Diversification in Financial Networks May Increase Systemic Risk
نویسندگان
چکیده
It has been pointed out in the macroeconomics and financial risk literature that risk-sharing by diversification in a financial network may increase the systemic risk. This means roughly that while individual agents in the network, for example banks, perceive their risk of default or insolvency decrease as a result of cooperation, the overall risk, that is, the risk that several agents may default simultaneously, or nearly so, may in fact increase. We present the results of a recent mathematical study that addresses this issue, relying on a mean-field model of interacting diffusions and its large deviations behavior. We also review briefly some recent literature that addresses similar issues.
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تاریخ انتشار 2012