How is Systemic Risk Amplified by Three Typical Financial Networks

doi:10.1007/s40305-021-00389-y

Journal of the Operations Research Society of China ›› 2022, Vol. 10 ›› Issue (3): 579-598.doi: 10.1007/s40305-021-00389-y

收稿日期:2021-06-29 修回日期:2021-12-12 出版日期:2022-09-30 发布日期:2022-09-06

How is Systemic Risk Amplified by Three Typical Financial Networks

Jia-Li Ma¹, Shu-Shang Zhu², Xiao-Chuan Pang²

1. College of Big Data Statistics, Guizhou University of Finance and Economics, Guiyang 550025, GuiZhou, China;
2. School of Business, Sun Yat-Sen University, Guangzhou 510275, Guangdong, China

Received:2021-06-29 Revised:2021-12-12 Online:2022-09-30 Published:2022-09-06
Contact: Shu-Shang Zhu,Jia-Li Ma,Xiao-Chuan Pang E-mail:zhuss@mail.sysu.edu.cn;majli@mail2.sysu.edu.cn;pangxch@mail2.sysu.edu.cn
Supported by:
This work was partially supported by the Natural Science Foundation of Guangdong Province (No.2114050002944) and The National Natural Science Foundation of China (No.71721001).

摘要/Abstract

Abstract: Financial institutions are typically tied together via inter-liability,portfolio overlapping and share cross-holding.These connections among financial institutions constitute the three most common financial networks,which may lead to financial risk contagion and even systemic risk when some institutions suffer shock.In this paper,firstly,for a given shock,we prove the existence of the equilibrium clearing vector of the financial system characterized by these three typical financial networks.Then,we mathematically derive an analytical form to show how these three contagion channels jointly affect and amplify the loss of the non-default institutions,and explain how the lack of liquidity of external investment assets exacerbates the loss caused by portfolio overlapping.Finally,the influence of the characteristics of financial network on risk contagion is verified by numerical simulation.These results provide basis for understanding the financial systemic risk contagion in the real world.

Key words: Systemic risk, Inter-liability, Share cross-holding, Portfolio overlapping, Contagion

中图分类号:

91G45

. [J]. Journal of the Operations Research Society of China, 2022, 10(3): 579-598.

Jia-Li Ma, Shu-Shang Zhu, Xiao-Chuan Pang. How is Systemic Risk Amplified by Three Typical Financial Networks[J]. Journal of the Operations Research Society of China, 2022, 10(3): 579-598.

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How is Systemic Risk Amplified by Three Typical Financial Networks

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