Influential risk spreaders and systemic risk in Chinese financial networks

Abstract

A novel approach of gravity strength centrality (GSC) model is proposed to identify the influential risk spreaders in Chinese financial networks. We also measure the systemic risk contribution of financial institutions via $\Delta \mathrm{CoVaR}$ and detect the relationship between the risk spreading ability and the systemic risk contribution of financial institutions. Our findings show that (i) the novel GSC model has the best performance on identifying influential risk spreaders, (ii) financial institutions with larger risk spreading ability contribute more to the systemic risk, (iii) the COVID-19 pandemic has significantly enhanced the contribution of influential risk spreaders to the systemic risk.