipf","doi":"10.2139/ssrn.2475041","DOIUrl":"https://doi.org/10.2139/ssrn.2475041","url":null,"abstract":"The dynamics of the financial system and the undercurrents of its vulnerabilities rest on the flow of funding. Analysts typically represent these dynamics as a network with banks and financial entities as the nodes and the funding links as the edges. This paper focuses instead on the funding operations within the nodes, in particular those within Bank/Dealers, adding a critical level of detail about potential funding risks. We present a funding map to illustrate the primary business activities and funding sources of a typical Bank/Dealer. We use that map to trace the paths of risk through four specific financial institutions during historical crises and to identify gaps in data needed for financial stability monitoring. We also introduce the concept of \"funding durability,\" defined as the effective term of funding in the face of signaling and reputational considerations during periods of stress. Using these tools, the paper highlights the points of potential durability mismatch and resulting funding risks within the Bank/Dealer. It also provides insight into how funding weaknesses can pass from one institution to another and ultimately affect financial stability.","PeriodicalId":124608,"journal":{"name":"OFR: Working Paper Series (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122986737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Design of Risk Weights 风险权重的设计
OFR: Working Paper Series (Topic) Pub Date : 2013-05-23 DOI: 10.2139/ssrn.2269057
P. Glasserman, Wanmo Kang
{"title":"Design of Risk Weights","authors":"P. Glasserman, Wanmo Kang","doi":"10.2139/ssrn.2269057","DOIUrl":"https://doi.org/10.2139/ssrn.2269057","url":null,"abstract":"Banking regulations set minimum levels of capital for banks. These requirements are generally formulated through a ratio of capital to risk-weighted assets. A risk-weighting scheme assigns a weight to each asset or category of assets and effectively functions as a linear constraint on a bank's portfolio choice; it also changes the incentives for banks to hold various kinds of assets. In this paper, we investigate the design of risk weights to align regulatory and private objectives in a simple mean-variance framework for portfolio selection. By setting risk weights proportional to profitability rather than risk, the regulator can induce a bank to reduce its overall level of risk without distorting its asset mix. Because the regulator is unlikely to know the true profitability of assets, we introduce an adaptive formulation in which the regulator sets weights by observing a bank's portfolio. The adaptive scheme converges to the same combination of weights and portfolio choice that would hold if the regulator knew the asset profitability. We also investigate other objectives, including steering banks to a target mix of assets, adding robustness, mitigating procyclicality, and reducing system-wide risk in a setting with multiple heterogeneous banks.","PeriodicalId":124608,"journal":{"name":"OFR: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129592958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
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