论文标题
与平衡策略的脱节和重叠组的系统性风险模型
Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies
论文作者
论文摘要
我们通过提出具有现实游戏功能的新模型来分析脱节和重叠组（例如中央清算对手（CCP））的系统风险。具体而言，我们概括了[F. Biagini，J.-P。 Fouque，M。Frittelli和T. Meyer-Brandis，Finance and Satochastics，24（2020），513--564]，允许各个银行选择自己的首选群体，而不是被分配给某些群体。我们为这些新模型介绍了NASH平衡的概念，并在高斯分布的风险因素分布下分析了最佳解决方案。我们还为单个银行的风险分配提供了明确的解决方案，并从理论上和数字上研究NASH平衡的存在和独特性。开发的数值算法可以模拟平衡方案，我们将其应用于使用真实数据的银行-CCP结构，并显示了所提出模型的有效性。
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F. Biagini, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis, Finance and Stochastics, 24(2020), 513--564] by allowing individual banks to choose their preferred groups instead of being assigned to certain groups. We introduce the concept of Nash equilibrium for these new models, and analyze the optimal solution under Gaussian distribution of the risk factor. We also provide an explicit solution for the risk allocation of the individual banks, and study the existence and uniqueness of Nash equilibrium both theoretically and numerically. The developed numerical algorithm can simulate scenarios of equilibrium, and we apply it to study the bank-CCP structure with real data and show the validity of the proposed model.
