SIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 60-98, January 2020.
We examine the effects on a financial network of clearing all contracts though a central node (CN), thereby transforming the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce a structural systemic risk measure that captures the shortfall of end users. We show that it is possible to simultaneously improve the expected surplus of the banks and the CN as well as decrease the shortfall of end users. We determine the CN's equity and guaranty fund policies as a Nash bargaining solution. We illustrate our findings on simulated credit default swap networks compatible with aggregate market data.

中文翻译：

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具有中央节点的网络中的系统性风险

SIAM金融数学杂志，第11卷，第1期，第60-98页，2020年1月。
我们研究了通过中央节点（CN）清算所有合约对金融网络的影响，从而将原始网络转变为星形一。CN通过外部股权和担保基金资本化。我们介绍了一种结构性的系统风险衡量方法，该方法可以捕获最终用户的不足。我们表明，有可能同时提高银行和可兑换债券的预期盈余，并减少最终用户的短缺。我们将CN的股权和保证基金政策确定为Nash讨价还价的解决方案。我们将说明与总体市场数据兼容的模拟信用违约掉期网络的发现。