论文标题
动态金融网络的控制（扩展版）
Control of Dynamic Financial Networks (The Extended Version)
论文作者
论文摘要
当前的全球金融系统形成了一个高度相互联系的网络，其中一个节点中的默认值可以传播到许多其他节点，从而造成灾难性的雪崩效应。在本文中，我们考虑了通过引入一些有针对性的干预措施来减轻级联故障效应的问题来减少财务传染的问题。我们考虑了一个多步动态模型的清算付款，并引入了一个外部控制术语，该术语代表执政授权进行的纠正现金注射。提出的控制模型可以作为线性程序施放并有效地解决。我们通过数值示例表明，提出的方法可以通过应用小型目标现金注射大大减少默认传播。
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the financial contagion by introducing some targeted interventions that can mitigate the cascaded failure effects. We consider a multi-step dynamic model of clearing payments and introduce an external control term that represents corrective cash injections made by a ruling authority. The proposed control model can be cast and efficiently solved as a linear program. We show via numerical examples that the proposed approach can significantly reduce the default propagation by applying small targeted cash injections.
