Systemic risk and financial networks

IF 2.9 3区 经济学 Q1 ECONOMICS
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。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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