CUHK electronic theses & dissertations collection

Financial institutions are interconnected directly by holding debt claims against each other (the network channel), and they are also bound by market liquidity in selling assets to meet debt liabilities when facing distress (the liquidity channel). The goal of our study is to investigate how these two channels of risk transmission interact to propagate individual defaults to a system-wide catastrophe. We formulate the model as an optimization problem with equilibrium constraints and derive a partition algorithm to solve it. The sensitivity analysis on the obtained solution enables us to identify two factors, the network multiplier and the liquidity amplifier, to characterize the contributions of these two channels to financial systemic risk, whereby we can acquire a better understanding of the effectiveness of several policy interventions. The analysis behind the algorithm yields estimates for the contagion probability on the basis of the market value of the institutions' net worths, underscoring the importance of equity capital as a cushion against systemic shocks in the presence of the liquidity channel. The optimization formulation also provides more structural insights to allow us to extend the study of systemic risk to a system with debts of different seniorities and meanwhile presents a close connection to the literature of stochastic networks. Even more, this optimization-based approach and sensitivity analysis can be applied to systems with capital adequacy requirements. Finally, we illustrate the impacts of the network and the liquidity channels — in particular, the significance of the latter — in the formation of systemic risk with data on the European banking system.金融机构之间常常通过相互持有各自的债务而直接相连（这被称为网络渠道），同时，当他们面临困境而被迫需要变卖资产来偿还债务时也必将受到市场流动性的影响（这被称为流动性渠道）。我们这篇论文的目标就是要研究个别金融机构的破产是如何通过这两种渠道的交互作用进行风险传播从而导致整个系统发生灾难的。我们将初始模型转化成一个带有均衡约束的优化问题并推出一个分离算法去找出它的解，从而可以得到一个市场清算均衡。通过对这个均衡做敏感度分析，我们就能进一步得到两个因子来刻画前面介绍的两种渠道对金融系统风险传播所做出的贡献，而这两个因子分别就是网络放大因子和流动性放大因子。除此之外，我们利用敏感度分析还可以对一些政府政策和干预措施的有效性进行更加深入的了解。通过对分离算法的分析，我们还可以进行一些基于金融机构净资产市场的分析，从而估计出破产传染的概率，并且指出主权资本在流动性渠道存在的情况下对于抵抗系统性冲击能够起到重要的缓冲作用。转换而成的优化问题则可以给我们提供更多的结构性的见解，让我们对系统风险的研究可以扩展到带有不同债务优先权的系统当中，同时还可以使我们看到系统风险模型与随机网络的紧密联系。甚至，这些基于优化的方法和敏感度分析还可以应用到带有资本充足率要求的系统之中。最后，我们利用欧洲银行系统的数据进行实证检验分析，从而进一步阐述了网络渠道和流动性渠道（特别是后者）在系统风险传播过程中所产生的影响。Liu, Xin.Thesis Ph.D. Chinese University of Hong Kong 2015.Includes bibliographical references (leaves 104-109).Abstracts also in Chinese.Title from PDF title page (viewed on 12, October, 2016).Detailed summary in vernacular field only