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

Modern economies need a functioning financial system. In principle, the financial system has four main functions: providing a payment system, matching borrowers and lenders, enabling people to manage their personal finances across their lifetimes and between generations, and sharing and managing risk. Despite the implementation of a series of reforms in 2010, including enhanced capital requirements for banks, new banking resolution legislation and the centralization of derivatives markets, the question whether the current financial system is fit for the future remains unanswered. Critics claim that the financial system today is still very similar to what it was before the financial crisis started in 2007. So is the financial system fit for the future? Will its current structure allow it to fulfill its main functions? Do we need further structural changes? If so, what kind of changes? Are tighter banking regulation, an increasing role for shadow banking and the EU’s project of establishing a capital markets union the way to go? What opportunities and potential risks do such changes involve? How will technological developments like FinTech and digital money shape the future financial system? To shed light on these issues, the Oesterreichische Nationalbank (OeNB) joined forces with SUERF – The European Money and Finance Forum to organize its 44th Annual Economics Conference in Vienna on May 29 and 30, 2017, on the topic The Financial System of the Future.

The financial system of the future

/pdf/using-market-information-for-banking-system-risk-assessment-4nlbgkeitl.pdf

Using Market Information for Banking System Risk Assessment - IJCB - March 2006

We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifies the plausibility of scenarios by considering the distance of the stress scenario from an average scenario. For a given level of plausibility our method searches systematically for the most adverse scenario for the given portfolio. This method therefore gives a formal criterion for judging the plausibility of scenarios and it makes sure that no plausible scenario will be missed. We show how this method can be applied to a range of models already in use among stress testing practitioners. While worst case search requires numerical optimisation we show that for practically relevant cases we can work with reasonably good linear approximations to the portfolio loss function that make the method computationally very efficient and easy to implement. Applying our approach to data from the Spanish loan register and using a portfolio credit risk model we show that, compared to standard stress test procedures, our method identifies more harmful scenarios that are equally plausible.

A systematic approach to multi-period stress testing of portfolio credit risk

For modern macroeconomic theory the infinitely lived representative agent model and the overlapping generations model, are the two most important frameworks of analysis. Both models form a unified approach in the sense that they are competitive general equilibrium models. When it comes to monetary policy however both models give a different answer to the question of the optimal quantity of money. This paper takes a first step in comparing these two different results.

The Optimal Quantity of Money in Overlapping Generations Models and in Models with a Representative Consumer

It is a stylized fact that credit risk is high at the same time when asset values are depressed. However, most of the standard credit risk models ignore this kind of correlation, leading to underestimation of risk measures of portfolio credit risk such as Value at Risk and Expected Shortfall. In our paper we make an attempt to quantify the underestimation of these risk measures when the dependence between credit risk and asset values is ignored and show that credit risk is underestimated by a significant margin.

Martin Summer

Papers

The financial system of the future

Using Market Information for Banking System Risk Assessment - IJCB - March 2006

A systematic approach to multi-period stress testing of portfolio credit risk

The Optimal Quantity of Money in Overlapping Generations Models and in Models with a Representative Consumer

Credit portfolio risk and asset price cycles