Risk contagion in multilayer network of financial markets
Risk contagion in multilayer network of financial markets
复制标题
金融市场多层网络中的风险传染
DOI：
10.1016/j.physa.2019.123325
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发表时间：
2020-03
期刊：
影响因子：
--
通讯作者：
Li Shouwei
中科院分区：
文献类型：
--
作者：
Wang Hu;Li Shouwei
金融危机后，场外衍生品市场的改革提出了非中央结算，对非中央结算的场外衍生品交易也实行保证金制度，以降低系统性风险。本文构建了包括场外衍生品市场和银行间市场的风险传染模型，并利用2017年中国银行资产负债表数据研究了引入非中央清算对银行系统性风险的影响。结果表明，引入非中央结算并不一定会降低系统性风险。在低冲击条件下，非中央清算条件下的系统性风险和违约银行数量小于非中央清算条件下的系统性风险和违约银行数量。在极端条件下，当中央清算比例较低时，系统性风险和违约银行数量大于无中央清算的情况。在这两种情况下，提高中央清算比例可以降低系统性风险和违约银行数量。场外衍生品市场和银行间市场的网络结构会影响系统性风险。系统性风险和违约银行数量会随着网络密度的增加而减少，大风险敞口的存在会显著增加系统性风险和违约银行数量。
After the financial crisis, the non-central clearing is proposed for the reform of the OTC derivatives market, and the margin system is also implemented for OTC derivatives transactions without central clearing to reduce systemic risk. In this paper, a risk contagion model including the OTC derivatives market and the interbank market is built, and the effects of introducing non-central clearing on systemic risk of banks is studied by using the data in the Balance Sheet of banks in China in 2017. The results show that the introduction of non-central clearing does not necessarily reduce systemic risk. Under low impact conditions, systemic risk and the number of defaulting banks under non-central clearing conditions are smaller than that without non-central clearing. Under extreme conditions, systemic risk and the number of defaulting banks are larger than that without non-central clearing when the central clearing proportion is low. Under both conditions, increasing the central clearing proportion can reduce systemic risk and the number of defaulting banks. The network structure of the OTC derivatives market and the interbank market will affect systemic risk. Systemic risk and the number of defaulting banks will decrease with the increase of the network density, and the existence of large risk exposure will significantly increase systemic risk and the number of defaulting banks.
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DOI：
10.2139/ssrn.2955647
发表时间：
2017-02
期刊：
ERN: Regulation & Supervision (Topic)
影响因子：
--
作者：
R. Cont
通讯作者：
R. Cont
DOI：
10.2139/ssrn.2216087
发表时间：
2013-01
期刊：
Derivatives eJournal
影响因子：
--
作者：
Li Lin;J. Surti
通讯作者：
Li Lin;J. Surti
影响因子：
5.4
作者：
Heath, Alexandra;Kelly, Gerard;Shaghaghi, Ali Rais
通讯作者：
Shaghaghi, Ali Rais
影响因子：
--
作者：
Leduc, Matt V.;Poledna, Sebastian;Thurner, Stefan
通讯作者：
Thurner, Stefan
DOI：
10.1007/978-3-319-15168-7_41
发表时间：
2014-10
期刊：
--
影响因子：
--
作者：
G. Cimini;Tiziano Squartini;N. Musmeci;Michelangelo Puliga;A. Gabrielli;D. Garlaschelli;S. Battiston;G. Caldarelli
通讯作者：
G. Cimini;Tiziano Squartini;N. Musmeci;Michelangelo Puliga;A. Gabrielli;D. Garlaschelli;S. Battiston;G. Caldarelli