Robust Risk Quantification via Shock Propagation in Financial Networks
针对银行间网络结构信息不完全带来的不确定性，提出一种稳健优化方法，估算特定银行群体的最坏情况违约概率和资本要求，为监管机构收集可操作的网络信息提供见解。
Robust Risk Quantification via Shock Propagation in Financial Networks Despite the significance of risk contagion in financial networks, uncertainties arise in interbank network structures because of limited information. To address this, proposed is a robust optimization approach to estimate worst-case default probabilities and capital requirements for a specific group of banks (e.g., systemically important financial institutions). By applying this tool, we analyze the impact of different incomplete network information structures and gain regulatory insights into gathering actionable network information.