世界経済・社会統計 = World development indicators

The structure and dynamics of multilayer networks

Many ``real-world'' networks are clearly defined while most ``social'' networks are to some extent subjective. Indeed, the accuracy of empirically-determined social networks is a question of some concern because individuals may have distinct perceptions of what constitutes a social link. One unambiguous type of connection is sexual contact. Here we analyze data on the sexual behavior of a random sample of individuals, and find that the cumulative distributions of the number of sexual partners during the twelve months prior to the survey decays as a power law with similar exponents $\alpha \approx 2.4$ for females and males. The scale-free nature of the web of human sexual contacts suggests that strategic interventions aimed at preventing the spread of sexually-transmitted diseases may be the most efficient approach.

The Web of Human Sexual Contacts

Financial systems are crucial to the allocation of resources in a modern economy. They channel household savings to the corporate sector and allocate investment funds among firms; they allow intertemporal smoothing of consumption by households and expenditures by firms; and they enable households and firms to share risks. These functions are common to the financial systems of most developed economies. Yet the form of these financial systems varies widely. In the United States and the United Kingdom competitive markets dominate the financial landscape, whereas in France, Germany, and Japan banks have traditionally played the most important role. Why do different countries have such different financial systems? Is one system better than all the others? Do different systems merely represent alternative ways of satisfying similar needs? Is the current trend toward market-based systems desirable? Franklin Allen and Douglas Gale argue that the view that market-based systems are best is simplistic. A more nuanced approach is necessary. For example, financial markets may be bad for risk sharing; competition in banking may be inefficient; financial crises can be good as well as bad; and separation of ownership and control can be optimal. Financial institutions are not simply veils, disguising the allocation mechanism without affecting it, but are crucial to overcoming market imperfections. An optimal financial system relies on both financial markets and financial intermediaries.

比较金融系统 = Comparing financial systems

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure, and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its future robustness.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1577043_code459244.pdf?abstractid=1577043&mirid=1

Contagion in Financial Networks

We introduce the technique of worst case search to macro stress testing. Among the macroeconomic scenarios satisfying some plausibility constraint we determine the worst case scenario which causes the most harmful loss in loan portfolios. This method has three advantages over traditional macro stress testing: First, it ensures that no harmful scenarios are missed and therefore prevents a false illusion of safety which may result when considering only standard stress scenarios. Second, it does not analyse scenarios which are too implausible and would therefore jeopardize the credibility of stress analysis. Third, it allows for a portfolio specific identification of key risk factors. Another lesson from this paper relates to the use of partial stress scenarios specifying the values of some but not all risk factors: The plausibility of partial scenarios is maximised if we set the remaining risk factors to their conditional expected values.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1149952_code735084.pdf?abstractid=1149952&mirid=1

Macroeconomic Stress and Worst Case Analysis of Loan Portfolios

This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) that monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equilibrium model with financial markets. Borrowers may default in equilibrium and returns on loans are determined endogenously. Restricted to a special form of mean variance preferences, we derive a version of the capital asset pricing model with bankruptcy. In this case, we can characterize equilibrium prices and allocations and discuss implications for credit risk modeling.

/pdf/credit-risk-in-general-equilibrium-yan9pc28jr.pdf

Credit risk in general equilibrium

Stress-testing the Banking System: An integrated approach to stress-testing: the Austrian Systemic Risk Monitor (SRM)

Bank insolvency law, bank restructuring and the recapitalization of banks are not only legal or administrative issues but are of preeminent economic importance. To highlight the economic perspective, the OeNB hosted a two-day workshop on September 16 and 17, 2010, that was organized jointly by the OeNB’s Economic Studies Division and the Bonn-based Max Planck Institute for Research on Collective Goods. Controversial and intense discussions proved that there are many innovative ideas to tackle the problems but that there is also a great need for economic policy discussion.

/pdf/the-economics-of-bank-insolvency-restructuring-and-d3k7b22b19.pdf

The Economics of Bank Insolvency, Restructuring and Recapitalization

We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic situation. Portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no unlimited arbitrage. The power of no arbitrage techniques is preserved in the sense that no specific assumptions about utility functions of investors have to be made.

Martin Summer

Papers

Macroeconomic Stress and Worst Case Analysis of Loan Portfolios

Credit risk in general equilibrium

Stress-testing the Banking System: An integrated approach to stress-testing: the Austrian Systemic Risk Monitor (SRM)

The Economics of Bank Insolvency, Restructuring and Recapitalization

Arbitrage and Portfolio Constraints