Systemic Risk in the Interbank Market with Overlapping Portfolios
The increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking system. A new model for the interbank market with overlapping portfolios is proposed to simulate a banking system in this work. The proposed model uses a bipartite...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2019/5317819 |
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| _version_ | 1832551680338558976 |
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| author | Shanshan Jiang Hong Fan |
| author_facet | Shanshan Jiang Hong Fan |
| author_sort | Shanshan Jiang |
| collection | DOAJ |
| description | The increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking system. A new model for the interbank market with overlapping portfolios is proposed to simulate a banking system in this work. The proposed model uses a bipartite network of banks and their assets to analyze the impact of bank investment on the stability of the banking system. In addition, this model introduces investment risk and allows banks to make up for liquidity by selling devaluated assets, which reflects the operating rules of the banking system more realistically. The results show that allowing banks to sell devaluated assets to make up for liquidity can improve the stability of the banking system and the interbank market can also improve the stability of the banking system. For the investment of banks, the investment risk is an uncertain factor that affects the stability of the banking system. The proposed model further analyzes the impact of average investment interest rate, savings interest rate, deposit reserve ratio, and investment asset diversity on the stability of the banking system. The model provides a tool for policy-makers and supervision agencies to prevent the systemic risk of banking system. |
| format | Article |
| id | doaj-art-7667dd080bee432aa6b9c8253f129e38 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-7667dd080bee432aa6b9c8253f129e382025-02-03T06:00:54ZengWileyComplexity1076-27871099-05262019-01-01201910.1155/2019/53178195317819Systemic Risk in the Interbank Market with Overlapping PortfoliosShanshan Jiang0Hong Fan1Glorious Sun School of Business and Management, Donghua University, Shanghai 200051, ChinaGlorious Sun School of Business and Management, Donghua University, Shanghai 200051, ChinaThe increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking system. A new model for the interbank market with overlapping portfolios is proposed to simulate a banking system in this work. The proposed model uses a bipartite network of banks and their assets to analyze the impact of bank investment on the stability of the banking system. In addition, this model introduces investment risk and allows banks to make up for liquidity by selling devaluated assets, which reflects the operating rules of the banking system more realistically. The results show that allowing banks to sell devaluated assets to make up for liquidity can improve the stability of the banking system and the interbank market can also improve the stability of the banking system. For the investment of banks, the investment risk is an uncertain factor that affects the stability of the banking system. The proposed model further analyzes the impact of average investment interest rate, savings interest rate, deposit reserve ratio, and investment asset diversity on the stability of the banking system. The model provides a tool for policy-makers and supervision agencies to prevent the systemic risk of banking system.http://dx.doi.org/10.1155/2019/5317819 |
| spellingShingle | Shanshan Jiang Hong Fan Systemic Risk in the Interbank Market with Overlapping Portfolios Complexity |
| title | Systemic Risk in the Interbank Market with Overlapping Portfolios |
| title_full | Systemic Risk in the Interbank Market with Overlapping Portfolios |
| title_fullStr | Systemic Risk in the Interbank Market with Overlapping Portfolios |
| title_full_unstemmed | Systemic Risk in the Interbank Market with Overlapping Portfolios |
| title_short | Systemic Risk in the Interbank Market with Overlapping Portfolios |
| title_sort | systemic risk in the interbank market with overlapping portfolios |
| url | http://dx.doi.org/10.1155/2019/5317819 |
| work_keys_str_mv | AT shanshanjiang systemicriskintheinterbankmarketwithoverlappingportfolios AT hongfan systemicriskintheinterbankmarketwithoverlappingportfolios |