The topology of indirect correlation networks formed by common assets

Li, Beixin; Liu, Xiaoxing; Wang, Chao

doi:10.1016/j.physa.2019.121496

Cited by 6 publications

(2 citation statements)

References 30 publications

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“…On one hand, the crisis of a bank indicates that its interbank loans may not be repaid fully, which harms its counterparties [2][3][4][5]. On the other hand, banks may su er a loss because of the re sale of common assets [4,6,7]. In recent years, a large number of studies have explored the relationship between systemic risk and diversi cation in both the interbank market and investment market.…”

Section: Introductionmentioning

confidence: 99%

Dynamic Contagion of Systemic Risk in an Endogenous Banking System

Qiu

Wang

et al. 2022

Mathematical Problems in Engineering

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An endogenous banking system is proposed based on dynamic mechanisms of interbank loans and investment strategies to explore the behavioral incentives of diversification and its effects on systemic risk. The results highlight the advantages of different diversification strategies for different environments in preventing contagions of systemic risk. The evidence from the interbank market shows that big banks are more crucial for systemic risk prevention, and the intermediate scale of big banks is optimal for a stable banking system. As for the investment market, evidence shows that regulatory intervention should pay attention to the appropriate risk attitude for individual banks to promote systemic stability. These results provide a perspective of behavioral supervision for preventing contagions of systemic risk and indicate some reference for promoting the systemic stability of the banking system.

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Section: Introductionmentioning

confidence: 99%

Dynamic Contagion of Systemic Risk in an Endogenous Banking System

Qiu

Wang

et al. 2022

Mathematical Problems in Engineering

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“…Although the diversification of investment assets is beneficial to individual banks according to modern portfolio theory, it is also more likely to trigger overlaps of investment portfolios. As a result, contagion risks will become serious with more common assets formed by the increased diversification [28][29][30][31][32].…”

Section: Introductionmentioning

confidence: 99%

Contagion Risks and Systemic Stability in Financial Networks

Tian

Wang

Liu

et al. 2021

Mathematical Problems in Engineering

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An agent-based model is proposed, constructing an evolutionary banking system, where interbank loans and investment strategies are, respectively, determined by liquidity shortage and utility maximization. The causes of systemic risk are then explored based on the evolutionary banking system, which is calibrated by a sample from China. The regulatory interventions indicate the positive effects of increased investment assets, while the negative but inappreciable effects of increased interbank counterparties on contagion risks decrease. This observation hints at the possibility of promoting systemic stability by incentivizing more diversifications in investment assets instead of interbank counterparties. The results also demonstrate the advantages of prudential liquidity requirements, interbank liquidity facilities, and monetary policies from the central bank in promoting banking system stability.

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Research on the stock correlation networks and network entropies in the Chinese green financial market

Pan

Ding

et al. 2021

Eur. Phys. J. B

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The topology of indirect correlation networks formed by common assets

Cited by 6 publications

References 30 publications

Dynamic Contagion of Systemic Risk in an Endogenous Banking System

Dynamic Contagion of Systemic Risk in an Endogenous Banking System

Contagion Risks and Systemic Stability in Financial Networks

Research on the stock correlation networks and network entropies in the Chinese green financial market

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