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Chinese Journal of Management Science ›› 2022, Vol. 30 ›› Issue (4): 1-12.doi: 10.16381/j.cnki.issn1003-207x.2020.0044

• Articles •     Next Articles

Research on Systemic Risk Contagion Effect of Chinese Financial Institutions Considering Network Public Opinion Index

OUYANG Zi-sheng1, YANG Xi-te2, HUANG Ying3   

  1. 1. School of Business, Hunan Normal University, Changsha 410081, China;2. Business School, Sichuan University, Chengdu 610064, China;3. The Institute of Subtropical Agriculture, The Chinese Academy of Sciences, Changsha 410125, China
  • Received:2020-01-09 Revised:2020-06-24 Online:2022-04-20 Published:2022-04-26
  • Contact: 黄颖 E-mail:854059150@qq.com

Abstract: The global financial crisis of 2007-2009 has aroused considerable interest in systemic risk, and has triggered rethinking of systemic financial risks by international organizations, financial regulators and scholars in various countries. The crisis connected socio-economic entities such as banks, real estate, insurance companies, hedge funds, and consumers into a community of economic interests, sharing risk factors. Financial crisis refers that the values of most financial assets drop together or one institution’s failure could propagate to other institutions, thus, financial crisis is systemic and results in the collapse of whole financial system. In fact, during the financial crisis, losses spread across financial institutions and the financial system is threatened. At the same time, the contagion of financial risks is becoming more and more frequently, and extreme risk events, including “cash crunch” and “curcuit breakers”, have caused the spread of network public opinion, and made systemic financial risks spread rapidly in the capital market.

Key words: single-index asymmetric CoVaR model; systemic risk; directed network; Lasso algorithm; network public opinion index

CLC Number: