考虑破产清算费用下的金融系统的系统风险.pdfVIP

Finance 金融, 2014, 5, 24-32 Published Online January 2015 in Hans. /journal/fin /10.12677/fin.2015.51004 Systemic Risk in Financial Systems in Consideration of Bankruptcy Liquidation Expenses Shaohua Li, Cuiyun Hao Department of Mathematics, Tongji University, Shanghai Email: lixueshu@ th nd th Received: Dec. 15 , 2014; revised: Jan . 2 , 2015; accepted: Jan . 10 , 2015 Copyright © 2015 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract Systemic risk of a financial system arises from cascading defaults due to liability linkages among institutions. The main work in the paper builds on the modeling paradigm of Eisenberg and Noe (2001), extending it by introducing bankruptcy liquidation expenses. Comparing with the classical model, we discuss the existence and uniqueness of clearing payment vector under the extended model. In classical model, the whole financial system net worth has no loss throughout the clear- ing process. While, in the extended model proposed by the paper, there must be certain loss once some firm is insolvent and the loss is correlated to the magnitude of cascading defaults. Keywords Systemic Risk, Clearing Payment Vector, Bankruptcy Liquidation Expenses 考虑破产清算费用下的金融系统的系统风险 李少华，郝翠芸 同济大学数学系，上海 Email: lixueshu@ 收稿日期：2014年12月15 日；修回日期：2015年1月2 日；录用日期：2015年1月10 日 24 考虑破产清算费用下的金融系统的系统风险 摘 要 一个金融系统的系统风险是由于系统中各机构间的相互债务关联而导致的层叠违约所引起的。本文通过 引入破产清算费用来扩展Eisenberg and Noe (2001)提出的有关系统风险的经典模型，讨论了扩展模型 下清算向量的存在性和唯一性。在经典模型的清算过程中，整个金融系统的净值没有损耗，但在扩展模 型下，一旦有一家机构破产，系统的净值就