Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today
构建动态随机银行间模型，引入基于对未来违约担忧的内生困境传染，通过盯市调整使今日资产负债表依赖未来违约概率，并分析多期限下的系统性风险期限结构。
ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default probabilities are needed to determine today's balance sheets. Distinct from earlier models, the resulting distress contagion acts, endogenously, as a stochastic volatility term that exhibits clustering and down‐market spikes. Furthermore, by incorporating multiple maturities, we provide a novel framework for constructing systemic interbank term structures, reflecting the intertemporal risk of contagion. We present the analysis in two parts: first, the simpler single maturity setting that extends the classical interbank network literature and, then, the multiple maturity setting for which we can examine how systemic risk materializes in the shape of the resulting term structures.