论文标题
最佳网络压缩
Optimal Network Compression
论文作者
论文摘要
本文介绍了金融系统最佳网络压缩问题的公式。该通用公式是针对从初始银行间网络允许的不同级别的网络压缩或重新路由的。我们证明这个问题通常是NP-HARD。我们专注于由全身风险措施产生的目标功能，这是金融网络的震惊。我们使用此框架来研究最大压缩网络的（子）最优性。我们通过研究特定网络的最佳压缩问题来得出结论。这使我们可以更广泛地研究某些网络拓扑的所谓稳健脆弱性以及网络压缩的潜在优势和成本。特别是，在系统的冲击和异质金融网络下，Acemoglu等人的稳健脆弱性结果。 （2015年）一般不再保持。
This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network. We prove that this problem is, generically, NP-hard. We focus on objective functions generated by systemic risk measures under shocks to the financial network. We use this framework to study the (sub)optimality of the maximally compressed network. We conclude by studying the optimal compression problem for specific networks; this permits us to study, e.g., the so-called robust fragility of certain network topologies more generally as well as the potential benefits and costs of network compression. In particular, under systematic shocks and heterogeneous financial networks the robust fragility results of Acemoglu et al. (2015) no longer hold generally.
