Kobayashi Teruyoshi, Hasui Kohei
Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada, Kobe 657-8501, Japan.
Sci Rep. 2014 Jan 23;4:3834. doi: 10.1038/srep03834.
Many immunization strategies have been proposed to prevent infectious viruses from spreading through a network. In this work, we study efficient immunization strategies to prevent a default contagion that might occur in a financial network. An essential difference from the previous studies on immunization strategy is that we take into account the possibility of serious side effects. Uniform immunization refers to a situation in which banks are "vaccinated" with a common low-risk asset. The riskiness of immunized banks will decrease significantly, but the level of systemic risk may increase due to the de-diversification effect. To overcome this side effect, we propose another immunization strategy, called counteractive immunization, which prevents pairs of banks from failing simultaneously. We find that counteractive immunization can efficiently reduce systemic risk without altering the riskiness of individual banks.
为防止传染性病毒在网络中传播，人们提出了许多免疫策略。在这项工作中，我们研究了有效的免疫策略，以防止金融网络中可能发生的违约传染。与之前关于免疫策略的研究的一个本质区别在于，我们考虑了严重副作用的可能性。统一免疫是指银行用一种共同的低风险资产进行“接种”的情况。接受免疫的银行的风险将显著降低，但由于去多元化效应，系统性风险水平可能会上升。为了克服这种副作用，我们提出了另一种免疫策略，称为反作用免疫，它可以防止成对的银行同时倒闭。我们发现，反作用免疫可以在不改变单个银行风险的情况下有效降低系统性风险。
