Since the subprime mortgage crisis, it is urgent to quantify the systemic financial risk and the network externality from the vulnerable perspective. Based on the overlapping portfolio, this study constructs an optimal leverage decision-making model with deleveraging and the fire sales mechanism to describe the liquidity risk spillover effects. Through the empirical results, the institution of a larger size should be more systematically important. Higher leverages account for more vulnerability, while institutions with higher interest ratios of revenue or cost and capital adequacy ratios would be more invulnerable.

中文翻译：

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投资组合与杠杆决策重叠导致的风险蔓延

次贷危机以来，迫切需要从脆弱的角度量化系统性金融风险和网络外部性。本研究基于重叠投资组合，构建了具有去杠杆和抛售机制的最优杠杆决策模型来描述流动性风险溢出效应。通过实证结果，规模更大的制度应该更具有系统重要性。较高的杠杆率说明了更多的脆弱性，而收入或成本利率和资本充足率较高的机构将更不易受到攻击。