Default cascades: When does risk diversification increase stability?

被引：142

作者：

Battiston, Stefano ^{[1
]}

Gatti, Domenico Delli ^{[2
]}

Gallegati, Mauro ^{[3
]}

Greenwald, Bruce ^{[4
]}

Stiglitz, Joseph E. ^{[4
]}

机构：

[1] ETH, Zurich, Switzerland

[2] Catholic Univ, Milan, Italy

[3] Polit Univ Marche, Ancona, Italy

[4] Columbia Univ, New York, NY USA

来源：

JOURNAL OF FINANCIAL STABILITY | 2012年 / 8卷 / 03期

关键词：

Systemic risk; Network models; Contagion; Financial crisis; SYSTEMIC RISK; LIQUIDITY;

D O I：

10.1016/j.jfs.2012.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We explore the dynamics of default cascades in a network of credit interlink-ages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture in this context is that individual risk diversification across more numerous counterparties should make also systemic defaults less likely. We show that this view is not always true. In particular, the diversification of credit risk across many borrowers has ambiguous effects on systemic risk in the presence of mechanisms of loss amplifications such as in the presence of potential runs among the short-term lenders of the agents in the network. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：138 / 149

页数：12

共 25 条

[1] A theory of systemic risk and design of prudential bank regulation [J].