Chinese Journal of Management Science ›› 2020, Vol. 28 ›› Issue (11): 51-60.doi: 10.16381/j.cnki.issn1003-207x.2020.11.006
• Articles • Previous Articles Next Articles
JIANG Shan-shan, FAN Hong
Received:
2018-10-29
Revised:
2019-02-01
Online:
2020-11-20
Published:
2020-12-01
CLC Number:
JIANG Shan-shan, FAN Hong. Stability Analysis of Banking System under Dual Channel Risk Contagion[J]. Chinese Journal of Management Science, 2020, 28(11): 51-60.
[1] 朱晓谦, 李靖宇, 李建平, 等. 基于危机条件概率的系统性风险度量研究[J]. 中国管理科学, 2018, 26(6):1-7. [2] Silva W, Kimura H, Sobreiro V A. An analysis of the literature on systemic financial risk:A survey[J]. Journal of Financial Stability, 2016, 28:91-114. [3] Hryckiewicz A, Kozlowski L. The consequences of liquidity imbalance:When net lenders leave interbank markets[J]. Journal of Financial Stability, 2018, 32:86-97. [4] Kanno M. Assessing systemic risk using interbank exposures in the global banking system[J]. Journal of Financial Stability, 2015, 20:105-130. [5] 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. [6] Schuler T, Corrado L. Interbank market failure and macro-prudential policies[J]. Journal of Financial Stability, 2016, 33:133-149. [7] Kaufman G G, Scott K E. What is systemic risk, and do bank regulators retard or contribute to it?[J]. Independent Review, 2003, 7(3):371-391. [8] Mistrulli P E. Assessing financial contagion in the interbank market:Maximum entropy versus observed interbank lending patterns[J]. Journal of Banking and Finance, 2011, 35(5):1114-1127. [9] Allen F, Gale D. Financial contagion[J]. Journal of Political Economy, 2000, 108(1):1-33. [10] Freixas X, Parigi B M, Rochet J C. Systemic risk, interbank relations, and liquidity provision by the central bank[J]. Journal of Money Credit and Banking, 2000, 32(3):611-638. [11] Nier E, Yang J, Yorulmazer T, et al. Network models and financial stability[J]. Journal of Economic Dynamics and Control, 2007, 31(6):2033-2060. [12] Leitner Y. Financial networks:Contagion, commitment, and private sector bailouts[J]. Journal of Finance, 2005, 60(6):2925-2953. [13] Kok C. Modelling the emergence of the interbank networks[J]. Quantitative Finance, 2015, 15(4):653-671. [14] Iori G, Jafarey S, Padilla F G. Systemic risk on the interbank market[J]. Journal of Economic Behavior and Organization, 2006, 61(4):525-542. [15] Lenzu S, Tedeschi G. Systemic risk on different interbank network topologies[J]. Physica A Statistical Mechanics and Its Applications, 2012, 391(18):4331-4341. [16] Smerlak M, Stoll B, Gupta A, et al. Mapping systemic risk:Critical degree and failures distribution in financial networks[J]. Plos One, 2015, 10(7):e0130948. [17] 唐振鹏, 谢智超, 冉梦,等. 网络视角下我国上市银行间市场系统性风险实证研究[J]. 中国管理科学, 2016, 24(s1):489-494. [18] 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. [19] Caccioli F, Catanach T A, Farmer D J. Heterogeneity, correlations and financial contagion[J]. Advance Complex Systems, 2012, 15:1250058. [20] Han Jingti, Yu Caoyu. Systemic risk contagion of interbank network based on risk-averse behaviors[J]. Complex Systems and Complexity Science, 2017, 14(1):75-80. [21] Steinbacher M, Steinbacher M, Steinbacher M. Robustness of banking networks to idiosyncratic and systemic shocks:a network-based approach[J]. Journal of Economic Interaction and Coordination, 2016, 11(1):95-117. [22] Lagunoff R, Schreft S L. A model of financial fragility[J]. Journal of Economic Theory, 2001, 99(1-2):220-264. [23] Uhlig H. A Model of a systemic bank run[J]. Monetary Economics, 2010, 57(1):78-96. [24] Vries C G D. The simple economics of bank fragility[J]. Journal of Banking and Finance, 2005, 29(4):803-825. [25] Cifuentes R, Ferrucci G, Shin H S. Liquidity risk and contagion[J]. Journal of the European Economic Association, 2005, 3(2/3):556-566. [26] Greenwood R, Landier A, Thesmar D. Vulnerable banks[J]. Journal of Financial Economics, 2015, 115(3):471-485. [27] Huang X, Vodenska I, Havlin S, et al. ERRATUM:cascading failures in bi-partite graphs:Model for systemic risk propagation[J]. Scientific Reports, 2013, 3(2):1219. [28] Caccioli F, Shrestha M, Moore C, et al. Stability analysis of financial contagion due to overlapping portfolios[J]. Journal of Banking and Finance, 2014, 46(3):233-245. [29] 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. [30] Zhou Yichen, Li Honggang. Asset diversification and systemic risk in the financial system[J]. Journal of Economic Interaction and Coordination, 2017,(1):1-26. [31] 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. [32] Fink K, Kruger U, Meller B, et al. The credit quality channel:Modeling contagion in the interbank market[J]. Journal of Financial Stability, 2016, 25:83-97. [33] Bluhm M, Krahnen J P. Systemic risk in an interconnected banking system with endogenous asset markets[J]. Journal of Financial Stability, 2014, 13(1):75-94. [34] Yoldas E, Senyuz Z. Financial stress and equilibrium dynamics in term interbank funding markets[J]. Journal of Financial Stability, 2018, 34:136-149. |
[1] | CHEN Qi-an, ZHANG Hui. Systemic Risk Shock, Enterprise Innovation Ability and Stock Price Volatility: Theoretical and Empirical Research [J]. Chinese Journal of Management Science, 2021, 29(3): 1-13. |
[2] | MA Dan, WANG Chun-feng, FANG Zhen-ming. Liquidity Provision and Intraday Price Efficiency——Evidence on Chinese Stock Market [J]. Chinese Journal of Management Science, 2020, 28(7): 57-67. |
[3] | LI Hong-quan, HE Min-yuan, HUANG Ying-ying. The Evaluation of Systemically Important Financial Institution of China: Based on Multivariate Extreme Value Theory [J]. Chinese Journal of Management Science, 2020, 28(5): 14-24. |
[4] | YAN Guan, LIU Zhi-dong. Systemic Risk in China's Interbank Liability Networks Based on the Bayesian Methodology [J]. Chinese Journal of Management Science, 2020, 28(4): 14-26. |
[5] | LIU Chao, LI Yuan-rui, JIANG Chao, MA Yu-jie, LIU Chen-qi, XIE Qi-wei. Research on Systematic Risk Measurement and Evolution Characteristics of China's Securities Companies——Empirical Data from 20 Listed Securities Companies [J]. Chinese Journal of Management Science, 2019, 27(5): 11-22. |
[6] | LIU Xia, LIU Shan-cun, ZHANG Qiang. Competition among Heterogeneously Informed Traders and Analysis of Market Liquidity [J]. Chinese Journal of Management Science, 2019, 27(5): 23-31. |
[7] | HE Di, ZHOU Yong. Modeling and Analyzing Liquidity in Stock Market Using Macroeconomic Factors Based on State Space Model [J]. Chinese Journal of Management Science, 2019, 27(5): 42-49. |
[8] | 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. |
[9] | YIN Hai-yuan, Zhu Xu. Investor Heterogeneous Beliefs, Expect Evolution and Stock Market Liquidity [J]. Chinese Journal of Management Science, 2019, 27(10): 12-21. |
[10] | ZHU Xiao-qian, LI Jing-yu, LI Jian-ping, CHEN Yi-bin, WEI Lu. An Indicator of Conditional Probability of Crisis for Systemic Risk Measurement [J]. Chinese Journal of Management Science, 2018, 26(6): 1-7. |
[11] | YE Wu-yi, TAN Ke-qi, MIAO Bai-qi. Analysis of Systemic Risk among Industries via Dynamic Factor Copulas [J]. Chinese Journal of Management Science, 2018, 26(3): 1-12. |
[12] | SHI Yu-shan, LIU Hai-long, HU You-qun. Optimal Pricing Model of Stock Loan-to-value Ratio Considering Liquidity Risk and Portfolio Rebalancing Risk [J]. Chinese Journal of Management Science, 2018, 26(1): 81-89. |
[13] | ZENG Yu-feng, JIAN Zhi-hong, PENG Wei. Study on Asymmetric Effect of Risk Transmission between Different Financial Sectors in China [J]. Chinese Journal of Management Science, 2017, 25(8): 58-67. |
[14] | LIU Qi, YANG Zhao-jun. Performance-sensitive Debt on the Asset Liquidity [J]. Chinese Journal of Management Science, 2017, 25(12): 1-8. |
[15] | LIU Zhi-dong, YAN Guan. Analysis of the Finer Statistical Characteristics of China Stock Market Based on Semimartingales Process [J]. Chinese Journal of Management Science, 2016, 24(5): 18-30. |
Viewed | ||||||
Full text |
|
|||||
Abstract |
|
|||||
|