We introduce a general model for the balance‐sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximizes individual and total equity values for all banks. We apply our model to the assessment of systemic risk and in particular for the case of stress testing. Further, we provide a fixed‐point algorithm to carry out the network valuation and the conditions for its convergence.

中文翻译：

---

金融系统中的网络评估

我们引入了一种通用模型，用于在互连的金融系统中对银行间同业债权的资产负债表进行一致的估值。我们的模型代表了相互依赖负债清算模型的扩展，以解决银行外部资产存在不确定性的问题。同时，它也将经典的结构性信用风险模型自然地扩展到互连系统的情况。我们描述了估值的存在性和独特性，该估值使所有银行的个人和总股权价值最大化。我们将模型应用于系统性风险评估，尤其是在压力测试的情况下。此外，我们提供了一个定点算法来执行网络评估及其收敛条件。