Industrial Engineering and Operations Research, University of California at Berkeley, Berkeley, CA, United States of America.
PLoS One. 2019 Jan 15;14(1):e0209819. doi: 10.1371/journal.pone.0209819. eCollection 2019.
We study the optimal interventions of a regulator (a central bank or government) on the illiquidity default contagion process in a large, heterogeneous, unsecured interbank lending market. The regulator has only partial information on the interbank connections and aims to minimize the fraction of final defaults with minimal interventions. We derive the analytical results of the asymptotic optimal intervention policy and the asymptotic magnitude of default contagion in terms of the network characteristics. We extend the results of Amini, Cont and Minca's work to incorporate interventions and adopt the dynamics of Amini, Minca and Sulem's model to build heterogeneous networks with degree sequences and initial equity levels drawn from arbitrary distributions. Our results generate insights that the optimal intervention policy is "monotonic" in terms of the intervention cost, the closeness to invulnerability and connectivity. The regulator should prioritize interventions on banks that are systematically important or close to invulnerability. Moreover, the regulator should keep intervening on a bank once having intervened on it. Our simulation results show a good agreement with the theoretical results.
我们研究了监管机构（中央银行或政府）在大型、异质、无担保银行间借贷市场中对非流动性违约传染过程的最佳干预措施。监管机构仅对银行间联系有部分信息，并旨在以最小的干预将最终违约的比例最小化。我们根据网络特征推导出了渐近最优干预策略和违约传染的渐近幅度的解析结果。我们将 Amini、Cont 和 Minca 的工作结果扩展到包括干预措施，并采用 Amini、Minca 和 Sulem 的模型的动态来构建具有从任意分布中抽取的度序列和初始权益水平的异质网络。我们的结果产生了一些见解，即最优干预策略在干预成本、接近无懈可击和连通性方面是“单调”的。监管机构应优先对具有系统重要性或接近无懈可击的银行进行干预。此外，一旦对银行进行了干预，监管机构就应该继续对其进行干预。我们的模拟结果与理论结果吻合较好。
