Liability Concentration and Systemic Losses in Financial Networks
基于优化排序方法，研究金融网络中负债集中度对系统性损失的影响，通过平衡与非平衡网络概念分析其不同后果，并对欧洲八国银行网络进行实证分析，发现系统长期处于非平衡或接近非平衡状态，支持限制单一对手方风险敞口的监管政策。
The objective of this study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the interconnectedness of banks in a financial network. We develop notions of balancing and unbalancing networks to bring out the qualitatively different implications of liability concentration on the system’s loss profile. We illustrate how to identify networks that are balancing or unbalancing, and we make connections to interbank structures identified by empirical research, such as perfect and imperfect tiering schemes. An empirical analysis of the network formed by the banking sectors of eight representative European countries suggests that the system is either unbalancing or close to it, persistently over time. This empirical finding, along with the majorization results, supports regulatory policies aiming at limiting the size of gross exposures to individual counterparties.