Multiplex Networks of the Guarantee Market: Evidence from China

Li, Shouwei; Wen, Shihang

doi:10.1155/2017/9781890

Cited by 16 publications

(13 citation statements)

References 43 publications

(42 reference statements)

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“…We consider some real-life multiplex networks with characteristics summarized in Table 1 and apply the computational framework of Gk-core percolation over these networks. The first one is a guarantee market network with nodes representing companies and edges joint liability guarantee relationships in China's guarantee circle [34]. Both layer 1 (for the year 2013) and layer 2 (for the year 2014) follow scale-free degree distributions and they are assortatively correlated with the Pearson's coefficient 0.33.…”

Section: Real Multiplex Networkmentioning

confidence: 99%

Generalized k-core percolation on correlated and uncorrelated multiplex networks

Shang

2020

Phys. Rev. E

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It has been recognized that multiplexes and inter-layer degree correlations can play a crucial role in the resilience of many real-world complex systems. Here we introduce a multiplex pruning process that removes nodes of degree less than ki and their nearest neighbors in layer i for i = 1, • • • , m, and establish a generic framework of generalized k-core (Gk-core) percolation over interlayer uncorrelated and correlated multiplex networks of m layers, where k = (k1, • • • , km) and m is the total number of layers. Gk-core exhibits a discontinuous phase transition for all k owing to cascading failures. We have unraveled the existence of a tipping point of the number of layers, above which the Gk-core collapses abruptly. This dismantling effect of multiplexity on Gk-core percolation shows a diminishing marginal utility in homogeneous networks when the number of layers increases. Moreover, we have found the assortative mixing for inter-layer degrees strengthens the Gk-core but still gives rise to discontinuous phase transitions as compared to the uncorrelated counterparts. Interlayer disassortativity on the other hand weakens the Gk-core structure. The impact of correlation effect on Gk-core tends to be more salient systematically over k for heterogenous networks than homogeneous ones.

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Section: Real Multiplex Networkmentioning

confidence: 99%

Generalized k-core percolation on correlated and uncorrelated multiplex networks

Shang

2020

Phys. Rev. E

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“…There is a vast body of recent literatures on systemic financial risk arising from interconnectedness of institutions, targeting financial systems' stability (see, e.g., Aymann et al [2]; Souza et al [3]; Silva et al [4]). One of the important domains analyzed in literature is the case of financial networks primarily linked through different types of credit contracts, portfolio contagion, or credit guarantees, (see, e.g., Li and Wen [5], Anagnostou et al [6], and Jiang and Fan [7]).…”

Section: Introductionmentioning

confidence: 99%

“…Still, agents of real financial systems interact in diverse manners and through several channels. Such a situation could be duly modeled by bipartite (Huang et al [9]) and/or by multiplex, that is, multilayer (Li and Wen [5] and Poledna et al [8]) networks.…”

Section: Introductionmentioning

confidence: 99%

Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework

Gubareva

2019

Complexity

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The current expected loss calculations have recently attracted considerable attention in the research on credit risk modeling, impairment provisioning, and financial networks’ stability. A new CDS-based approach to estimate current expected credit loss is proposed for low default portfolios, containing credit exposures to corporate issuers covered by publicly traded CDS contracts. First, a fraction of CDS spread related to a pure default compensation for different CDS maturities is assessed. Our results contrast with previous research. Second, based on the obtained historical weights of the default risk premium, a forward-looking term structure of the probabilities of default implied by the current CDS quotes is derived. The proposed approach covers both investment and noninvestment grade debt. The resulting framework is applied to a sample of corporate bonds. The developed methodology provides a useful tool, on one hand, for credit risk managers and balance-sheet preparers and, on the other hand, for regulators of financial markets as it sheds light on how procyclicality could be avoided in provisions.

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“…Recurrent multiplex complexity measures: nodes degree overlap and the total overlap Multiplex networks are actively used to simulate complex networks of different nature: from financial (banks [19], stock market [20], guarantee market [21]) to social [22]. Particular attention should be paid to the work [20], in which the above multiplex measures are analyzed for the subject of correlations with known stock markets crises.…”

Section: Figmentioning

confidence: 99%

Construction of crisis precursors in multiplex networks

Soloviev¹,

Solovieva²,

Tuliakova³

et al. 2019

Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSM

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Based on the network paradigm of complexity in the work, a systematic analysis of the dynamics of the largest stock markets in the world has been carried out. According to the algorithms of the visibility graph and recurrence plot, the daily values of stock indices are converted into a multiplex networks, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena.

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Multiplex Networks of the Guarantee Market: Evidence from China

Cited by 16 publications

References 43 publications

Generalized k-core percolation on correlated and uncorrelated multiplex networks

Generalized k-core percolation on correlated and uncorrelated multiplex networks

Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework

Construction of crisis precursors in multiplex networks

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