EAGER: Modeling systemic risk: Finding precursors of emerging financial crises

EAGER：系统性风险建模：寻找新兴金融危机的前兆

• 批准号: 1452061
• 负责人: Irena Vodenska
• 金额: $ 5.77万
• 依托单位: Trustees of Boston University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-09-15 至 2015-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1452061&HistoricalAwards=false
• 关键词: EAGER; Modeling; systemic; risk; Finding

In our modern world, the critical infrastructure systems like electric power, water supply telecommunications and banking and finance that affect all areas of daily life are usually interdependent. Even though systemic risk is not unique to markets and financial institutions, the far-reaching consequences from the failure of a financial institution are in general much more significant than the impact of the demise of a non-financial institution. The failure of individual companies within a particular industry will not propagate throughout the corporate system, but the failure of a one large bank can bring the economy to the brink of disaster. This proposal will use tolls from economics, physics, computer science and statistics to build a model that will monitor financial systems and develop an early warning system for impending financial crises. The goal of this project is to use concepts from complexity science and interdependent network theory to create a signaling mechanism for potential financial crisis cascades based on the complex interdependencies of different economic and financial networks. The research will demonstrate short-range and long-range correlations in interacting networks and identify and describe the dependencies of different financial networks as a complex system. It will model the cascading effect of a crisis using dependency links that connect the failure of one network node to the failure of another network node. The proposal will combine information from bank analysis, investor sentiments, sovereign debt and regulatory frameworks to create monitoring system and a potential early warning for the global financial system.

在现代世界，电力、供水、电信、银行和金融等影响日常生活各个领域的关键基础设施系统通常是相互依赖的。尽管系统性风险并非市场和金融机构所独有，但金融机构倒闭所造成的深远后果通常比非金融机构消亡的影响要严重得多。特定行业内个别公司的倒闭不会蔓延到整个公司系统，但一家大型银行的倒闭可能会将经济推向灾难的边缘。该提案将利用经济学、物理学、计算机科学和统计学的知识来建立一个模型，用于监控金融系统并为即将发生的金融危机开发预警系统。该项目的目标是利用复杂性科学和相互依赖网络理论的概念，根据不同经济和金融网络复杂的相互依赖关系，为潜在的金融危机级联创建信号机制。该研究将展示交互网络中的短期和长期相关性，并识别和描述作为复杂系统的不同金融网络的依赖性。它将使用将一个网络节点的故障与另一个网络节点的故障连接起来的依赖关系来模拟危机的级联效应。该提案将结合银行分析、投资者情绪、主权债务和监管框架的信息，为全球金融体系创建监测系统和潜在的预警。