论文标题
金融网络中的顺序违约
Sequential Defaulting in Financial Networks
论文作者
论文摘要
我们考虑金融网络，其中银行通过债务或信用违约掉期等合同连接。我们研究这些系统中的清除问题：我们想知道哪些银行最终违约，以及这些违约银行的哪些负债可以实现。我们在连续模型中分析了这些网络，银行一次宣布其默认网络，并且系统以分步的方式演变。 我们首先考虑这些系统的可逆模型，银行可能会从默认设置中返回。我们表明，此模型中的稳定时间可能在很大程度上取决于公告的顺序。但是，我们还表明，在某些系统中有任何选择的系统，该过程持续到最终稳定之前的指数级数。我们还表明，找到默认情况下最终数量（或最大）银行数量的订购是一个NP困难的问题。此外，我们证明，在某些情况下，早期违约对于银行来说可能是一个有利的策略，总的来说，找到默认公告的最佳时间是NP-HARD。最后，我们讨论改变此设置的某些属性如何影响过程的稳定时间，然后使用这些技术来设计系统的单调模型，从而确保每个网络最终都可以稳定。
We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their liabilities can these defaulting banks fulfill. We analyze these networks in a sequential model where banks announce their default one at a time, and the system evolves in a step-by-step manner. We first consider the reversible model of these systems, where banks may return from a default. We show that the stabilization time in this model can heavily depend on the ordering of announcements. However, we also show that there are systems where for any choice of ordering, the process lasts for an exponential number of steps before an eventual stabilization. We also show that finding the ordering with the smallest (or largest) number of banks ending up in default is an NP-hard problem. Furthermore, we prove that defaulting early can be an advantageous strategy for banks in some cases, and in general, finding the best time for a default announcement is NP-hard. Finally, we discuss how changing some properties of this setting affects the stabilization time of the process, and then use these techniques to devise a monotone model of the systems, which ensures that every network stabilizes eventually.
