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《Complex Systems and Complexity Science》 2013-04
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Systemic Risk Contagion Based on Interbank Networks

DENG Jing;CAO Shi-nan;PAN Huan-xue;QIN Tao;School of Economics and Management,Beijing Forestry University;Shcool of Banking and Finance,University of International Business and Economics;  
This paper investigates how systemic risk is affected by the structure of the banking system.We construct a banking system that is composed of a number of banks,which are connected by interbank linkages.By examining the key structure parameters of the banking network,including degree(the number of connections of a bank)and link weight(the amount of interbank assets),we analyze the effect of these parameters on the stability of the banking system.We show that interbank linkages have two opposing effects.They can act as"liquidity transmitters"to transfer liquidity from solvent banks to insolvent banks through interbank connections.However,interbank linkages can also act as"risk transmitters";if one bank declares bankruptcy,then the loss can be transmitted to its connected banks.We investigate two environments that are differentiated by whether there is an aggregate shortage of liquidity.The results provide insight into the interplay between the liquidity transmission effect and the risk transmission effect.
【Fund】: 中央高校基本科研业务费专项资金(JGTD2013-02);; 北京林业大学科技创新计划项目(BLX2012002)
【CateGory Index】: F830.3;N94
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【Co-citations】
Chinese Journal Full-text Database 4 Hits
1 Xu Lu;Qian Xuesong;;Impacts of Credit Booms on Bank Fragility——Theoretical and Empirical Analysis Based on China[J];Studies of International Finance;2013-11
2 LI Shou-wei,HE jian-min(School of Economics and Management,Southeast University,Nanjing,Jiangsu 211189,China);Review on Banking Systemic Risk Research[J];Journal of Nanjing University of Aeronautics and Astronautics(Social Sciences);2009-03
3 Zhao Jinwen;Zhang Shengbao;Wei Wenbin;;A Comparison and Application of Systemic Risk Measures[J];Statistical Research;2013-10
4 TONG Mu;HE Yi;Research Center of China Payment System,Southwestern University of Finance and Economics;School of International Business,Southwestern University of Finance and Economics;;Systemic Externalities and Liquidity Rescue Strategies: Systemic Risk in Large Value Payment System[J];Journal of Systems & Management;2013-05
China Proceedings of conference Full-text Database 1 Hits
1 ;Measuring Systemic Risk in Chinese Shadow Banking System[A];[C];2013
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