A dynamic ripple-spreading algorithm for solving mean–variance of shortest path model in uncertain random networks

Jie, Ke-Wei; Liu, Sanyang; Sun, Xin; Xu, Yun-Cheng

doi:10.1016/j.chaos.2022.113081

Cited by 3 publications

(1 citation statement)

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“…The ripple-spreading network model (RSNM) [9,10] is the result of the study of the natural ripple-spreading phenomenon, which can simulate the dynamic process of the initial ripple spreading by setting the relevant behavioral parameters. Jie et al [11] proposed a dynamic ripple-spreading algorithm for solving optimization problems in random network. In addition, the natural ripple-spreading process of RSNM has certain similarities with financial risk contagion characteristics such as the initial ripple energy value in the model corresponding to the magnitude of financial shocks; the energy amplification coefficient corresponding to the risk amplifying effect of institutions; the connection threshold corresponding to risk resistance ability of institutions, etc.…”

Section: Introductionmentioning

confidence: 99%

How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis

Zhang

Xie

2023

Mathematics

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Modeling the effects and paths of systemic financial risk contagion is significant for financial stability. This paper focuses on China’s systemic financial risk from the perspective of dynamic networks. First, we construct a high-dimensional dynamic financial network model to capture risk contagion effects. Second, considering the ripple effect of financial risk contagion, we introduce and improve the basic model of the ripple-spreading network. Finally, small- and medium-sized banks and economic policy uncertainty are selected as the internal and external contagion source, respectively, to simulate the risk of ripple-spreading paths. The results show that financial contagion is more likely to occur within the same industry. The contagion triggered by internal shock first spreads within the same industry, and then to other industries. The contagion triggered by external shock first spreads to banks, then to diversified financial institutions, securities and insurance institutions, successively. Moreover, some small- and medium-sized commercial banks show strong abilities to spread risk ripples. The securities industry is the intermediary layer of the ripple network and plays a leading role in the ripple-spreading process. Therefore, systemic financial risk regulation should focus not only on large financial institutions but also on financial institutions with strong ripple effects. During major risk events, isolating risk intermediary nodes can cut off the paths of risk contagion and mitigate the impact on the whole financial system effectively.

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Section: Introductionmentioning

confidence: 99%