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中国银行资产二分网络的系统性风险研究

Research on systemic risk of China's bank-asset bipartite network.

作者信息

Fan Hong, Hu Chao

机构信息

Glorious Sun School of Business and Management, Donghua University, Shanghai, China.

出版信息

Heliyon. 2024 Feb 23;10(5):e26952. doi: 10.1016/j.heliyon.2024.e26952. eCollection 2024 Mar 15.

DOI:10.1016/j.heliyon.2024.e26952
PMID:38434366
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC10907764/
Abstract

Systemic risk caused by banks due to common asset holdings serve as a significant contagion channel. In this study, we use empirical data from Chinese banks to construct a bank-asset bipartite network, employ the DebtRank algorithm for risk measurement, and incorporate asset price correlation into the DebtRank algorithm. Then we show the changes of the systemic risk in the Chinese banking system from 2018 to 2021. Furthermore, we analyze the systemic risk triggered by different types of banks and different industry assets and quantify the impact of each asset under different stress scenarios. We also conduct a validity analysis of asset price correlation, finding that the systemic risk considering asset price correlation is higher than that without considering asset price correlation. This study of financial systemic risk under the bank-asset bipartite network provides a new perspective for the regulation of systemic risk and is of significant importance for the prevention of systemic risk.

摘要

银行因持有共同资产而引发的系统性风险是一个重要的传染渠道。在本研究中，我们使用中国银行业的实证数据构建银行-资产二分网络，采用债务排名算法进行风险度量，并将资产价格相关性纳入债务排名算法。然后我们展示了2018年至2021年中国银行业系统系统性风险的变化。此外，我们分析了不同类型银行和不同行业资产引发的系统性风险，并量化了不同压力情景下各资产的影响。我们还对资产价格相关性进行了有效性分析，发现考虑资产价格相关性的系统性风险高于不考虑资产价格相关性的系统性风险。本研究在银行-资产二分网络下对金融系统性风险的研究为系统性风险监管提供了新视角，对防范系统性风险具有重要意义。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/48047723a52d/gr7.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/4eba703fb758/gr1.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/d883ef598c3c/gr2.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/abda982bf8d2/gr3.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/7f1327f7717b/gr4.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/84aca28397be/gr5.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/90ab6ad0be24/gr6.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/48047723a52d/gr7.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/4eba703fb758/gr1.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/d883ef598c3c/gr2.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/abda982bf8d2/gr3.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/7f1327f7717b/gr4.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/84aca28397be/gr5.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/90ab6ad0be24/gr6.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/1f16/10907764/48047723a52d/gr7.jpg

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本文引用的文献

1
DebtRank: A Microscopic Foundation for Shock Propagation.债务排名：冲击传播的微观基础。
PLoS One. 2015 Jun 19;10(6):e0130406. doi: 10.1371/journal.pone.0130406. eCollection 2015.
2
DebtRank: too central to fail? Financial networks, the FED and systemic risk.债务评级：大而不倒？金融网络、美联储与系统性风险。
Sci Rep. 2012;2:541. doi: 10.1038/srep00541. Epub 2012 Aug 2.