基于共同持有资产的银行间接关联网络研究

doi:10.16381/j.cnki.issn1003-207x.2019.11.003

Abstract

Abstract: Financial market is a complex system, where banks not only connect with each other through direct lending, but also establish indirect correlationvia the investment market.A large number of researches have suggested that network resulted from interbank loans has some common topological properties. As shown in this paper, indirect correlation network between banks based on common assets is also worthy of discussion. The correlation between assets is established through fire sale and portfolios diversification, and then the indirect correlation between banks is constructed according to the portfolios chosen by risk aversion (CRRA) utility function.The influence of banks' investment behavior, endogenous correlation between assets and fire sale of common assets on the extent of indirect correlation between assets are tested respectively.Then the indirect correlation network between banks is set up with consideration of all the factors mentioned above and planar maximally filtered graph is used to filter redundant information. The importance of systemic important banks in the indirect correlation network is demonstrated. The small world phenomenon and scale-free phenomenon are also found by analyzing the indirect correlation network. On one hand, the observation in this paper makes the relationship between banks more clearly. On the other hand, a new perspective is also provided for regulators to promote the stability of banking system.

Key words: common assets, fire sale, utility function, indirect correlation network

CLC Number:

F830

WANG Chao, HE Jian-min, MA Jing. Indirect Correlation Network between Banks Based on Common Assets[J]. Chinese Journal of Management Science, 2019, 27(11): 23-30.

References

[1] Caccioli F, Farmer J D, Foti N, et al. Overlapping portfolios, contagion, and financial stability[J]. Journal of Economic Dynamics and Control, 2015, 51:50-63.
[2] Glasserman P, Young H P. How likely is contagion in financial networks?[J]. Journal of Banking & Finance, 2015, 50:383-399.
[3] 吴宜勇, 胡日东, 袁正中. 共同资产持有的网络风险传染与政府救助[J]. 金融论坛, 2017,(8):35-45.
[4] 隋聪, 于洁晶, 宗计川. 银行间债务违约诱发资产减价出售——基于债务与资产关联的风险叠加传染研究[J]. 系统工程理论与实践, 2017, 37(11):2753-2764.
[5] Caccioli F, Shrestha M, Moore C, et al. Stability analysis of financial contagion due to overlapping portfolios[J]. Journal of Banking & Finance, 2014, 46:233-245.
[6] Greenwood R, Landier A, Thesmar D. Vulnerable banks[J]. Journal of Financial Economics, 2015, 115(3):471-485.
[7] Feinstein Z. Financial contagion and asset liquidation strategies[J]. Operations Research Letters, 2017, 45(2):109-114.
[8] Wagner W. Diversification at financial institutions and systemic crises[J]. Journal of Financial Intermediation, 2010, 19(3):373-386.
[9] May R M, Arinaminpathy N. Systemic risk:The dynamics of model banking systems[J]. Journal of the Royal Society Interface, 2010, 7(46):823-838.
[10] Beale N, Rand D G, Battey H, et al. Individual versus systemic risk and the regulator's dilemma[J]. Proceedings of the National Academy of Sciences, 2011, 108(31):12647-12652.
[11] Boss M, Elsinger H, Summer M, et al. Network topology of the interbank market[J]. Quantitative Finance, 2004, 4(6):677-684.
[12] Souma W, Fujiwara Y, Aoyama H. Complex networks and economics[J]. Physica A:Statistical Mechanics and its Applications, 2003, 324(1):396-401.
[13] Lublóy Á. Domino effect in the Hungarian interbank market[J]. Hungarian Economic Review, 2005, 52(4):377-401.
[14] Craig B, Von Peter G. Interbank tiering and money center banks[J]. Journal of Financial Intermediation, 2014, 23(3):322-347.
[15] 童中文. 银行间资产清算顺序优化与风险传染免疫机制[J]. 中国管理科学, 2012, 20(1):51-58.
[16] 邓超, 陈学军. 基于多主体建模分析的银行间网络系统性风险研究[J]. 中国管理科学, 2016, 24(1):67-75.
[17] 隋聪, 谭照林, 王宗尧. 基于网络视角的银行业系统性风险度量方法[J]. 中国管理科学, 2016, 24(5):54-64.
[18] Garlaschelli D, Battiston S, Castri M, et al. The scale-free topology of market investments[J]. Physica A:Statistical Mechanics and its Applications, 2005, 350(2-4):491-499.
[19] 樊瑛, 索丽娜, 沈晓松,等. 复杂网络视角下的NYSE市场投资结构特性研究[J]. 北京师范大学学报(自然科学版), 2008, 44(1):103-105.
[20] Battiston S, Rodrigues J F, Zeytinoglu H. The network of inter-regional direct investment stocks across Europe[J]. Advances in Complex Systems, 2007, 10(1):29-51.
[21] Masi G D. Bank-firms topology in Italy[J]. Empirical Economics, 2012, 43(2):851-866.
[22] Guo W, Minca A, Wang L. The topology of overlapping portfolio networks[J]. Statistics & Risk Modeling, 2016, 33(3-4):139-155.
[23] Cont R, Wagalath L. Running for the exit:Distressed selling and endogenous correlation in financial markets[J]. Mathematical Finance, 2013, 23(4):718-741.
[24] Cont R,Wagalath L. a. Fire sales forensics:Measuring endogenous risk[J]. Mathematical Finance, 2016, 26(4):835-866.
[25] 李华姣, 安海忠, 黄家宸,等. 基于节点拓扑特征的中国基金公司共持网络持股行为波动相关性[J]. 物理学报, 2014, 63(4):412-421.
[26] Tasca P, Mavrodiev P, Schweitzer F. Quantifying the impact of leveraging and diversification on systemic risk[J]. Journal of Financial Stability, 2014, 15:43-52.
[27] 曹小秋, 吴园园, 吴鹏昆. 基于网络的系统性风险测度方法及其在中国银行业的应用[J]. 数学的实践与认识, 2017, 47(4):83-93.
[28] Bouchaud J P, Cont R. A Langevin approach to stock market fluctuations and crashes[J]. European Physical Journal B, 1998, 6(4):543-550.
[29] Georg C P. The effect of the interbank network structure on contagion and common shocks[J]. Journal of Banking & Finance, 2013, 37(7):2216-2228.
[30] Watts D J, Strogatz S H. Collective dynamics of ‘small-world’ networks[J]. Nature, 1998, 393(6684):440.

Indirect Correlation Network between Banks Based on Common Assets

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 10

[1]	YAO Hong, WANG Chao, HE Jian-min, LI Liang. Study on the Relationship between Investment Portfolios Diversification and Systemic Risk [J]. Chinese Journal of Management Science, 2019, 27(2): 9-18.
[2]	LI Fang-chao, ZHANG Cheng-ke, ZHU Huai-nian. Equivalent Administrative Charges of the DC Pension Plan under the Heston Model [J]. Chinese Journal of Management Science, 2019, 27(12): 11-21.
[3]	LIU Jin-rong, XU Qi. Impact of “Showrooms” on Demand Allocation, Pricing and Profit in Omni-channel Retailing [J]. Chinese Journal of Management Science, 2019, 27(12): 88-99.
[4]	FAN Dan-dan, XU Qi, CHENG Fang-zheng. Brand Suppliers' O2O Channel Selection and Decision Optimization Considering the Impact of Customer Returns [J]. Chinese Journal of Management Science, 2019, 27(11): 138-148.
[5]	LIU Dong-xia, CHEN Hong. Study on the Remanufacturing Strategy for Durable Goods Monopolist with Second-hand Market [J]. Chinese Journal of Management Science, 2018, 26(6): 104-114.
[6]	CHEN Yi-you, ZHANG Jin, LUO Jian-qiang. The Impact of Customers' Choice Behavior on Pickup Point Location [J]. Chinese Journal of Management Science, 2017, 25(5): 135-144.
[7]	MENG Fan-sheng, WANG Xue-song, ZHOU Liang-liang. The Research on the Motivation Model based on the Dual Cost Control Standards [J]. Chinese Journal of Management Science, 2014, 22(7): 94-99.
[8]	YANG Zhong-zhi, SUN Hao-chen, PENG Jun-wei. Computational Solving and Parameters Analysis of Bargaining Pricing for Properties Based on the Wealth Utility [J]. Chinese Journal of Management Science, 2014, 22(2): 129-134.
[9]	YAO Hai-xiang, LI Zhong-fei. Expected Utility Maximization Optimal Portfolio Selection Based on Nonparametric Estimation Framework [J]. Chinese Journal of Management Science, 2014, 22(1): 1-9.
[10]	XIE Bai-chen, DU Gang. Utility Malmquist Index and Listed Thermal Power Corporations Empirical Analysis [J]. Chinese Journal of Management Science, 2010, 18(1): 46-51.
[11]	LIN Zhi-bing, ZHANG Qi-shan, LI Mei-juan. Supply Chain Coordination Analysis with Deductible Insurance Contract [J]. Chinese Journal of Management Science, 2009, 17(6): 57-62.
[12]	JIANG Shu-yuan, JIANG Qing-fang. The Functional Expressions of Utility Measured as Constant Risk Preference and Parameters Determination [J]. Chinese Journal of Management Science, 2007, 15(1): 16-20.
[13]	WANG Liang, YANG Nai-ding. Utility Function of Alliance Number and Its Solution under Project Cooperation Based on Resources [J]. Chinese Journal of Management Science, 2005, (5): 100-104.
[14]	JIANG Shu-yuan, JIANG Qing-fang. The Utility Measure of Consumer and Demand Functions of Industry [J]. Chinese Journal of Management Science, 2004, (6): 81-85.
[15]	Li Biqiang, Liu Yunzhe. The Principal-Agent Relations in Organization Institution of Modern Enterprises [J]. Chinese Journal of Management Science, 1999, (2): 57-61.