Khảo sát phân tích dựa trên mạng lưới và đo lường rủi ro hệ thống

Journal of Economic Interaction and Coordination - Tập 13 - Trang 241-281 - 2016
Andre R. Neveu1
1James Madison University, Harrisonburg, USA

Tóm tắt

Cuộc khủng hoảng tài chính đã dẫn đến một loạt các biện pháp đo lường rủi ro hệ thống mới và sự quan tâm trở lại về rủi ro lây lan. Bài báo này khảo sát tài liệu về rủi ro hệ thống với trọng tâm là tầm quan trọng của những đóng góp từ những người nhấn mạnh tiếp cận dựa trên mạng lưới, và cách mà điều đó so sánh với các phương pháp thường được sử dụng hơn. Nghiên cứu về rủi ro hệ thống thường cho thấy rằng rủi ro lây lan qua các tác động domino là tối thiểu, do đó nhấn mạnh việc tập trung vào khả năng phục hồi của hệ thống tài chính trước các cú sốc vĩ mô rộng lớn. Công việc lý thuyết, phương pháp học và thực nghiệm được xem xét một cách phê bình để cung cấp cái nhìn sâu sắc về cách và lý do tại sao các nhà quản lý đã nhấn mạnh vào việc bãi bỏ quy định, đa dạng hóa, quy định dựa trên kích thước và các biện pháp rủi ro hệ thống đồng nhất dựa trên danh mục đầu tư. Hơn nữa, trong bối cảnh phân tích mạng lưới, bài báo này xem xét và đánh giá một cách có phê bình các biện pháp rủi ro hệ thống mới được tạo ra. Phân tích mạng và các phương pháp mô hình dựa trên tác nhân để hiểu biết về hình thành mạng lưới hứa hẹn sẽ giúp hiểu rõ hơn về sự lây lan, và cũng phát hiện các hệ thống mỏng manh trước khi chúng sụp đổ. Lý thuyết và bằng chứng được thảo luận ở đây chỉ ra rằng các nhà quản lý và các nhà nghiên cứu cần có sự hiểu biết sâu sắc hơn về cách mà hình thái học, yêu cầu vốn và thanh khoản tương tác.

Từ khóa

#rủi ro hệ thống #phân tích mạng #mô hình dựa trên tác nhân #lây lan #khả năng phục hồi hệ thống tài chính

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