Systemic risk across the banking sector and the firm sector

被引：0
|
作者：
Li S. [1 ,2 ,3 ]
Wang L. [1 ,2 ]
Liu X. [1 ,2 ,3 ]
Zhang J. [1 ,2 ]
机构：
[1] School of Economics and Management, Southeast University, Nanjing
[2] Research Center for Financial Complexity and Risk Management, Southeast University, Nanjing
[3] School of Cyber Science and Engineering, Southeast University, Nanjing
来源：
Wang, Lei (leiwang77777@163.com) | 1600年 / Systems Engineering Society of China卷 / 40期
基金：
中国国家自然科学基金;
关键词：
Contagion effect; Debt rank; Systemic risk;
D O I：
10.12011/1000-6788-2019-1572-13
中图分类号：
学科分类号：
摘要：
This study investigates contribution and contagion effect of systemic risk across the banking sector and the firm sector from the perspective of risk feedback. Based on the debt ranking method, this study constructs the measurement model of the bank-firm systemic risk, and conducts analysis based on the bank-firm loan data of China in 2018. The research results show that: The debt rank of the bank node at the bank layer is lower than that at the firm layer, while the debt rank of the firm node at the firm layer is lower than that at the bank layer; there are a few systemically important banks and firms in the bank-firm credit system, and they have high contribution degree of systemic risk; with the increase of the credit scale of banks or firms, the corresponding total debt rank is higher, and the relationship between the total debt rank and the credit scale is nonlinear; as the degree of credit easing increases, the contribution of systemic risk of banks and firms show a downward trend. Under different credit easing policies, the total credit loss caused by firms is always greater than that of banks, and the threshold of firms for the collapse of the bank-firm credit system is always smaller than that of banks; the degree of easing of credit policies has a positive impact on maintaining the stability of the bank-firm credit system, especially for the banking sector. © 2020, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
引用
收藏
页码：2492 / 2504
页数：12
相关论文
共 47 条
  • [1] Zhang B J, Wang S Y, Wei Y J, Et al., Measuring the systemic risk contagion contribution of financial institutes in China based on CoES model, Systems Engineering-Theory & Practice, 38, 3, pp. 565-575, (2018)
  • [2] Xia L Y, He X Q., Reject inference in credit score model based on semi-parametric method, Management Review, 30, 10, pp. 42-50, (2018)
  • [3] Tang Z P, Huang S S, Chen W H., Research on the systemically important evaluation of banks based on Support Vector Machine, Journal of Systems Science and Mathematical Sciences, 38, 1, pp. 57-77, (2018)
  • [4] Zhang T D, Zhang Y., Evaluating Chinese systemic important financial institutions and some policy implications, Management Review, 30, 1, pp. 24-35, (2018)
  • [5] Li H X, Chi G T., Optimization model of asset-liability portfolio based on credit duration and default intensity, Systems Engineering-Theory & Practice, 38, 6, pp. 1387-1403, (2018)
  • [6] Jiang T, Zhang Y J, Zhao X L., Economic policy uncertainty and corporate debt financing, Management Review, 30, 3, pp. 29-39, (2018)
  • [7] Liu M F, Zhao L., Solving the financing constraints on small and micro enterprises from the perspective of internet finance, Management Review, 31, 3, pp. 39-49, (2019)
  • [8] Wei Q, Wei Y J., An empirical study of contagion effect from the Internet lending platform of China to the traditional financial institutions based on Markov-vine copula, Systems Engineering-Theory & Practice, 38, 2, pp. 317-328, (2018)
  • [9] Ye W Y, Dong X W, Miao B Q., Linkage of international stock market and financial infection analysis based on C-D-Copula model, Journal of Systems Science and Mathematical Sciences, 38, 5, pp. 553-568, (2018)
  • [10] Mistrulli P E., Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns, Journal of Banking & Finance, 35, 5, pp. 1114-1127, (2011)
12345