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Prediction of Systemic Risk Contagion Based on a Dynamic Complex Network Model Using Machine Learning Algorithm
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-05
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
It is well known that the interbank market is able to effectively provide financial liquidity for the entire banking system and maintain the stability of the financial market.
In this paper, we develop an innovative complex network approach to simulate an interbank network with systemic risk contagion that takes into account the balance sheet of each bank, from which we can identify if the financial institutions have sufficient capital reserves to prevent risk contagion.
Cascading defaults are also generated in the simulation according to different crisis-triggering (targeted defaults) methods.
We also use machine learning techniques to identify the synthetic features of the network.
Our analysis shows that the topological factors and market factors in the interbank network have significant impacts on the risk spreading.
Overall, this paper provides a scientific method for policy-makers to select the optimal management policy for handling systemic risk.
American Psychological Association (APA)
Yu, Jiannan& Zhao, Jinlou. 2020. Prediction of Systemic Risk Contagion Based on a Dynamic Complex Network Model Using Machine Learning Algorithm. Complexity،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1142686
Modern Language Association (MLA)
Yu, Jiannan& Zhao, Jinlou. Prediction of Systemic Risk Contagion Based on a Dynamic Complex Network Model Using Machine Learning Algorithm. Complexity No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1142686
American Medical Association (AMA)
Yu, Jiannan& Zhao, Jinlou. Prediction of Systemic Risk Contagion Based on a Dynamic Complex Network Model Using Machine Learning Algorithm. Complexity. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1142686
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142686