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How is systemic risk Amplified by Three Typical Financial Networks

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Journal of the Operations Research Society of China 2022年第3期10卷 579-598页

作者： Jia-Li Ma Shu-Shang Zhu Xiao-Chuan Pang College of Big Data Statistics Guizhou University of Finance and EconomicsGuiyang550025GuiZhouChina School of Business Sun Yat-Sen UniversityGuangzhou510275GuangdongChina

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.

关键词： systemic risk Inter-liability Share cross-holding Portfolio overlapping Contagion

The study on systemic risk of rural finance based on macro-micro big data and machine learning

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Statistical Theory and Related Fields 2023年第4期7卷 261-275页

作者： Wanling Zhou Sulin Pang Zhiliang He Institute of Finance Engineering in School of Management Jinan UniversityGuangzhouPeople’s Republic of China School of Public Administration and Emergency Management Jinan UniversityGuangzhouPeople’s Republic of China School of Management Jinan UniversityGuangzhouPeople’s Republic of China

It’s the basic premise of promoting the healthy development of rural finance and strengthen-ing macro-prudential supervision to measure the systemic risk of rural finance accurately.We establish the dynamic factor CAPM and make an all-round and multi-angle quantitative study on the systemic risk of rural finance in China by constructing macro-micro index system and using machine learning to reduce the dimension of high-dimensional data.Our results show that the dynamic factor CAPM of using macro-micro big data can evaluate systemic risk of rural finance more comprehensively and systematically,and machine learning performs well in processing high-dimensional data.In addition,China’s rural financial systemic risk is stable compared with the Shanghai and Shenzhen main markets,but it is also susceptible to macro and micro influ-enced factors.Finally,it is pointed out that the early warning system of rural financial systemic risk could be constructed at macro and micro level,respectively.

关键词： macro-micro big data machine learning systemic risk dynamic CAPM

Connectedness and systemic risk of the banking industry along the Belt and Road

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Journal of Management Science and Engineering 2022年第2期7卷 303-329页

作者： Gang-Jin Wang Yusen Feng Yufeng Xiao You Zhu Chi Xie Business School and Center for Finance and Investment Management Hunan UniversityChangsha410082China

This paper adopts the tail-event driven network(TENET)framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road(B&R)based on weekly returns of 377 publicly-listed banks from 2014 to 2019.We conduct the connectedness analysis from four levels(i.e.,system,region,country and institution)and identify the systemic risk contribution of banks.We find that the dynamic total connectedness reached its peak during the outbreak of the abnormal fluctuations of Chinese stock market in 2015-2016 and its trough during the Brexit vote,and subsequently experienced several periodic fluctuations at a relatively high position.In the B&R banking system,the intra-regional tail risk spillovers are remarkably stronger than the inter-regional tail risk spillovers during the post-crisis period.In addition,the panel regressions estimated by the least squares dummy variable model show that the cross-border merger and acquisitions(M&As)and the merchandise trade export are important drivers for the tail-connectedness across the B&R countries.Our study provides regulators with insightful implications on the systemic risk supervision of the B&R banking industry.

关键词： systemic risk Connectedness The Belt and Road Initiative Banks Financial network

China’s systemic Financial risk:Basic Dimensions,Key Areas,and Evolving Trends

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Social Sciences in China 2022年第2期43卷 102-124页

作者： Hu Bin Zheng Liansheng Li Juncheng 李光辉 Institute of Finance and Banking Chinese Academy of Social Sciences(CASS) 不详

The COVID-19 pandemic,the regulation of real estate,and external uncertainties are the core variables in the recent evolution of China’s financial risks,and overall planning and structural deployment are the key guarantees for China’s financial stability.From an aggregate perspective,China’s systemic financial risk tended to ease overall in 2021,but remained high.The risk profile of China’s financial system in 2021 presented five important features.First,the macro leverage ratio fell slightly,but exposed the hidden dangers of balance sheet recession.Second,there was a certain blockage in the transmission of financial system liquidity to the real economy.Third,the fragility of the financial system was further exposed,the bond default balance reached a new high,the structural differentiation of bonds between state-owned and private enterprises became prominent,and private enterprise default became more serious.Fourth,the contagion effect of domestic cross-market financial risks remained significant.Fifth,the international political and economic situation was volatile,and spillover effects such as the rising prices of raw materials,the inauguration of a new US administration,and the shift of the Federal Reserve’s monetary policy were significantly strengthened.In terms of key risk areas,the risks of the real estate market,hidden government debt,and small-and medium-sized domestic banks were quite prominent.In 2022,pandemic prevention and control,economic recovery,and structural upgrading will remain the main themes of China’s development.China’s financial risks are generally under control,but the country will still face major risks such as a high macro leverage ratio,tight market liquidity,increasing debt vulnerability,significant spillover effects,and rising volatility in the international market.

关键词： systemic risk structure macro leverage ratio spillover effects

Understanding systemic risk induced by climate change

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Advances in Climate Change Research 2021年第3期12卷 384-394页

作者： LI Hui-Min WANG Xue-Chun ZHAO Xiao-Fan QI Ye Beijing Climate Change Response Research and Education Center Beijing University of Civil Engineering and ArchitectureBeijing100044China School of Public Policy and Management Tsinghua UniversityBeijing100084China Division of Public Policy The Hong Kong University of Science and TechnologyHong KongChina Institute for Public Policy The Hong Kong University of Science and Technology(Guangzhou)GuangzhouChina

The systemic risk induced by climate change represents one of the most prominent threats facing humanity and has attracted increasing attention since the outbreak of the COVID-19 pandemic at the end of 2019.The existing literature highlights the importance of systemic risk induced by climate change,but there are still deficiencies in understanding its dynamics and assessing the risk.Aiming to bridge this gap,this study develops a theoretical framework and employs two cases to illustrate the concept,origin,occurrence,propagation,evolution,and assessment framework of systemic risk induced by climate change.The key findings include:1)systemic risk induced by climate change derives from the rapid growth of greenhouse gas,emissions,increasingly complex connections among different socioeconomic systems,and continuous changes in exposure and vulnerability;2)systemic risk induced by climate change is a holistic risk generated by the interconnection,interaction,and dynamic evolution of different types of single risks,and its fundamental,defining feature is cascading effects.The extent of risk propagation and its duration depend on the characteristics of the various discrete risks that are connected to make up the systemic risk;3)impact domains,severity of impact,and probability of occurrences are three core indicators in systemic risk assessment,and the impact domains should include the economy,society,homeland security,human health,and living conditions.We propose to deepen systemic risk research from three aspects:to develop theories to understand the mechanism of systemic risk;to conduct empirical research to assess future risks;and to develop countermeasures to mitigate the risk.

关键词： systemic risk Climate change Disaster risk assessment

Do Cryptocurrencies In crease the systemic risk of the Global Financial Market?

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China & World Economy 2020年第1期28卷 122-143页

作者： Shiyun Li Yiping Huang Institute of Digital Finance Peking UniversityChina

The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market.This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets,and unravels how cryptocurrencies could influence global financial systemic risk.We find that cryptocurrencies function as a separate risk source from traditional assets.Major legislative,financial and technological events in the cryptocurrency market may affect risk spillover dynamics.Although the overall penetration of cryptocurrencies is not yet deep,introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.

关键词： cryptocurrency dynamic risk spillover systemic risk

The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

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Probability, Uncertainty and Quantitative risk 2017年第1期2卷 192-229页

作者： Stefan Weber Kerstin Weske Institut fur Mathematische Stochastik Leibniz Universit¨at HannoverWelfengarten 130167 HannoverGermany

The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.

关键词： systemic risk Financial contagion Financial network Cross-holdings Fire sales Bankruptcy costs

A global perspective on macroprudential policy interaction with systemic risk,real economic activity,and monetary intervention

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Financial Innovation 2021年第1期7卷 877-901页

作者： Mikhail I.Stolbov Maria A.Shchepeleva Alexander M.Karminsky Chair of the Department of Applied Economics Moscow State Institute of International Relations(MGIMO University)MoscowRussia Department of Theoretical Economics National Research University Higher School of EconomicsMoscowRussia School of Finance and Head of the Research Center of Banking and risks National Research University Higher School of EconomicsMoscowRussia

The study empirically assesses how macroprudential policy interacts with systemic risk,industrial production,and monetary intervention on a global level from January 2006 to December 2018.We adopt the aggregate proxies of these variables,capturing their global effects,and use a novel econometric technique,namely,smooth local projections.The study finds that global macroprudential policy leads the monetary policy,exhibiting a countercyclical pattern concerning industrial production.The latter has an inverse bidirectional linkage with systemic risk.Thus,an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production,although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk.The study results endure several extensions and a robustness check,which builds on alternative measures of global systemic stress and real economic activity,thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.

关键词： Industrial production Macroprudential policy Monetary policy Smooth local projections systemic risk

Systematic risk Analysis of Listed Financial Institutions from the Perspective of Complex Network

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Proceedings of Business and Economic Studies 2024年第1期7卷 104-110页

作者： Shiyun Li School of Finance Nanjing University of Finance and EconomicsNanjing 210023Jiangsu ProvinceChina

Based on the complex network theory,this paper studies the systemic financial risks in China’s financial market.According to the industry classification of the China Securities Regulatory Commission in 2012,the daily closing prices of 45 listed financial institutions are collected and the daily return rates of each financial institution are measured according to the logarithmic return rate calculation formula.In this paper,the risk spillover value ΔCoVaR is used to measure the contribution degree of each financial institution to systemic risk.Finally,the relationship between the risk spillover valueΔCoVaR and the node topology index of the risk transmission network is investigated by using a regression model,and some policy suggestions are put forward based on the regression results.

关键词： Complex network systemic risk GARCH model