Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《East China Economic Management》 2014-01
Add to Favorite Get Latest Update

An Empirical Study on Systematic Risk of China's Banking Industry before and after the Financial Crisis

LI Shou-wei;HE Jian-min;SUN Jing-chao;TAN Yin-yi;School of Economics and Management,Southeast University;  
Based on the network model,this paper analyzes quantitatively systematic risk of China's banking industry before and after the financial crisis.Though the use of data on lending and borrowing capital among various types of financial institu tions in the interbank market from 2006 to 2011,the paper establishes network models of financial institutions.The network models facilitate simulations and stress testing to demonstrate shock transmission process,and analyze the risk exposure among financial institutions.The empirical study shows that,before and after the financial crisis,the default of any type of financial institutions is not enough to trigger the systematic risk;the state-owned commercial banks and other commercial banks are at the core position in the interbank market.
【Fund】: 国家自然科学基金项目“基于计算实验方法的银行系统性风险演化模型研究”(71201023);国家自然科学基金项目“股市模仿性羊群行为涌现、演化和治理的系统建模:基于社会网络视角”(71301078);; 教育部人文社会科学研究青年基金项目“后金融危机时代中国银行业系统性风险测度与预警研究”(12YJC630101)
【CateGory Index】: F832.3
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【Citations】
Chinese Journal Full-text Database 3 Hits
1 Ma Junlu, Fan Xiaoyun and Cao Yuantao(Department of Finance, Nankai University);Estimating Bilateral Exposures in the China Interbank Market:Is There a Systemic Contagion?[J];Economic Research Journal;2007-01
2 Gong Xiaolin(Caelyn) and Bian Jiang(The Wharton School,University of Pennsylvania and School of Management,Shandong University);Quantifying Sector-Level Balance Sheet Contagion——China's Macro-Financial Risk Analysis[J];Economic Research Journal;2010-07
3 ;银行系统性风险的传染模型研究[J];Journal of Finance;2005-08
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 Li Jing-ting1 & Meng Fan-wang2(1.School of Banking and Finance,University of International Business and Economics,Beijing 100029,China; 2.School of Marxism,Peking University,Beijing 100871,China);A Study on the Effect of Macro-Prudential Regulations to Control Contagious Banking Risks[J];Journal of Beijing Technology and Business University(Social Science);2012-03
2 HU Jian-sheng,WU Qing,ZHOU Chang-fu,LU Cai-lan(School of Economics,Nanjing University,Nanjing 210093,China);The Thinking of Construction of Macro-Prudential Regulation in Post-Crisis Era[J];Commercial Research;2011-10
3 GAO Zhi-yong (Department of International Economics and Business,Xiamen University,Xiamen,Fujian 361005,China);Systemic Risk and Macro-prudential Regulation:Empirical Research on U.S. Banks[J];The Theory and Practice of Finance and Economics;2010-03
4 Li Shouwei He Jianmin Zhuang Yaming(School of Economics and Management, Southeast University, Nanjing 211189, China);Network efficiency analysis of Chinese inter-bank market[J];东南大学学报(英文版);2010-03
5 LI Shou-wei,HE Jian-min,ZHUANG Ya-ming,SHI Ya-ming(School of Economics and Management,Southeast University,Nanjing 211189,China);The Construction of Network Model of Interbank Market and Its Stability[J];Systems Engineering;2010-05
6 XU Bo,LIU Lu(School of Economics and Management,Beihang University,Beijing 100191,China);Successive Default Risk in Interbank Market:Analysis and Modeling[J];Systems Engineering;2011-06
7 ZHANG Ze-xu,LI Peng-xiang,GUO Ju-e(School of Management,Xi'an Jiaotong University,Xi'an 710049,China);The Infection Mechanism of the Guarantee Chain Crisis[J];Systems Engineering;2012-04
8 LI Shou-wei,HE Jian-min,ZHUANG Ya-ming,SHI Ya-ming(School of Economics and Management,Southeast University,Nanjing 211189,China);Stability of Inter-bank Markets Based on Complex Networks[J];Journal of Industrial Engineering and Engineering Management;2011-02
9 WANG Suyang XIAO Binqing ZHOU Xiaochao(Nanjing University,Nanjing,China);Contagion Risk between Chinese Banks and Real Estate Industry from Perspective of External Shocks[J];Chinese Journal of Management;2012-07
10 GUO Chen(Shandong Economic University,Jinan 200014,China);Analysis on Behavior of Run on the Bank Based on Prospect Theory[J];Journal of Guangxi University of Finance and Economics;2007-02
China Proceedings of conference Full-text Database 2 Hits
1 Tong Zhongwen 1 ,Fan Conglai 2 (1,Business School of Nanjing Normal University; 2,Business School of Nanjing University);Economic Fluctuation, Netting Evolution and the Bank Systemic Risk[A];[C];2013
2 ;Measuring Systemic Risk in Chinese Shadow Banking System[A];[C];2013
【Secondary Citations】
Chinese Journal Full-text Database 3 Hits
1 Ma Junlu, Fan Xiaoyun and Cao Yuantao(Department of Finance, Nankai University);Estimating Bilateral Exposures in the China Interbank Market:Is There a Systemic Contagion?[J];Economic Research Journal;2007-01
2 Chen Yao-hui (Mathematics Department Of Middle China Science And Technology University 430074 ; Mathematics Department Of Jingzhou Teachers College 434104);A new method of evaluation the bank system risk[J];Science Research Management;2003-02
3 MI Yun sheng (Beijing University the Research Center of Economy and Cultural,Beijing 100871,China);The cause and the formation of the systematical risk in Chinese banks[J];Journal of Xinyang Teachers College(Philosophy and Social Sciences Edition);2003-04
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved