Games and Economic Behavior · 2026 · Mohamed Belhaj、Renaud Bourlès A、Frédéric Deroı̈an
中文摘要
我们分析了通过交叉持股关系相互关联的金融机构的风险承担行为。我们在资产收益存在极端风险的条件下,通过对基于在险价值的风险管理(即以目标违约概率为管理目标)进行建模,将违约风险纳入考量,从而内生化风险敞口。我们将风险承担行为与一个刻画损失在网络内传播的中心性指标相联系,并表明网络一体化会提高风险承担水平和预期收益。然而,我们也表明网络一体化会导致更大的预期短缺,这表明债权人面临更大的损失敞口。我们探讨了交叉持股网络对监管实施(特别是通过资本要求)的影响,并识别出关键机构,即对风险资产总投资影响最大的机构。
Abstract
We analyze risk-taking behaviors of financial institutions linked through cross-shareholding relationships. We endogenize risk exposure accounting for default risk by modeling Value-at-Risk-based risk-management – that is targeted default probabilities – in the presence of extreme risk on asset return. We relate risk-taking behaviors to a centrality measure that captures the propagation of losses within the network, and show that network integration increases risk-taking levels and expected return. However, we show that network integration also results in larger expected shortfall, indicating greater exposure to losses for creditors. We explore the impact of the cross-shareholding network on the implementation of regulation, particularly through capital requirements, and identify key institutions, those with the highest influence on aggregate investments in risky assets.