中国金融机构的系统重要性及系统性风险传染机制分析——基于复杂网络的视角

doi:10.16381/j.cnki.issn1003-207x.2015.10.004

Abstract

Abstract: Applying Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph approaches to construct and analyze financial market network can dynamically identify the systemic importance of the nodes in financial networks, and the uniqueness of MST can be used to analyze the contagion mechanism of systemic risk completely and straightforwardly. Using data from inter-bank borrowing market, the effectiveness and robustness of this method are proved. Particularly, MST provides an intuitive and effective approach to identify the potential contagion path of systemic risks as well as the macro prudential regulation systemic risks.

Key words: systemic risk, complex network, systemic importance, inter-bank borrowing market

CLC Number:

F832.5

OUYANG Hong-bing, LIU Xiao-dong. An Analysis of the Systemic Importance and Systemic Risk Contagion Mechanism of China's Financial Institutions Based on Network Analysis[J]. Chinese Journal of Management Science, 2015, 23(10): 30-37.

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An Analysis of the Systemic Importance and Systemic Risk Contagion Mechanism of China's Financial Institutions Based on Network Analysis

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