Resumen de A Complexity Model for the Financial and Real Estate Crisis
- español
Este trabajo explica cómo establecer un modelo para predecir ela ruptura (burst) de las crisis económicas específicas, en particular, aquellas que se basan en MBS o hipotecas sobre viviendas financiadas para obtener fondos mediante la titulización de deuda hipotecaria. El proceso puede verse como una combinación de un modelo BTW (sandpile) implementado a través de un modelo RGM. La crisis española de 2000-2008 es un buen ejemplo de ello. La previsión a corto plazo significa que puede hacerse mientras se desarrolla el proceso, no años después.
- English
We want to look for a method to detect real estate crises as soon as possible (early warning) in particular applied to financial institutions channeling mortgage debt as collateral in MBS (Mortgage Backed Securities) thus raising new funds to continue with the mortgage activity until the collapse. The Pile of Sand (Sandpile) narrative is often an invariant scheme that accompanies this type of crisis: The formation of the debt pile, the critical point that triggers the bond default and the avalanche and contagion to other assets is recurrent because the inability of the process to track defaulting assets. Potential Law is a characteristic of the Sandpile and is present in one way or another in the process and we must check if shown by the data. We have studied the Spanish Real Estate Crisis of 2000-2008 and found that it responds to the aforementioned scheme. Finally, as theoretically crisis are named large avalanches we propose, set an alert threshold during the accumulation of debt as a risk signal beyond which a catastrophe can happen by means of the Neyman-Pearson Lemma. We believe that the implication of this alert is of decisive importance to the regulator.
