Diversification and systemic risk in the banking system

Ma, Jing; He, Jie; Liu, Xiaoxing; Wang, Chao

doi:10.1016/j.chaos.2019.03.040

Cited by 12 publications

(5 citation statements)

References 26 publications

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“…One cannot but agree with Ma et al [10] that in order to avoid significant losses from non-repayment of loans, it is necessary already at the early stages of the credit process to build work to minimize banking risk in accordance with the classifier, which provides for an appropriate grouping of loans depending on the level of risk.…”

Section: Literature Reviewmentioning

confidence: 93%

Bank Financial Risk Assessment in the Digital Background

Petrina,

Stadolin,

Kozhina

et al. 2024

IJSSE

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Section: Literature Reviewmentioning

confidence: 93%

Bank Financial Risk Assessment in the Digital Background

Petrina,

Stadolin,

Kozhina

et al. 2024

IJSSE

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“…The issue of systemic risk in financial networks has attracted considerable attention. Most studies determine systemic risks using the cost function, through which a bank propagates shocks to its creditors based on default cascade dynamics (Ma et al, 2019). However, banks' creditors will be distressed even if the shocks are not sufficiently large to trigger bank default.…”

Section: Model and Methodologymentioning

confidence: 99%

Interbank contagion risk in China under an ABM approach for network formation

Lin

Zhang

2022

Euro Fin Management

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This paper uses an agent‐based model to construct an interbank network for the Chinese interbank market using a sample of 299 commercial banks from 2014 to 2019. We analyze the importance and vulnerability of banks using the DebtRank algorithm. Our results show that the Chinese interbank market bears a certain level of systemic risk, especially among lower‐tiered banks. The results also show a bank is more vulnerable if it has a higher interbank lending ratio and greater financial connectivity. Meanwhile, a bank is more influential if it has a larger net worth and greater financial connectivity.

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“…Some studies have been conducted based on multiple channels including interbank loans and external investment [38][39][40][41]. However, most of the results are drawn without considering the dynamic features of the banking system.…”

Section: Related Literaturementioning

confidence: 99%

Dynamic Contagion of Systemic Risk in an Endogenous Banking System

Qiu

Wang

et al. 2022

Mathematical Problems in Engineering

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An endogenous banking system is proposed based on dynamic mechanisms of interbank loans and investment strategies to explore the behavioral incentives of diversification and its effects on systemic risk. The results highlight the advantages of different diversification strategies for different environments in preventing contagions of systemic risk. The evidence from the interbank market shows that big banks are more crucial for systemic risk prevention, and the intermediate scale of big banks is optimal for a stable banking system. As for the investment market, evidence shows that regulatory intervention should pay attention to the appropriate risk attitude for individual banks to promote systemic stability. These results provide a perspective of behavioral supervision for preventing contagions of systemic risk and indicate some reference for promoting the systemic stability of the banking system.

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Diversification and systemic risk in the banking system

Cited by 12 publications

References 26 publications

Bank Financial Risk Assessment in the Digital Background

Bank Financial Risk Assessment in the Digital Background

Interbank contagion risk in China under an ABM approach for network formation

Dynamic Contagion of Systemic Risk in an Endogenous Banking System

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