Default clearing and ex-ante contagion in financial systems with a two-layer network structure

IF 3.4 2区数学 Q1 MATHEMATICS, APPLIED

Communications in Nonlinear Science and Numerical Simulation Pub Date : 2024-12-12 DOI:10.1016/j.cnsns.2024.108515

Yi Ding, Chun Yan, Wei Liu, Man Qi, Jiahui Liu

引用次数: 0

Abstract

Systemic risks do not arise only as a result of a crisis event, and it is important to understand the ex-ante risk contagion mechanisms. There has been no research on ex-ante contagion valuation and contagion modeling of multilayer networks. This study proposes the ex-ante-contagion mechanism of a two-layer network financial system with interbank lending connections and cross-holding connections, constructs a general valuation model of the financial system based on the Eisenberg and Noe clearing framework, and develops a model of ex-ante risk contagion and valuation functions. Stress tests further verify that bankruptcy is not a necessary condition for loss generation. By simulating different shock scenarios, we obtain the systemic risk and systemically important banks in China. Our models and analyses provide new research perspectives for studying risk contagion mechanisms in financial networks and offer empirical corroboration for regulators and policy makers.

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具有双层网络结构的金融系统中的违约清理和事前传染

系统性风险并不只是在危机事件发生时才出现，因此了解事前风险传染机制非常重要。目前还没有关于多层网络事前传染估值和传染建模的研究。本研究提出了具有同业拆借联系和交叉持股联系的两层网络金融体系的事前传染机制，基于艾森伯格和诺伊清算框架构建了金融体系的一般估值模型，并建立了事前风险传染模型和估值函数。压力测试进一步验证了破产并非产生损失的必要条件。通过模拟不同的冲击情景，我们得出了中国的系统性风险和系统重要性银行。我们的模型和分析为研究金融网络中的风险传染机制提供了新的研究视角，并为监管机构和政策制定者提供了经验佐证。

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

Communications in Nonlinear Science and Numerical Simulation MATHEMATICS, APPLIED-MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

CiteScore

6.80

自引率

7.70%

发文量

378

审稿时长

78 days

期刊介绍： The journal publishes original research findings on experimental observation, mathematical modeling, theoretical analysis and numerical simulation, for more accurate description, better prediction or novel application, of nonlinear phenomena in science and engineering. It offers a venue for researchers to make rapid exchange of ideas and techniques in nonlinear science and complexity. The submission of manuscripts with cross-disciplinary approaches in nonlinear science and complexity is particularly encouraged. Topics of interest: Nonlinear differential or delay equations, Lie group analysis and asymptotic methods, Discontinuous systems, Fractals, Fractional calculus and dynamics, Nonlinear effects in quantum mechanics, Nonlinear stochastic processes, Experimental nonlinear science, Time-series and signal analysis, Computational methods and simulations in nonlinear science and engineering, Control of dynamical systems, Synchronization, Lyapunov analysis, High-dimensional chaos and turbulence, Chaos in Hamiltonian systems, Integrable systems and solitons, Collective behavior in many-body systems, Biological physics and networks, Nonlinear mechanical systems, Complex systems and complexity. No length limitation for contributions is set, but only concisely written manuscripts are published. Brief papers are published on the basis of Rapid Communications. Discussions of previously published papers are welcome.