| At present,with the deepening of global economic integratio n and the increasingly complex financial environment all the world,financial risks are more easily to spread through the interrelationship among financial subjects.As the core body of the financial system,banks were impact by different degrees in the financial crisis.It is that improving the ability of the banking system to resist financial risks will effectively improve the stability of the financial system.At present,it is the focus of banking system risk research to find out the factors that affect the risk contagion of banking system and get the correlation between risk contagion and these factors.Banking system is a typical complex network.The risk contagion modeling of banking system based on complex network theory can be carried out from two aspects: mechanism modeling and macro dynamics modeling.Mechanism modeling can analyze the factors of risk contagion in banking system from microcosmic point of view and quantitative analysis;macro dynamic model can analyze the dynamic law of risk contagion in banking system from macroscopical point of view by constructing the dynamic model of contagion based on the parameters obtained from mechanism model.However,the existing research model can only analyze the stability of the banking system from one side,and the hypothesis is too ideal,which leads to the current model can not effectively reflect the risk contagion process of the banking system.How to establish a reasonable hypothesis and build a risk contagion model in line with the actual banking system law is an urgent problem to be solved.In order to solve the existing problems of risk contagion modeling in banking system,this paper establishes a more reasonable hypothesis,and discusses the law of risk contagion in banking system from many aspects.The main research contents and related conclusions are as follows:Firstly,the banking system is a complex network system composed of a series of banks and their relationships.This relationship is not only directly related to the inter-bank market,but also indirectly related to the investment of the same assets between financial institutions.This paper proposes a new model of interbank market with overlapping portfolio to simulate the risk of banking system.The model uses the two-way network of banks and their assets to analyze the impact of bank investment on the stability of the banking system.At the same time,this paper also considers that each bank’s investment has investment risk,and allows banks to sell assets through devaluation to make u p for liquidity,which is more in line with the operating rules of the banking system.The model will further analyze the impact of average investment rate,savings rate,reserve ratio and diversity of investment assets on the stability of the banking syst em.Secondly,the current research rarely considers the correlation between different assets,which leads to the existing risk models of banking system underestimate or miscalculate the probability and degree of risk contagion caused by the indirect contagion.In view of the systematic risk of banking industry,considering the investment coupling of financial institutions and the correlation between assets,a multi-channel risk contagion network model of interbank lending(direct contagion channel),bank investment coupling(indirect contagion channel)and asset correlation(indirect contagion channel)is constructed.It is found that portfolio overlap and asset correlation,as indirect risk contagion channels,improve the probability and degree of risk cont agion.The positive correlation between assets plays an important role in the process of impact contagion,and the crisis is more destructive in the financial network system.The negative correlation between asset prices can weaken the impact of depreciati on of individual assets on the banking system.Thirdly,the inter-bank holding of subordinated debt has a great impact on the systemic risk of banks.In this study,the relationship between banks holding subordinated debt is scientifically modeled.It is found that the change of asset price is spread through the channel of inter-bank investment coupling,and inter-bank holding of subordinated debt is the accelerator of bank risk spread.It is helpful for the stability of the banking system to hold subordina ted debt among banks when the banking system is relatively stable.However,once there is a risk in the banking system,the mutual holding of subordinated debt among banks will become the booster of the risk propagation of the banking system,which will easily lead to the domino effect of bank failure.Fourthly,this paper introduces the theory of transmission dynamics in complex networks into the study of financial risk contagion,and proposes a risk contagion model based on Asymmetric Information Association.This paper considers the individual risk attitude,individual risk resistance ability and supervision strength of financial market supervisors.This model can effectively describe the correlation between risk individuals.This model can analyze the ri sk of personal infection in the network,and can effectively reflect the degree of personal risk infection.This paper further analyzes the influence of network structure,information association,personal risk attitude,financial market supervision and personal risk resistance on personal risk contagion.Fifthly,this part of the study introduces the theory of transmission dynamics in complex networks into the study of the coupling relationship between risk contagion and emotional contagion to reflect the endogenous problem of credit default in the process of risk contagion.The study found that emotion can not only enhance the intensity of risk infection,but also improve the speed of risk infection.At the same time,the contagion of risk further aggravat es the intensity of market sentiment.In risk contagion,supervision has a key value,and the supervision of this critical value can control the spread of risk well,which is consistent with the critical point effect of financial market.The stronger the network heterogeneity is,the lower the coupling degree of emotional contagion and risk contagion is.The innovations of this paper are as follows:(1)This paper presents a multi-channel risk contagion network model including interbank lending(direct contagion channel),overlapping portfolio(indirect contagion channel)and asset correlation(indirect contagion channel).This paper also considers the investment risk of each bank.The proposed model allows banks to sell assets through devaluation to make up for liquidity,which is more in line with the operating rules of the banking system.In the proposed model,the rate of return of assets is dynamic,and there are differences in the rate of return of different assets.(2)On the basis of the risk contagion of banks in multi-channel,this paper studies the influence of the banks holding subordinated debt on the risk of banking system.The model proposed in this paper is more close to the actual financial risk contagion network,and has more suggestions and guidance significance for the problems in the real financial network.In this paper,we find that the inter-bank holding of subordinated debt is helpful to the stability of the banking system when the banking system is relatively stable,but once there is risk in the banking system,the inter-bank holding of subordinated debt becomes the booster of the risk propagation of the banking system,which is easy to lead to the domino effect of bank failure.(3)In this study,the theory of propagation dynamics in complex networks is introduced into the study of risk contagion,and a risk contagion model based on Asymmetric Information Association is proposed.The model can effectively describe the relationship between risk individuals and reflect the degree of risk transmission.In addition,based on the asymmetric information correlation,this study considers the endogeneity of risk holder’s emotion and risk contagion,and analyzes the nonlinear coupling dynamic process of risk holder’s emotion and risk contagion. |
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