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Simulation of Interbank Market Risk Contagion on Network Analysis

Author: WangYi
Tutor: TianXinShi
School: Huazhong University of Science and Technology
Course: Finance
Keywords: Network Analysis Interbank Market Risk Contagion Simulation
CLC: F831.2
Type: Master's thesis
Year: 2011
Downloads: 51
Quote: 0
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Abstract


It is warned that Steady Operation of commercial banks is very important, not only aseries of financial disaster events happen in the1990s but also the global financial crisiscaused by the United States subprime mortgage bonds market. Interbank market is anessential financial intermediate for financial system to function healthily and stably, and isalso an important component of modern financial systems. At present with the rapiddevelopment of interbank market, commercial banks meet liquidity and profitabilityrequirements through national interbank funding center by interbank lending andborrowing. At the same time, interbank market increased the relativity between the riskexposures of banks and will provide paths for risk contagion.However, most of the researches in banking risk contagion are focused on qualitativeor empirical analysis till now. It is devoid of simulation of the process of risk contagionand analysis of the system losses. This paper presents complex network to simulate theprocess of risk contagion in interbank market and analyzes system losses by stress test.At first, this paper presents the significance of the topic, innovation and the researchstatus at home and abroad. Secondly, it gives a brief description of the complex networktheory and the current development of Chinese interbank market. Thirdly, it simulates theprocess of risk contagion of interbank market with joint loss distribution, the behavior ofinterbank lending market participants, complex network and system losses. Next, it getsthe affect to system losses through stress test. At last, I summarize my findings andpropose possible lines of further research.

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CLC: > Economic > Fiscal, monetary > Finance, banking > World of finance, banking > Financial organizations and business
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