کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7376570 1480081 2018 33 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
How the ownership structures cause epidemics in financial markets: A network-based simulation model
ترجمه فارسی عنوان
چگونه ساختارهای مالکیت موجب اپیدمی در بازارهای مالی می شود: یک مدل شبیه سازی مبتنی بر شبکه
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
Analysis of systemic risks and contagions is one of the main challenges of policy makers and researchers in the recent years. Network theory is introduced as a main approach in the modeling and simulation of financial and economic systems. In this paper, a simulation model is introduced based on the ownership network to analyze the contagion and systemic risk events. For this purpose, different network structures with different values for parameters are considered to investigate the stability of the financial system in the presence of different kinds of idiosyncratic and aggregate shocks. The considered network structures include Erdos-Renyi, core-periphery, segregated and power-law networks. Moreover, the results of the proposed model are also calculated for a real ownership network. The results show that the network structure has a significant effect on the probability and the extent of contagion in the financial systems. For each network structure, various values for the parameters results in remarkable differences in the systemic risk measures. The results of real case show that the proposed model is appropriate in the analysis of systemic risk and contagion in financial markets, identification of systemically important firms and estimation of market loss when the initial failures occur. This paper suggests a new direction in the modeling of contagion in the financial markets, in particular that the effects of new kinds of financial exposure are clarified. This paper's idea and analytical results may also be useful for the financial policy makers, portfolio managers and the firms to conduct their investment in the right direction.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 492, 15 February 2018, Pages 324-342
نویسندگان
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