Systemic risk and financial networks

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS
Bingqing Li , Xiaoyuan Zhang
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引用次数: 0

Abstract

We develop a network-based probabilistic model to analyze systemic risk within a network of interconnected institutions. Harnessing the power of economic connections, we construct a weighted network that effectively captures the extent of direct risk spillovers. Then the risk contagion probabilistic model is constructed with the aid of the risk orbit contagion idea and inter-institutional dependencies. Our model examines contagion characteristics, uncertainty, and interdependence, revealing that neither a ring nor a complete financial network is optimal. We discover that the expected loss of the network does not have a monotonic relationship with the number of partners, depending on the trade-off between the network density and direct risk spillovers to mitigate systemic risk.

系统风险和金融网络
我们建立了一个基于网络的概率模型,用于分析相互关联的机构网络中的系统性风险。利用经济联系的力量,我们构建了一个加权网络,有效捕捉了直接风险溢出的程度。然后,借助风险轨道传染思想和机构间依赖关系,构建风险传染概率模型。我们的模型研究了传染特征、不确定性和相互依赖性,揭示了环形或完整的金融网络都不是最优的。我们发现,网络的预期损失与合作伙伴的数量并不存在单调关系,这取决于网络密度与直接风险溢出之间的权衡,以减轻系统性风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
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