摘要 Common asset holdings are widely believed to have

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論文資訊

• 類型：已發表論文
• 日期：2014-06-06

摘要

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a 網絡 approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in terms of a generalized branching process. This can be used to compute the stability for any particular configuration of portfolios. By studying a stylized model we estimate the circumstances under which systemic instabilities are likely to occur as a function of parameters such as leverage, market crowding, diversification, and market impact. Although diversification may be good for individual institutions, it can create dangerous systemic effects, and as a result financial contagion gets worse with too

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