论文标题
动态银行模型中的内源性困扰传染：今天未来可能的损失可能会如何说明厄运
Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
论文作者
论文摘要
我们引入了一个动态和随机的银行间模型，具有内源性传染的内源性概念，这是由于对未来默认值和随之而来的损失的理性担忧引起的。这需要对银行间索赔进行标记到市场的估值调整，从而导致对平衡动态的前进方法，因此需要未来的默认概率来确定当今的资产负债表。与早期模型不同，所产生的遇险传染性作用是内源性的，它是一个随机波动率，表现出聚类和下降市场的峰值。此外，通过结合多个成熟度，我们提供了一个新颖的框架，用于构建系统性的银行间项结构，反映了跨期传播的风险。我们将分析分为两个部分：首先，更简单的单个成熟度设置，该设置扩展了经典的银行间网络文献，然后是我们可以研究的多个成熟度设置，我们可以研究系统性风险如何以所得期限结构的形式实现。
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank claims, leading to a forward-backward approach to the equilibrium dynamics whereby future default probabilities are needed to determine today's balance sheets. Distinct from earlier models, the resulting distress contagion acts, endogenously, as a stochastic volatility term that exhibits clustering and down-market spikes. Furthermore, by incorporating multiple maturities, we provide a novel framework for constructing systemic interbank term structures, reflecting the intertemporal risk of contagion. We present the analysis in two parts: first, the simpler single maturity setting that extends the classical interbank network literature and, then, the multiple maturity setting for which we can examine how systemic risk materialises in the shape of the resulting term structures.
