The Stability of Interbank Market Network: A Perspective on Contagion and Risk Sharing
Joint Authors
Wang, Gang-Jin
Liu, Yang
Xu, Yan
Xie, Chi
Source
Advances in Mathematical Physics
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-02-18
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
As an important part of the financial system, interbank market provides banks with liquidity and credit lending and also is the main channel for risk contagion.
In this paper, we test the existence of systematic risk contagion within the Chinese interbank market.
By building the networks of the Chinese interbank market for each year and using the measure of mutual information, we quantitatively detect the changes of interbank market networks and observe that the correlations between banks become increasingly tighter in recent years.
With the bilateral risk exposure among Chinese listed commercial banks, we find that the possibility of systemic risk contagion in Chinese interbank market is fairly small.
But of great concern on each individual bank, the matter is different.
Our simulation shows that the failures of three special banks (i.e., Agricultural Bank of China and Bank of China and Industrial and Commercial Bank of China) most likely lead to systemic risk contagion.
Furthermore, we test the antirisk ability of the Chinese interbank market from the perspective of risk sharing and discover that the interbank market is stable when the loss scale is lower than forty percent of banks’ total core capital.
American Psychological Association (APA)
Xie, Chi& Liu, Yang& Wang, Gang-Jin& Xu, Yan. 2016. The Stability of Interbank Market Network: A Perspective on Contagion and Risk Sharing. Advances in Mathematical Physics،Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1095765
Modern Language Association (MLA)
Xie, Chi…[et al.]. The Stability of Interbank Market Network: A Perspective on Contagion and Risk Sharing. Advances in Mathematical Physics No. 2016 (2016), pp.1-8.
https://search.emarefa.net/detail/BIM-1095765
American Medical Association (AMA)
Xie, Chi& Liu, Yang& Wang, Gang-Jin& Xu, Yan. The Stability of Interbank Market Network: A Perspective on Contagion and Risk Sharing. Advances in Mathematical Physics. 2016. Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1095765
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1095765