Assessing Systemic Risk Using Interbank Exposures in the Global Banking System
Assessing Systemic Risk Using Interbank Exposures in the Global Banking System
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DOI：
10.2139/ssrn.2617969
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发表时间：
2015-05
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影响因子：
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通讯作者：
Masayasu Kanno
中科院分区：
文献类型：
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作者：
Masayasu Kanno
本文通过研究全球银行体系中双边风险敞口的网络结构，对系统性风险的文献做出了贡献。全球银行间市场是全球银行体系的重要组成部分。市场具有分层网络结构，由国家或管辖区域的本地市场和跨境银行间市场组成。首先，我们使用来自Bankscope的贷款和存款的汇总财务数据来估计双边风险矩阵，并使用网络中心性度量来分析市场中的互联性。随后，对于模型分析，我们将艾森伯格-诺埃框架应用于多时期设置。在这个框架中，银行违约被分为独立违约和传染性违约。我们样本中的银行（即总资产超过500亿美元的前202家银行）构成了这个全球银行体系的主要部分。使用网络中心性度量的理论网络分析表明，大多数被指定为全球系统重要性银行（g - sib）的银行在全球银行间市场中发挥着核心作用。理论违约分析表明，在全球金融危机期间和之后，由基本违约引发的一些传染性违约。我们的压力测试证明，从理论上讲，许多g - sib导致了1-6次传染性违约。我们的方法将有助于各国监管机构建立监测系统，并有助于实施针对违约蔓延的银行内部压力测试。
This paper contributes to the literature on systemic risk by examining the network structure of bilateral exposures in the global banking system. The global interbank market constitutes a major part of the global banking system. The market has a hierarchical network structure, composed of the national or jurisdictional area's local markets and the cross-border interbank market. First, we estimate the bilateral exposures matrix using aggregate financial data on loans and deposits from Bankscope and analyze the interconnectedness in the market using network centrality measures. Subsequently, for the model analysis, we apply the Eisenberg–Noe framework to a multi-period setting. In this framework, bank defaults are classified into stand-alone defaults and contagious defaults. The banks in our sample (i.e., the top 202 banks with more than $50 billion in total assets) comprise a major part of this global banking system. The main findings are as follows: The theoretical network analysis using network centrality measures showed that most of the banks designated as global systemically important banks (G-SIBs) play a central role in the global interbank market. The theoretical default analysis showed a few contagious defaults triggered by the basic defaults during and after the global financial crisis. Our stress test proved that many G-SIBs theoretically caused 1–6 contagious defaults. Our methodology would assist in the development of a monitoring system by the respective supervisory authorities as well as in the implementation of bank-internal stress tests of default contagion.