【荐读语】这是一篇发表在《自然》杂志上的文章,是一篇由动物学家、生态学家以及海洋学家共同撰写的文章,这更是一篇典型的“跨界”研究的文章,名字为:《复杂系统:银行家的生态学》。“银行家”以及“生态学”这两个词中的一个就足以引起人们的兴趣和关注,更何况这是两者叠加在一起。
十年前我曾读过一本书,书名叫《Against The Gods-The Remarkable Story of Risk(有悖于众神-关于风险的著名故事)》,它描述了不确定世界带来的种种风险,包括现代金融的风险。那本书用概率论相关的“不确定性”来看待和分析社会中各种各样的风险。而下面这篇文章,作者基于系统复杂理论,在银行系统和生态系统之间建立起“相似性”,给防范银行系统的风险提供了新的视角,在防范风险的理念提出了明确的建议。
面对眼前的世界,这两个系统对人类社会的影响实在太大了,怎么说都不算过分。然而它们又是那样复杂,倘若依然固执地坚守传统理念和方法就不可避免地要遭遇前所未有的困难,因此让我们一起从这篇论文获得启示。
在这篇文章之后,我们将把此文提到的一篇重要参考文献《美国国家科学院-New Directions for Understanding Systemic Risk (理解系统风险的新方向)》(它实际上是的一篇长达120页的大报告)一并登载出来,作为此文的延续阅读资料。
最后补充说一句,本文作者之一,Simon A. Levin是从数学博士转行为生态学家的美国普林斯顿大学教授,是上面那篇“新方向”报告14位撰写人之一。911事件之后,他曾受邀参加国家核心级范围讨论防范恐怖袭击的理念和措施,并在会上发表了类似本文的观点,尽管这些观点还不为主流派的看法所接受,但是事后的一连串大麻烦倒印证了他的看法,……。
颜基义 2014年1月13日
News and Views 新闻与观点
Nature 451, 893-895 (21 February 2008) | doi:10.1038/451893a; Published online 20 February 2008
Complex systems: Ecology for bankers
复杂系统:银行家的生态学
Robert M. May1, Simon A. Levin2 & George Sugihara1
中文翻译:颜基义
Abstract 摘要
There is common ground in analysing financial systems and ecosystems, especially in the need to identify conditions that dispose a system to be knocked from seeming stability into another, less happy state.
若把金融系统和生态系统细加分析,就会发现在二者间存在着共同点,特别是需要确认在什么条件下,一个看似稳定的系统被推进到另一个处于逊色状态系统的时候,这种共同点就更为明显。
'Tipping points', 'thresholds and breakpoints', 'regime shifts' — all are terms that describe the flip of a complex dynamical system from one state to another. For banking and other financial institutions, the Wall Street Crash of 1929 and the Great Depression epitomize such an event. These days, the increasingly complicated and globally interlinked financial markets are no less immune to such system-wide (systemic) threats. Who knows, for instance, how the present concern over sub-prime loans will pan out?
'临界点','阈值和断裂点“,”政体更替“ - 都是描述一个复杂的动力系统从一个状态转换到另一个状态。 对于银行和其他金融机构,华尔街1929年崩盘和大萧条均属此类事件的缩影。 近来,越来越复杂和相互链接的全球金融市场不折不扣属于这种系统,即一种广受(系统的)威胁的系统。比如说,谁会知道目前备受关注的次级贷款将如何冒出来呢?
Well before this recent crisis emerged, the US National Academies/National Research Council and the Federal Reserve Bank of New York collaborated1 on an initiative to "stimulate fresh thinking on systemic risk". The main event was a high-level conference held in May 2006, which brought together experts from various backgrounds to explore parallels between systemic risk in the financial sector and in selected domains in engineering, ecology and other fields of science. The resulting report1 was published late last year and makes stimulating reading.
正好在这次危机出现之前,美国国家科学院/国家研究理事会和纽约联邦储备银行合作1的一项倡议中提出了“关于系统性风险令人鼓舞的新思维”。 这个倡议主要基于在2006年5月举行的一次高级别会议,来自不同背景的专家聚集在一起,共同探讨在金融部门与工程,生态和科学等特定领域之间系统性风险之间的相似之处。会议形成的报告1是去年年底公布,在阅读时颇具刺激性。
Catastrophic changes in the overall state of a system can ultimately derive from how it is organized — from feedback mechanisms within it, and from linkages that are latent and often unrecognized. The change may be initiated by some obvious external event, such as a war, but is more usually triggered by a seemingly minor happenstance or even an unsubstantial rumour. Once set in motion, however, such changes can become explosive and afterwards will typically exhibit some form of hysteresis, such that recovery is much slower than the collapse. In extreme cases, the changes may be irreversible.
一个系统整体状态的中的灾难性变化会最终来自该系统的组织方式 —— 诸如,内部的反馈机制,那些潜在的、往往被忽视的链接。事情的变化会是由一些明显的外部事件(如战争),但更通常是由一个看似微小的偶然事件,甚至是一个不受注意的谣言引发出来的。这些变化 一旦启动就势如破竹,并在其后通常会继续延迟,使得恢复过程要比倒塌过程慢得多。 在极端情况下,这些变化可能是不可逆转的。
As the report1 emphasizes, the potential for such large-scale catastrophic failures is widely applicable: for global climate change, as the greenhouse blanket thickens; for 'ecosystem services', as species are removed; for fisheries, as stocks are overexploited; and for electrical grids or the Internet, as increasing demands are placed on both. With its eye ultimately on the banking system, the report concentrates on the possibility of finding common principles and lessons learned within this medley of interests. For instance, to what extent can mechanisms that enhance stability against inevitable minor fluctuations, in inflation, interest rates or share price for example, in other contexts perversely predispose towards full-scale collapse?
正如报告1强调指出的那样,对于大规模的灾难性后果具有很广泛应用潜力,诸如:全球气候变化中的温室护层变厚,“生态系统服务”中的物种消亡,渔业中过度捕获;以及电网或互联网中都会发生的需求猛增。 该报告最终瞄准银行体系,视点集中在各种利益混搭之中有没有可能寻找出共同的原则和教训。 例如,在何种程度上可以从机制上增强稳定性,来对付那些在通胀率上不可避免的小幅涨,以及在利率或股票价格的情形中,来能对付在其他情况下很可能会导致全面崩溃的发生?
Two particularly illuminating questions about priorities in risk management emerge from the report. First, how much money is spent on studying systemic risk as compared with that spent on conventional risk management in individual firms? Second, how expensive is a systemic-risk event to a national or global economy (examples being the stock market crash of 1987, or the turmoil of 1998 associated with the Russian loan default, and the subsequent collapse of the hedge fund Long-Term Capital Management)? The answer to the first question is "comparatively very little"; to the second, "hugely expensive".
在此报告中,有两个关于风险管理的优先事项的问题特别醒目:一,与个体企业传统的风险管理花销相比较,该花多少钱用来研究系统性风险? 二,对于一个国家经济或全球经济的系统风险事件(诸如1987年的股市崩盘,或1998年与俄罗斯贷款违约相关的动荡,对冲基金长期资本管理公司带来的随后崩溃)来讲,要花多少钱才能加以遏制?第一个问题的答案是“相对很少”,而第二个问题的答案却是“耗资巨大的”。
An analogous situation exists within fisheries management. For the past half-century, investments in fisheries science have focused on management on a species-by-species basis (analogous to single-firm risk analysis). Especially with collapses of some major fisheries, however, this approach is giving way to the view that such models may be fundamentally incomplete, and that the wider ecosystem and environmental context (by analogy, the full banking and market system) are required for informed decision-making. It is an example of a trend in many areas of applied science acknowledging the need for a larger-system perspective.
在渔业管理中存在着类似的情况。 在过去的半个世纪中,渔业科技的投资都集中在一类一类物种的管理上(类似于单一企业风险分析)。 特别是当某些主要鱼类大规模消失之后,让人们认识到这样的研究模型很可能从根本上就是不完整的,而且还认识到,为了做出明智决策还需要了解更广泛的生态系统和环境背景(类似于全面的银行和市场系统)。 这例子说明了这样一种趋势,当我们在很多领域应用科学知识的时候,必须了解一个大系统的方方面面。
But to what extent can study of ecosystems inform the design of financial networks in, for instance, their robustness against perturbation? Ecosystems are robust by virtue of their continued existence. They have survived eons of change — continental drift, climate fluctuations, movement and evolution of constituent species — and show some remarkable constancies in structure that have apparently persisted for hundreds of millions of years: witness, for example, the constancy in predator–prey ratios in different situations2. Identifying structural attributes shared by these diverse systems that have survived rare systemic events, or have indeed been shaped by them, could provide clues about which characteristics of complex systems correlate with a high degree of robustness.
然而,对生态系统要研究到何种程度,才能让金融网络之类的设计能够具有应对扰动的鲁棒性呢? 生态系统之所亦如此鲁棒,是得益于其持续存在。 它们随变永生 —— 大陆漂移,气候波动,组成各类物种的运动和进化—— 并展示出在结构上非凡的稳定,其结构显然已经持续了亿万年之久:比如说,在各种不同的形势下均可见证捕食的比例恒定不变2 。 很多系统要么具有存活的罕见的系统性事件,要么业已由这些事件形成其特有形态,通过识别那些隐藏在这些形形色色系统中的结构性属性,就可以为我们提供探索的路径,去了解到底是哪些复杂系统的特点关联着高水准的鲁棒性。
An example of this kind emerges from work on the network structure of communities of pollinators and the plants they pollinate3. These networks are disassortative, in the sense that highly connected 'large' nodes tend to have their connections disproportionately with 'small' nodes; conversely, small nodes connect with disproportionately few large ones. The authors3 show that such disassortative networks tend to confer a significant degree of stability against disturbance. More generally, ecologists and others have long suggested that modularity — the degree to which the nodes of a system can be decoupled into relatively discrete components — can promote robustness. Thus, a basic principle in the management of forest fires and epidemics is that if there is strong interconnection among all elements, a perturbation will encounter nothing to stop it from spreading. But once the system is appropriately compartmentalized — by firebreaks, or vaccination of 'superspreaders' — disturbance or risk is more easily countered.
这类涌现的一个例子来自基于授粉社区及其授粉植物组成的网络结构的著述3 。 这些网络是异配的,这是指高度关联的“大”节点往往连接着不成比例的“小”节点,反之,小的节点连接着不成比例的某些大节点。 作者3表明,这种异配网络在对付干扰上往往具有很显著的稳定性。 更一般地说,生态学家和其他人早就提出,模块化 ——阶度,是指系统节点可以与相对离散的元素耦合的程度 ——可以促进鲁棒性。 因此,对于森林火灾和流行病管理的一个基本原则是,如果所有元素都是高度互连,一个扰动就会不受阻拦地进行蔓延。 可是,一旦系统被适当分隔 ——例如由防火带分隔,或由“超级广泛”的预防接种等 —— 灾难或风险则更容易受到遏制。
As the report1 notes, this is a complicated question, because modularity will often involve a trade-off between local and systemic risk. Moreover, the wrong compartmentalization in financial markets could preclude stabilizing feedbacks, such as mechanisms for maintaining liquidity of cash flows through the financial system, where fragmentation leading to illiquidity could actually increase systemic risk (as in the bank runs leading to the Great Depression). Redundancy of components and pathways, in which one can substitute for another, is also a key element in the robustness of complex systems, and effective redundancy is not independent of modularity.
正如报告1指出,这是一个复杂的问题,因为模块化往往会涉及到本地风险和系统风险之间的权衡。 此外,在金融市场进行错误的条块分割,可能会妨碍稳定的反馈,例如对于通过金融系统保持现金流动性的机制,流动性的碎片化实际上会增加的系统性风险(如银行挤兑导致大萧条)。 元素和通路的冗余,其中一个可以替换为另一个的,也是复杂系统鲁棒性的关键因素,此外,有效冗余不是与模块化无关。
In short, the dynamical implications of the topology of financial networks emerge as good candidates for further research. This is a lively field: the interplay between network topology and random or targeted 'attack' has also provided insights for the control of infectious diseases4 and the defence of networks such as the Internet5.
简而言之,金融网络的拓扑结构的动态内涵于是脱颖而出,成为了进一步研究很好的备选课题。 这是一个生气蓬勃的领域:在网络拓扑与随机或有针对性的“攻击”之间的相互作用业已为感染性疾病的控制4和网络(如Internet)的防御5 提供深刻见解。
Following this theme, the Federal Reserve Bank of New York commissioned a study6 of the topology of interbank payment flows within the US Fedwire service (Fig. 1); this is a real-time settlement system, operated by the Federal Reserve System, within which some 9,500 participating banks transfer funds. The sample from this network amounted to around 700,000 transfers, with just over 5,000 banks involved on an average day (ecologists studying food webs can only dream of such high-quality data). The authors6 find the connectivity of this network — the ratio of the number of banks or nodes connected by one or more transfers to the total number of possible connections (essentially 0.5n2, where n is the number of banks) — is very low, around 0.003. This connectivity is characterized by a relatively small number of strong flows (many transfers) between nodes, with the vast majority of linkages being weak to zero (few to no flows). On a daily basis, 75% of the payment flows involve fewer than 0.1% of the nodes, and only 0.3% of the observed linkages between nodes (which are already extremely sparse). This kind of inequitability in linkage strengths (with most links being weak) is thought to predominate and help stabilize some ecological networks.
根据这一主题,纽约联邦储备银行委托进行一项研究6 ,内容涉及美国联邦资金转账系统服务,是银行间支付流的拓扑结构(图1。);这是一个实时结算系统,由联邦储备系统操作,内其中约9,500参与银行转移资金。 这个网络样本达到70万左右个转让方,平均每天参与数就超过5,000个银行(对于研究食物网络的生态学家而言,如此高品质的数据简直就是梦想)。 作者6求出了该网络的连通程度——银行总数,或者与一个或多个转让方相链接的节点总数与所有可能连接的总数(基本上为0.5n2,n为银行或节点的数目)的比率2——是非常低的,大约为0.003。 这种链接程度的特点是一个相对小的数字来刻画,这个小数字来自节点之间的强流(很多转移方),也来自那些几乎是是弱到零(一星半点流量)的硕大无比的链接。按照一天来说,支付流量的75%所涉及的节点少于总结点数的0.1%,而在节点间的链接能够观察到的数目仅占0.3%(这已属非常稀疏的情形)。 这种链接强度上的不均衡性(大多数链接都是弱链接)被认为占有主导地位,并能帮助生态网络起到稳定作用。
Figure 1: The Fedwire interbank payment network.
联邦资金转账系统跨行支付网络
a, This 'furball' depiction takes in thousands of banks and tens of thousands of links representing US$1.2 trillion in daily transactions. b, The core of the network, with 66 banks accounting for 75% of the daily value of transfers, and with 25 of the banks being completely connected. Every participating bank, and every transaction, in the full network is known (akin to an ecologist knowing all species in an ecosystem, and all flows of energy and nutrients). So the behaviour of the system can be analysed in great detail, on different timescales and, for example, in response to events such as 9/11. (Reproduced from ref. 9.)
a,这个“furball”(毛茸茸球状物)描写发生在数千家银行以及数万个连接中的,并反映了每天多达1.2万亿美元的交易。b,网络的核心环节数以万计,拥有66银行,占转移支付的日常值的75%,并与25银行完全连接。 每一个参与银行,和每一笔交易,在整个网络是已知的(类似于一个生态学家知晓生态系统中的所有物种,知晓能量和营养素的所有流量)。 这样的系统的行为可以做更详细的分析,采取不同的时间尺度,并且可以做诸如9月11日的事件的响应。 (转载自文献9 。)
Overall, the topology of this Fedwire network is highly disassortative: large banks were disproportionately connected to small banks, and vice versa; the average bank was connected to 15 others, but this does not give an accurate idea of the reality in which most banks have only a few connections while a small number of 'hubs' have thousands. These strongly nonrandom and disassortative characteristics of the bank-transfer network are, as noted above, shared by some ecological systems. They also resonate with theoretical studies suggesting that sparseness of strong linkages can confer greater stability in systems whose components (nodes, banks, species) have some self-regulation7, 8.
总体而言,这一联邦资金转账系统网络的拓扑结构是高度不相匹配的:大型银行不成比例地与小型银行链接,反之亦然;平均来说,一个银行与其他15方相链接,但是这并没有给现实以精确地描述,大多数银行只有少量的链接,而小数目的链接'枢纽'有成千上万。 银行传输网络这些强烈的非随机不相匹配的特点,如上所述,为某些生态系统所共有。 这也与理论研究共鸣,于是认可这样的结论:强有力的联系的稀疏性可以赋予系统更强的稳定性,只要系统中的要素(节点,银行,物种)具有一定的自我调节机制7, 8 。
These insights must be viewed against the reality that the payments system may not always be the relevant network for understanding systemic events. As the report notes, political and social networks may emerge to play a larger role in liquidity transactions and/or in the spread of rumours, which can ultimately influence the tides of fear and greed, and thence consensus valuation of markets. In this way the ever-changing finance problem, despite having certain resemblances to that posed in understanding ecosystems, is different from the fixed networks considered in physical sciences. The report puts it succinctly: "the odds on a 100-year storm do not change because people think that such a storm has become more likely". Emphasizing the point is this observation1:
这些见解必须被视为有悖于这样的现实,支付系统可能并不总是理解系统事件的相关网络。 正如报告所指出,政治和社会网络可能在流动性交易和传言传播中发挥更大作用,因为这些东西最终会成为恐惧和贪婪的巨浪、市场价值的共识。 通过这种方式,不断变化的金融问题,虽说与理解生态系统有一定的相似之处,但是与物理科学考虑的固定网络是不相同的。报告简洁地写道:“百年一遇暴风雨的可能性并没改变,而人们认为这样的暴风雨可能性变得更大了”。要强调的是如下观察1 :
"... in contrast to management of the electric power grid, there are only coarse or indirect options for control of the financial system. The tools available to policymakers — such as those used by central banks — are designed to modify individual incentives and individual behaviors in ways that will support the collective good. Such top-down efforts to influence individual behaviors can often be effective, but it is still difficult to control the spread of panic behavior or to manage financial crises in an optimal way. Within the financial system, robustness is something that emerges; it cannot be engineered."
“......与电网管理相比,金融体系在控制上只提供粗糙的,或者间接的选项。提供给政治决策者的工具 ——诸如那些由中央银行使用的工具——是用来设计修改个人动因和个人行为,以确保集体的利益。这种自上而下的努力来影响个人的行为往往是有效的,但它仍然难以控制恐慌行为的蔓延,或以最佳方式去管控金融危机。在金融体系,鲁棒性这玩意儿只可能涌现,却不可能铁定管控“。
Thus, although the study of payment flows is of immediate interest to central bankers, it may miss an essential aspect of systemic risk, namely the 'contagion dynamics' of public perceptions and asset valuation associated with the interaction of balance-sheets (the mutual financial obligations and exposures that link companies). For example, how contagious are inflated valuations of Internet stocks? Are there hidden, mutually dependent risks associated with such high valuations? It could be useful to examine the dynamic network of balance-sheets, and if possible to quantify the inter active effects of valuations, credit policies, hedging and so on among financial institutions, especially investment banks. Such balance-sheet networks could be helpful in studying the effects of asset-pricing bubbles, credit crises and the poorly understood but potentially worrying effects of the current widespread use of derivatives (futures and options) and dynamic hedging by investment banks to manage risk on the fly. Whatever the case, it seems that the ephemeral networks that define financial reality and global markets are a key to understanding the ecology of market robustness and its potential vulnerability to collapse.
因此,虽然对于中央银行而言,支付流的研究属于眼前利益的事情,可能会错过系统性风险的重要方面,即公众看法的“传染动力学”,以及与资产负债表(相互债务义务和连接公司的展示情况)互动相关联的资产估值。 例如,网络股的夸大估值是如何传染开来的? 而如此高的估值相互依赖的风险又是如何被隐藏起来的? 为此,就需要考查资产负债表的动态网络,而且如果可能,就得把金融机构之间,尤其是投资银行之间,信贷政策,对冲等的内部活动效应加以量化。对于研究资产定价泡沫、信贷危机的影响,以及知之甚少,但确实令人担忧的那些目前广泛使用的衍生产品(期货及期权)和投资银行从事的动态对冲以管控那些满天飞的风险等因素带来的影响,这样的资产负债表网络都很有帮助的。 无论如何,情况似乎是这样,确定财政现实和全球市场的那个短暂性网络乃是理解市场生态鲁棒性以及会导致崩溃的潜在漏洞的关键。
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10.
1.Robert M. May is in the Department of Zoology, University of Oxford, Oxford OX1 3PS, UK.
Email: robert.may@zoo.ox.ac
2. Simon A. Levin is in the Department of Ecology and Evolutionary Biology, Princeton University, Princeton, New Jersey 08544, USA.
Email: slevin@eno.princeton.edu
3. George Sugihara is at the Scripps Institute of Oceanography, University of California, San Diego, 9500 Gilman Drive, La Jolla, California 92093, USA.
Email: ukgsugihara@ucsd.edu