Assessing and mitigating fire sales risk under partial information
利用欧洲银行管理局压力测试数据，研究在仅掌握部分信息时如何通过网络重构方法评估和缓解银行的抛售风险，发现基于重构网络的干预措施优于仅按机构规模决策的临时方法。
We consider the problem of assessing and mitigating fire sales risk for banks under partial information. Using data from the European Banking Authority's stress tests, we consider the matrix of asset holdings of different banks. We first analyse fire sales risk under both full and partial information using different matrix reconstruction methods. We then investigate how well some policy interventions aimed at mitigating fire sales risk perform if they are applied based on only partial information. We find that even under partial information, using suitable network reconstruction methods to decide on policy interventions can significantly mitigate risk from fire sales. Furthermore, we show that some interventions based on reconstructed networks significantly outperform ad hoc methods that decide on interventions only based on the size of an institution and do not account for overlapping portfolios.